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IMF–Hong Kong Monetary Authority

5th Expert Forum on Advanced Stress Testing Techniques

09 October 2012 (Tuesday) - 10 October 2012 (Wednesday)

Room 5601, 56/F, Two International Finance Centre, 8 Finance Street, Central


Programme


Tuesday, October 9
8:30 – 9:00 a.m. Registration and Coffee
9:00 – 9:30 a.m. Welcome and Opening
Dong He, Hong Kong Monetary Authority (HKMA)
Dimitri G. Demekas, International Monetary Fund (IMF)
9:30 – 1:00 p.m. Session I: New Developments in Liquidity and Credit Stress Testing
Chair: Cho-hoi Hui—HKMA
9:30 – 10:00 a.m. Presentation 1: “Liquidity Stress Tests: What Use From a Policy Perspective?” Mattias Persson—Sveriges Riksbank
10:00 – 10:30 a.m. Presentation 2: “A Cash-Flow Based Approach to Liquidity Stress Testing” Benjamin Neudorfer—Oesterreichische Nationalbank
10:30 – 11:00 a.m. Discussant: Haakon Solheim—Norges Bank
and General Discussion
11:00 – 11:30 a.m. Coffee Break
11:30 – 12:00 Presentation 3: “The MacroFinancial Risk Assessment Framework (MFRAF): A Quantitative Tool to Understand and Assess Systemic Risk in the Banking Sector”
Virginie Traclet—Bank of Canada
12:00 – 12:30 p.m. Presentation 4: “Cyclical Default and Recovery in Stress Testing Loan Losses” Esa Jokivuolle—Bank of Finland
12:30 – 1:00 p.m. Discussant: Philipp Koziol—Deutsche Bundesbank
and General Discussion
1:00 – 2:30 p.m. Lunch
2:30 – 5:30 p.m. Session II: Best Principles and Practices in Designing Stress Tests
Chair: Abdelaziz Rouabah—Banque Centrale du Luxembourg
2:30 – 3:00 p.m. Presentation 5: “Macrofinancial Stress Testing: Principles and Practices” Ms. Liliana Schumacher—IMF
3:00 – 3:30 p.m. Presentation 6: “Stress-Testing Stress Testing” Konstantinos Tsatsaronis—Bank for International Settlements
3:30 – 4:00 p.m. Coffee Break
4:00 – 4:30 p.m. Presentation 7: “Stress Testing Practices in China's Banking Sector”
Liang Shidong— People's Bank of China
4:30 – 5:00 p.m. Presentation 8: “Stress Testing Practices in Russia's Banking Sector”
Tatiana Malakhova—Central Bank of Russia
5:00 – 5:30 p.m General Discussion
7:00 p.m. Dinner
(Dinner speaker: Simon Topping, KPMG Hong Kong)
Wednesday, October 10
9:00 – 10:30 a.m. Session III: Incorporating Sovereign Risk and Macro Feedbacks in Stress Testing
Chair: Alessio De Vincenzo—Banca di Italia
9:00 – 9:30 a.m. Presentation 9: ”Evolution of Macro Stress Testing in India”
Supriya Majumdar—Reserve Bank of India
9:30 – 10:00 a.m. Presentation 10: “Framework for Integrating Sovereign Risks and Macro Feedbacks in Stress Testing”
Dale Gray—IMF
10:00 – 10:30 a.m. Discussant: Ms. Paula Antão—Banco de Portugal
and General Discussion
10:30 – 11:00 a.m. Coffee Break
11:00– 1:00 p.m. Session IV: Enhancing Analysis of Domestic and International Spillovers/contagion/network Effects in Stress Testing
Chair: IMF
11:00 – 11:30 a.m. Presentation 11: “An Overview of Systemic Risk Analysis: Practice at the Bundesbank”
Christoph Memmel—Deutsche Bundesbank
11:30 – 12:00 Presentation 12: “Stress Testing Analysis of Impact of European Crisis on Hong Kong Banking Sector”
Eric Wong—HKMA
12:00 – 12:30 p.m. Presentation 13: “Assessing Interconnectedness and Contagion Risk in the Indian Banking System”
Dimple Bhandia—Reserve Bank of India
12:30 – 1:00 p.m. Discussant: Amadou Sy—IMF
and General Discussion
1:00 – 2:00 p.m. Lunch
2:00 – 3:30 p.m. Panel and Open discussion on Uses and Impact of Stress Testing
Chair: Dimitri Demekas—IMF

Mattias Persson (Riksbank), Dong He (HKMA),
Christian Durand (Banque de France), Kostas Tsatsaronis (BIS)
3:30 – 3:45 pm Closing remarks
Dimitri Demekas—IMF


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