2020 Federal Reserve Stress Testing Research Conference 2020 Federal Reserve Stress Testing Research Conference

Thursday, October 8, 2020
1:00 p.m. - 5:30 p.m.
Friday, October 9, 2020
1:00 p.m. - 5:30 p.m.
Virtual

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
Thursday, October, 8, 2020

1:00 to 1:05

Welcome

 

Stress Test Design

1:05 to 1:50

Liquidity At Risk: Joint Stress Testing of Solvency and Liquidity

Authors:

Rama Cont (Oxford)

Artur Kotlicki (Oxford)

Laura Valderrama (IMF)

Discussant:

Paul Glasserman (Columbia)

1:50 to 2:35

Designing Stress Scenarios

Authors:

Cecilia Parlatore (NYU-Stern)

Thomas Philippon (NYU-Stern)

Discussant:

Florian Heider (ECB)

2:35 to 3:00

Break

3:00 to 3:45

Keynote Address

Tobias Adrian, Financial Counsellor and Director of the Monetary and Capital Markets Department of IMF

3:45 to 4:00

Break

 

Lightning Session: Topics in Stress Testing

4:00 to 4:15

Bank Stress Testing: Public Interest or Regulatory Capture?

Authors:

Thomas Ian Schneider (Old Dominion)

Philip E. Strahan (Boston College)

Jun Yang (University of Notre Dame)

4:15 to 4:30

The Disciplining Effect of Supervisory Scrutiny in the EU-wide Stress Test

Authors:

Christoffer Kok, (ECB)

Carola Müller (Norges Bank)

Cosimo Pancaro (ECB)

4:30 to 4:45

Persuading Multiple Audiences: An Information Design Approach to Banking Regulation

Authors:

Nicolas Inostroza (University of Toronto)

4:45 to 5:00

Expectations and Bank Lending

Authors:

Yueran Ma (Chicago Booth)

Jose-Luis Peydro (UPF-CREI)

Teodora Paligorova (FRB)

5:00 to 5:30

Breakout Discussions

Friday, October, 9, 2020

 

Effects of Stress Tests

1:00 to 1:45

Stress Testing and Bank Lending

Authors:

Joel Shapiro (Oxford)

Jing Zeng (Frankfurt School of Finance & Management)

Discussant:

Itay Goldstein (Wharton)

1:45 to 2:30

Banks’ Stress Test Results and Their Impact on Consumer Credit Markets

Authors:

Sumit Agarwal (National University of Singapore)

Xudong An (FRB-Phil)

Larry Cordell (FRB-Phil)

Raluca A. Roman (FRB-Phil)

Discussant:

Sasha Indarte (Wharton)

2:30 to 3:00

Break

3:00 to 3:45

Stress Test Failures and Corporate Mergers and Acquisitions

Authors:

Buhui Qui (University of Sydney)

Teng Wang (FRB)

Discussant:

Isil Erel (Ohio State)

 

Lightning Session: Macroprudential Policy and COVID-19

3:45 to 4:00

The Risk Management Approach to Macro-Prudential Policy

Authors:

Sulkhan Chavleishvili (ECB)

Robert F. Engle (NYU-Stern)

Stephan Fahr (ECB)

Manfred Kremer (ECB)

Simone Manganelli (ECB)

Bernd Schwaab (ECB)

4:00 to 4:15

What Explains the Crash of Bank Stock Prices during COVID-19? The Role of Health, Financial and Oil Price Risks

Authors:

Viral V. Acharya (NYU-Stern)

Robert F. Engle (NYU-Stern)

Sascha Steffen (Frankfurt School of Finance & Management)

4:15 to 4:30

Liquidity Insurance vs. Credit Provision: Evidence from the COVID-19 Crisis

Authors:

Tumer Kapan (IMF)

Camelia Minoiu (FRB)

4:45 to 5:00

Conference Wrap-Up and Virtual Happy Hour

Contacts

Stress Testing Research Conference Organizing Committee