EBA欧洲银行-Agenda-IMF-EBA-Colloquium-on-New-Frontiers-in-Stress-Testing_4页_137kb

AGENDA JOINT IMF-EBA COLLOQUIUM: NEW FRONTIERS ON STRESS TESTING

Overview

The Joint IMF-EBA Colloquium on New Frontiers on Stress Testing took place from March 1-2, 2017, at EBA Headquarters in London. The event brought together experts from central banks, regulatory bodies, and financial institutions to discuss the evolving methodologies, challenges, and applications of stress testing in the financial sector.

Core Content

Day One

Session I: Liquidity Stress Tests and Solvency-Liquidity Loops

• Time: 09:15–10:45
• Chair: Nellie Liang (former Federal Reserve Board)
• Presenters: Stefan Schmitz (Oesterreichische Nationalbank), Maral Shamloo (IMF), Adam Dolson (OSFI, Canada)
• Focus: Latest methodologies and frameworks for liquidity stress tests, emphasizing the integration of sequential asset liquidation and solvency-liquidity feedback loops.
• Key Topics: Conceptual and practical approaches to liquidity stress testing, including the impact of liquidity constraints on solvency.

Session II: Macro-financial Feedback Effects in Stress Tests

• Time: 11:15–12:45
• Chair: Udaibir Das (IMF)
• Presenters: Jérôme Henry (ECB), Dale Gray (IMF), Olivier de Bandt (Banque de France)
• Focus: Analysis of how stress scenarios and systemic interconnections influence institutional behavior and macroeconomic variables over longer time horizons.
• Key Topics: Migration of stress across institutions, balance sheet evolution under stress, asset price and credit market impacts, and feedback effects between financial and real sectors.

Session III: Stress Testing and Capital Planning

• Time: 13:45–15:15
• Chair: Piers Haben (EBA)
• Presenters: Tim Clark (Fed), Klaus Duellmann (ECB), Alison Scott (BoE)
• Focus: Use of stress test results in capital planning and (re-)capitalization decisions.
• Key Topics: Coordination between system-wide and individual capital buffers, use of contingent convertible instruments, and best practices in capital adequacy frameworks and dividend policies.

Session IV: Panel of High-Level Policy Makers

• Time: 15:45–17:15
• Chair: Tobias Adrian (IMF)
• Panellists: Ryozo Himino (FSA, Japan), Andrea Enria (EBA), Nellie Liang (Fed)
• Focus: Challenges in implementing stress test results and policy conclusions.
• Key Topics: Institutional and organizational barriers, interagency coordination, data sharing and confidentiality, and transparency in stress testing outcomes and supervisory measures.

Day Two

Session V: Stress Testing and Macroprudential Policies

• Time: 09:00–10:00
• Chair: Tim Clark (Fed)
• Presenters: Robert Bichsel (SNB), Eric Wong (HKMA)
• Focus: Role of stress tests in the design and calibration of macroprudential instruments.
• Key Topics: Mitigating systemic risks (e.g., mortgage and commercial real estate), consistency between micro and macro-prudential objectives, data limitations, regulatory arbitrage, and macroeconomic considerations in instrument calibration.

Session VI: Governance and Integrity of Stress Testing

• Time: 10:30–12:00
• Chair: Ryozo Himino (FSA, Japan)
• Presenters: Willem Pieter De Groen (CEPS), Mario Quagliariello (EBA), Teresa Walsh (FS-ISAC)
• Focus: Governance and integrity of stress testing as a policy tool.
• Key Topics: Design of stress tests, role of agencies, integrity challenges, and the distinction between macroprudential and microprudential stress testing.

Closing Session: Where Do We Go From Here?

• Time: 12:00–13:00
• Chair: James Morsink (IMF)
• Panellists: Nellie Liang (Fed), Udaibir Das (IMF), Piers Haben (EBA), Tim Clark (Fed), Ryozo Himino (FSA, Japan)
• Focus: Roundtable discussion on key issues and future work agenda.
• Key Topics: Synthesis of findings, policy implications, and next steps for improving stress testing practices.

Professional Workshop

• Time: 14:00–16:00
• Coordinators: Udaibir Das (IMF) and Piers Haben (EBA)
• Presenters:
  • Karlo Kauko (Bank of Finland): Macro-Financial VAR Models
  • Roberto Nygaard (Central Bank of Brazil): Contagion of Car Wash Operation
  • Tomiyuki Kitamura (Bank of Japan): Macro Stress-Testing at the Bank of Japan
  • Søren Korsgaard (Danmarks Nationalbank): Incorporating Funding Costs in Top-down Stress Tests
  • Elizaveta Danilova (Bank of Russia): Stress-Testing the Mortgage Sector
• Focus: Recent research on stress testing methodologies and applications.
• Key Topics: VAR models, contagion effects, funding cost integration, and sector-specific stress testing (e.g., mortgage sector).

Main Themes and Key Insights

• Liquidity and Solvency: Integration of liquidity stress testing with solvency considerations, including sequential asset liquidation and adverse loops.
• Macro-financial Feedback: Stress testing must account for the interaction between financial institutions and macroeconomic variables, including feedback effects and systemic risk propagation.
• Capital Planning: Stress test results are crucial for capital adequacy and (re-)capitalization decisions, requiring coordination between regulatory and institutional capital buffers.
• Policy Implementation: Institutional and organizational challenges hinder the effective use of stress test outcomes, emphasizing the need for interagency collaboration and transparency.
• Macroprudential Tools: Stress testing supports the design and calibration of macroprudential instruments, such as LTV and DTI ratios, to mitigate systemic risks.
• Governance and Integrity: Ongoing debates on the governance structure, role of agencies, and the balance between micro and macroprudential approaches in stress testing.

Conclusion

The colloquium provided a comprehensive review of current stress testing practices and highlighted the need for improved methodologies, better coordination between regulatory bodies, and enhanced transparency in policy implementation. It also emphasized the growing importance of macroprudential tools in managing systemic risk and the critical role of stress testing in shaping financial stability policies.