2021 Federal Reserve Stress Testing Research Conference 2021 Federal Reserve Stress Testing Research Conference

Thursday, October 7, 2021
Friday, October 8, 2021


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

Thursday, October, 7, 2021

10:00 to 10:45

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

10:45 to 11:30
11:30 to 12:15

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

12:15 to 12:45


12:45 to 1:30

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

1:30 to 2:15

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

2:45 to 3:00
3:00 to 3:15

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

10:00 to 10:05


Patrick deFontnouvelle, Vice President of Supervision and Regulation Division, Federal Reserve Bank of Boston


Session 4: Unintended Consequences of Stress-Testing

11:35 to 11:45



Session 5: Cybersecurity Risk

12:30 to 1:00



Session 6: Credit Risk Modeling


Session 7: Climate Risk II (Invited paper)

2:30 to 3:15

End of Day 2 - Happy Hour


Stress Testing Research Conference Organizing Committee