2022 Federal Reserve Stress Testing Research Conference 2022 Federal Reserve Stress Testing Research Conference

Thursday, October 6, 2022
Friday, October 7, 2022
Hybrid
Federal Reserve Bank of Boston

Registration for in-person attendance is closed, but registration for online attendance is still open. Please email StressTestingConference@frb.gov with any questions.

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 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

We intend to host the conference in a hybrid format, with the option of participating online or in person, at the Federal Reserve Bank of Boston. Some limited funding to cover travel expenses may be available for paper presenters and discussants. Although we hope to see everyone in Boston, we will revert to a fully virtual format should conditions related to COVID-19 not allow in-person participation.

The conference will consist of presentations of academic research papers. Some of the paper presentations will be followed by discussions.

With the authors' approval, the papers presented at the conference may be made available to the public on the website of the Federal Reserve Bank of Boston.

Organizing Committee

Ronel Elul, Federal Reserve Bank of Philadelphia
Luca Guerrieri, Federal Reserve Board
Anya Kleymenova, Federal Reserve Board
Michal Kowalik, Federal Reserve Bank of Boston
John Krainer, Federal Reserve Board
Daniela Scida, Federal Reserve Bank of Richmond
Cindy Vojtech, Federal Reserve Board

Agenda
Thursday, October, 6, 2022

10:15 to 10:45

Welcoming Remarks and Introductions

Introduction: Ken Heinecke (FRB-Minneapolis)

Shannon Kelly, Associate Director, Supervision and Regulation Division, Federal Reserve Board

 

Session 1: Stress Test Modeling

Chair: Luca Guerrieri (FRB)

10:45 to 11:30

Recourse as Shadow Equity

Authors:

David Glancy (FRB)*
Robert Kurtzman (FRB)
Lara Lowenstein (FRB-Cleveland)
Joe Nichols (FRB)

Discussant:

Rossen Valkanov (UCSD)

11:30 to 12:15

Haste Makes Waste: Banking Organizational Growth and Operational Risk

Authors:

W. Scott Frame (FRB-Dallas)
Ping McLemore (FRB-Richmond)*
Atanas Mihov (University of Kansas)

Discussant:

James Vickery (FRB-Philadelphia)

12:15 to 1:30

Lunch Break

 

Session 2: Consequences of Stress Testing

Chair: Michal Kowalik (FRB-Boston)

1:30 to 2:15

Bank Stress Testing, Human Capital Investment and Risk Management

Authors:

Thomas Schneider (Old Dominion University)
Philip E. Strahan (Boston College)
Jun Yang (University of Notre Dame)*

Discussant:

Andrew Ellul (Indiana University)

2:15 to 2:30

Stress Tests and Capital Requirement Disclosures: Do They Impact Banks' Lending and Risk-Taking Decisions?

Authors:

Paul Konietschke (ECB)*
Steven Ongena (University of Zurich)
Aurea Ponte Marques (ECB)

Discussant:

Mark Flannery (University of Florida)

3:00 to 3:15

Break

 

Session 3: Policy Discussion

Chair: Ronel Elul (FRB-Philadelphia)

3:15 to 4:15

Enhancing Stress Tests by Adding Macroprudential Elements

Authors:

William F. Bassett (FRB)
David E. Rappoport (FRB)*

 

Approaches to Climate Risk in FSAPs

Authors:

Tobias Adrian (IMF)
Ivo Krznar (IMF)
Vikram Haksar (IMF)*

 

End of Day 1 - Happy Hour

Friday, October, 7, 2022

9:15 to 9:30

Welcome from Federal Reserve Bank of Boston Management

Patrick deFontnouvelle (FRB-Boston)

 

Session 4: Stress Testing Design

Chair: Anya Kleymenova (FRB)

9:30 to 10:15

Optimal Stress Tests in Financial Networks

Author:

Jing Huang (Texas A&M)

Discussant:

Lucy White (Boston University)

10:15 to 11:00

Should Bank Stress Tests be Fair?

Authors:

Paul Glasserman (Columbia University)*
Mike Li (Columbia University)

Discussant:

Matthew Plosser (FRB-NY)

11:00 to 11:15

Break

11:15 to 12:15

Plenary Address: Rethinking the Roles of Stress Testing

Introduction: Lisa Ryu (FRB)

Daniel Tarullo (Harvard Law School and Former Member of the Board of Governors of the Federal Reserve System)

12:15 to 1:30

Lunch Break

 

Session 5: Issues in Stress Testing

Chair: Cindy Vojtech (FRB)

1:30 to 2:15

United They Fall: Bank Risk after the Financial Crisis

Authors:

Priyank Gandhi (Rutgers University)*
Amiyatosh Purnanandam (University of Michigan)

Discussant:

Jose Fillat (FRB-Boston)

2:15 to 3:00

Current Expected Credit Losses (CECL) Standard and Banks' Information Production

Authors:

Sehwa Kim (Columbia University)
Seil Kim (Baruch College)
Anya Kleymenova (FRB)*
Rongchen Li (Columbia University)

Discussant:

Joao Granja (UChicago-Booth)

 

End of Day 2

*presenting author

Contacts

Stress Testing Research Conference Organizing Committee