2021 Federal Reserve Stress Testing Research Conference 
Background
Since the financial crisis, stress testing has become a key tool for evaluating the resilience of financial institutions and the financial system. For example, stress tests of U.S. large banking organizations are now conducted annually under the Dodd-Frank Act and as part of the Comprehensive Capital Analysis and Review (CCAR). Similar stress testing efforts have also been adopted internationally in recent years. Stress testing has become increasingly important in assessing the resilience of the financial system as a whole and the strength of the balance sheets of firms and households. It has also become a more prominent risk management tool for financial institutions. Accordingly, stress testing as a discipline has become an increasingly important area for economic research and policy.
Conference Format
This online conference will consist of presentations of papers by leading researchers at academic and policy institutions. Some of the paper presentations will be followed by a discussion from a subject-matter expert.
With the author’s approval, the papers presented at the conference may be made available to the public on the Federal Reserve’s website.
Organizing Committee
Eliana Balla, Federal Reserve Bank of Richmond
Luca Guerrieri, Federal Reserve Board
David Hou, Federal Reserve Board
Anya Kleymenova, Federal Reserve Board
Jose A. Lopez, Federal Reserve Bank of San Francisco
Cindy Vojtech, Federal Reserve Board
Agenda
Thursday, October, 7, 2021
Welcoming Remark and Introductions
Kathleen Johnson, Deputy Associate Director, Supervision and Regulation Division, Federal Reserve Board
Lael Brainard, Member of the Federal Reserve Board of Governors
Session 1: Systemic Risk & Interconnectedness
On the Origin of Systemic Risk
Mattia Montagna (ECB)
Gabriele Torri (University of Bergamo)
Giovanni Covi (Bank of England)
Celso Brunetti, Chief of Systemic Financial Institutions and Markets Section, FRB
Shock Amplification in an Interconnected Financial System of Banks and Investment Funds
Matthias Sydow (ECB)
Aurore Schilte
Giovanni Covi
Marija Deipenbrock
Leonardo Del Vecchio
Pawel Fiedork
Gábor Fukker
Max Gehrend
Régis Gourdel
Alberto Grassi
Björn Hilberg
Michiel Kaijser
Georgios Kaoudis
Luca Mingarelli
Mattia Montagna
Thibaut Piquard
Dilyara Salakhova
Natalia Tente
Alexandros Vardoulakis, Chief of Macroprudential Policy Analysis Section, FRB
Break
Special Address
Cindy Vojtech, Principal Economist in Financial Institution Risk Evaluation Section, Federal Reserve Board
Andreas Lehnert, Director of the Financial Stability Division, Federal Reserve Board
Session 2: Climate Risk I
Climate Stress Testing
Hyeyoon Jung (NYU-Stern)
Robert Engle (NYU-Stern)
Richard Berner (NYU-Stern)
Marcin Kacperczyk, Professor of Finance, Imperial College London
Session 3: Topics in Stress Testing
Watch What They Do, Not What They Say: Estimating Regulatory Costs from Revealed Preferences
Adrien Alvero (Columbia Business School)
Sakai Ando (IMF)
Kairong Xiao (Columbia Business School)
How Do Global Systemically Important Banks Lower Capital Surcharges?
Jared Berry (Morning Consult)
Akber Khan (FRB)
Marcelo Rezende (FRB)
A Finance Approach to Climate Stress Testing
Henk Jan Reinders (World Bank)
Dirk Schoenmaker (Rotterdam)
Mathijs van Dijk (Rotterdam)
End of Day 1 - Happy Hour
Friday, October, 8, 2021
Welcome
Patrick deFontnouvelle, Vice President of Supervision and Regulation Division, Federal Reserve Bank of Boston