2018 Federal Reserve Stress Testing Research Conference 2018 Federal Reserve Stress Testing Research Conference

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October 9, 2018
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Federal Reserve Bank of Boston
600 Atlantic Avenue
Boston, MA 02210
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The Federal Reserve invites researchers to submit academic research papers to be considered for presentation at a conference on the topic of stress testing. The conference will provide a forum for researchers and Federal Reserve staff to discuss important topics, methodologies, and challenges regarding stress testing for large financial institutions and the financial system.

This conference is tailored for researchers and academics.

Agenda

8:50 to 9:00

Introduction

9:00 to 9:45

Mortgage Loss Severities: What Keeps Them So High?

Authors:

Xudong An (FR-PHL)

Larry Cordell (FR-PHL)

Discussant:

Paul Goldsmith-Pinkham (Yale)

9:45 to 10:30

Measuring Risks in Hedge Funds: Evaluation & Usefulness of Exposure Data in Form PF

Authors:

Phillip J. Monin (Treasury)

Matthew Pritsker (FR-BOS)

Stathis Tompaidis (UT Austin)

Discussant:

Nicole M. Boyson (Northeastern)

10:30 to 10:45

Break / Refreshments

10:45 to 11:30

How Safe are Central Counterparties in Derivative Markets?

Authors:

Mark Paddrik (Treasury)

H. Peyton Young (LSE, Oxford, and Treasury)

Discussant:

Rod Garratt (UCSB)

11:30 to 12:15

Swing Pricing for Mutual Funds: Breaking the Feedback Loop between Firesales and Runs

Authors:

Agostino Capponi (Columbia)

Paul Glasserman (Columbia)

Marko Weber (Columbia)

Discussant:

Fernando Duarte (FR-NY)

12:15 to 1:30

Lunch

Speaker:

Beverly Hirtle, Executive VP and Director of Research, FR-NY

1:30 to 2:15

Model Secrecy and Stress Tests

Authors:

Yaron Leitner (FR-PHL)

Basil Williams (NYU)

Discussant:

Dong Beom Choi (FR-NY)

2:15 to 3:00

Taking Regulation Seriously: Fire Sales under Solvency and Liquidity Constraints

Authors:

Jamie Coen (LSE)

Caterina Lepore (Bank of England)

Eric Schaanning (RiskLab, ETH Zurich and Norges Bank)

Discussant:

Thomas Eisenbach (FR-NY)

3:00 to 3:15

Break / Refreshments

3:15 to 4:00

Stressed Banks

Authors:

Diane Pierret (University of Lausanne and Swiss Finance Institute)

Roberto Steri (University of Lausanne and Swiss Finance Institute)

Discussant:

Daniel Green (HBS)

4:00 to 4:45

Modeling Your Stress Away

Authors:

Friederike Niepmann (FRB)

Viktors Stebunovs (FRB)

Discussant:

Emily Williams (HBS)

Contacts

Stress Testing Research Conference Organizing Committee