| Tuesday, October 9 |
|
| 8:30 – 9:00 a.m. |
Registration and Coffee
|
| 9:00 – 9:30 a.m. |
Welcome and Opening
Dong He, Hong Kong Monetary Authority (HKMA)
Dimitri G. Demekas, International Monetary Fund (IMF)
|
| 9:30 – 1:00 p.m. |
Session I: New Developments in Liquidity and Credit Stress Testing
Chair: Cho-hoi Hui—HKMA
|
| 9:30 – 10:00 a.m. |
Presentation 1: “Liquidity Stress Tests: What Use From a Policy Perspective?” Mattias Persson—Sveriges Riksbank
|
| 10:00 – 10:30 a.m. |
Presentation 2: “A Cash-Flow Based Approach to Liquidity Stress Testing” Benjamin Neudorfer—Oesterreichische Nationalbank
|
| 10:30 – 11:00 a.m. |
Discussant: Haakon Solheim—Norges Bank
and General Discussion
|
| 11:00 – 11:30 a.m. |
Coffee Break
|
| 11:30 – 12:00 |
Presentation 3: “The MacroFinancial Risk Assessment Framework (MFRAF): A Quantitative Tool to Understand and Assess Systemic Risk in the Banking Sector”
Virginie Traclet—Bank of Canada
|
| 12:00 – 12:30 p.m. |
Presentation 4: “Cyclical Default and Recovery in Stress Testing Loan Losses” Esa Jokivuolle—Bank of Finland
|
| 12:30 – 1:00 p.m. |
Discussant: Philipp Koziol—Deutsche Bundesbank
and General Discussion
|
| 1:00 – 2:30 p.m. |
Lunch
|
| 2:30 – 5:30 p.m. |
Session II: Best Principles and Practices in Designing Stress Tests
Chair: Abdelaziz Rouabah—Banque Centrale du Luxembourg
|
| 2:30 – 3:00 p.m. |
Presentation 5: “Macrofinancial Stress Testing: Principles and Practices” Ms. Liliana Schumacher—IMF
|
| 3:00 – 3:30 p.m. |
Presentation 6: “Stress-Testing Stress Testing” Konstantinos Tsatsaronis—Bank for International Settlements
|
| 3:30 – 4:00 p.m. |
Coffee Break
|
| 4:00 – 4:30 p.m. |
Presentation 7: “Stress Testing Practices in China's Banking Sector”
Liang Shidong— People's Bank of China
|
| 4:30 – 5:00 p.m. |
Presentation 8: “Stress Testing Practices in Russia's Banking Sector”
Tatiana Malakhova—Central Bank of Russia
|
| 5:00 – 5:30 p.m |
General Discussion
|
| 7:00 p.m. |
Dinner
(Dinner speaker: Simon Topping, KPMG Hong Kong)
|
| Wednesday, October 10 |
|
| 9:00 – 10:30 a.m. |
Session III: Incorporating Sovereign Risk and Macro Feedbacks in Stress Testing
Chair: Alessio De Vincenzo—Banca di Italia
|
| 9:00 – 9:30 a.m. |
Presentation 9: ”Evolution of Macro Stress Testing in India”
Supriya Majumdar—Reserve Bank of India
|
| 9:30 – 10:00 a.m. |
Presentation 10: “Framework for Integrating Sovereign Risks and Macro Feedbacks in Stress Testing”
Dale Gray—IMF
|
| 10:00 – 10:30 a.m. |
Discussant: Ms. Paula Antão—Banco de Portugal
and General Discussion
|
| 10:30 – 11:00 a.m. |
Coffee Break
|
| 11:00– 1:00 p.m. |
Session IV: Enhancing Analysis of Domestic and International Spillovers/contagion/network Effects in Stress Testing
Chair: IMF
|
| 11:00 – 11:30 a.m. |
Presentation 11: “An Overview of Systemic Risk Analysis: Practice at the Bundesbank”
Christoph Memmel—Deutsche Bundesbank
|
| 11:30 – 12:00 |
Presentation 12: “Stress Testing Analysis of Impact of European Crisis on Hong Kong Banking Sector”
Eric Wong—HKMA
|
| 12:00 – 12:30 p.m. |
Presentation 13: “Assessing Interconnectedness and Contagion Risk in the Indian Banking System”
Dimple Bhandia—Reserve Bank of India
|
| 12:30 – 1:00 p.m. |
Discussant: Amadou Sy—IMF
and General Discussion
|
| 1:00 – 2:00 p.m. |
Lunch
|
| 2:00 – 3:30 p.m. |
Panel and Open discussion on Uses and Impact of Stress Testing
Chair: Dimitri Demekas—IMF
Mattias Persson (Riksbank), Dong He (HKMA),
Christian Durand (Banque de France), Kostas Tsatsaronis (BIS)
|
| 3:30 – 3:45 pm |
Closing remarks
Dimitri Demekas—IMF
|