2024 Federal Reserve Stress Testing Research Conference 2024 Federal Reserve Stress Testing Research Conference

Thursday, October 10, 2024
Friday, October 11, 2024
Hybrid
Federal Reserve Bank of Boston

The conference will be held in a hybrid format, at the Federal Reserve Bank of Boston as well as online, on October 10 and 11, 2024.

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 from academic institutions. 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

Azamat Abdymomunov, Federal Reserve Bank of Richmond
Ronel Elul, Federal Reserve Bank of Philadelphia
Nick Klagge, Federal Reserve Bank of Chicago
Michal Kowalik, Federal Reserve Bank of Boston
Lily Liu, Federal Reserve Bank of Boston
Jose A. Lopez, Federal Reserve Bank of San Francisco
Matthew Plosser, Federal Reserve Bank of New York
Doriana Ruffino, Federal Reserve Board
Young Hwa Seok, Federal Reserve Board

Thursday, October 10, 2024

1:30 PM- 1:45 PM

Start & Welcome

Introduction: Robert F. Sarama (Federal Reserve Board)

1:45 PM ‐ 3:15 PM

Panel on Non-Bank Financial Institutions

Moderator:

Egon Zakrajšek (FRB-Boston)

Panelists:

Viral Acharya (NYU-Stern)
Victoria Ivashina (Harvard Business School)
Tomasz Piskorski (Columbia Business School)

3:15 PM ‐ 3:45 PM

Coffee Break

3:45 PM ‐ 5:15 PM

Innovations in Financial Intermediation

Chair: Ronel Elul (FRB-Philadelphia)

Bank Capital and the Growth of Private Credit (PDF

David S. Scharfstein (Harvard Business School)

Discussant: Young Soo Jang (Penn State)

Diverging Banking Sector: New Facts and Macro Implications (PDF)

Jinyuan Zhang (UCLA)

Discussant: Matthew Plosser (FRB-New York)

5:30 PM

Reception

Friday, October, 11, 2024

8:45 AM to 9:00 AM

Welcome – Day 2

Introduction: Michal Kowalik (FRB-Boston)

9:00 ‐ 11:30 AM

Banks, Non-Banks and Monetary Policy

Chair: Jose A. Lopez (FRB-San Francisco)

Tracing Bank Runs in Real Time (PDF)

Marco Cipriani (FRB-New York)

Discussant: Emil Verner (MIT)

Shadow Banks and the Dynamic Effects of Monetary Policy on Small Business Lending

Dominik Supera (Columbia Business School)

Discussant: James Vickery (FRB-Philadelphia)

Monetary Tightening, Commercial Real Estate Distress, and US Bank Fragility

Tomasz Piskorski (Columbia Business School)

Discussant: Lara Loewenstein (FRB-Cleveland)

11:30 AM ‐ 12:15 PM

Lunch

12:15 PM ‐ 1:15 PM

Lightning Session

Chair: Nick Klagge (FRB-Chicago)

Banks and non-banks stressed: liquidity shocks and the mitigating role of insurance companies (PDF)

Matthias Sydow (ECB)

Climate Transition Risks of Banks (PDF)

Carola Theunisz (Erasmus School of Economics)

Stress Testing Lessons from the Banking Turmoil of 2023 (PDF)

Natasha Sarin (Yale Law School)

1:15 PM ‐ 1:30 PM

Coffee Break

1:30 PM ‐ 3:00 PM

Scenario Design

Chair: Lily Liu (FRB-Boston)

Stress testing with multiple scenarios: a tale on tails and reverse test scenarios (PDF)

Katarzyna Budnik (ECB)

Discussant: Azamat Abdymomunov (FRB-Richmond)

Market Shock Scenario Design: An Option-based Approach

Zheng Duan (FRB-Richmond)

Discussant: Missaka Warusawitharana (Federal Reserve Board)

Contacts

Stress Testing Research Conference Organizing Committee