Conference
December 15–16, 2016
The International Monetary Fund will host the IMF/LSE Symposium: Macroprudential Stress Test and Policies: A Framework in Washington D.C. on December 15-16, 2016.
Stress testing has become firmly embedded in the postcrisis macroprudential agenda of major financial centers around the world. The aim of this project is threefold: (i) present state-of-the-art macroprudential stress test methodologies discussing modeling and implementation challenges; (ii) provide a roadmap for future research and practical implementations in stress testing and; (iii) guide authorities on the use of MaPSTs to support macroprudential tool calibration and policies.
| Thursday, December 15, 2016 - Day One | |
|---|---|
| 8:30am |
Registration (IMF HQ2 Conference Hall 1) |
| 9:00am |
Opening Remarks
|
| 9:15am |
Session One: Report from MCM-LSE Working Group
|
| 9:45am |
Session Two: Objectives of Macro-Prudential Stress TestingThe session will highlight the usefulness of Macroprudential Stress Test (MaPST) from different angles. These will include objectives of MaPST and how it could be useful to support risk measurement and management practices. The session will identify gaps in the current panoply of commonly used stress tests and identify areas for enhancing the effectiveness of MaPST frameworks. Chair:
Panelists:
|
| 10:30am |
Coffee Break |
| 11:00am |
Session Three: Amplification: Conceptual and Empirical FrameworksThe session will look into different modelling approaches for amplification mechanisms. The first part of the session will focus on conceptual frameworks, while the second part will discuss implementation challenges such as data and modelling constraints, and issues related to changing nature of contagion (nonlinear and time changing). The session will explore feasible ways to overcome these challenges and the sequence of modelling and data development that policymakers could follow. Chair:
Panelists:
|
| 12:30pm |
Lunch |
| 2:00pm |
Session Four: Implementing Macro-Prudential Stress TestingThis session will present frameworks being developed to quantify systemic risk amplification mechanisms and how those can be embedded them in MaPST. Chair:
Panelists:
|
| 3:30pm |
Coffee Break |
| 4:00pm |
Session Five: Linking Macro-Prudential Stress Testing to Marcoprudential PolicyThe
session will discuss how to calibrate macroprudential policy tools based on MaPST
and explore the usefulness of quantitative metrics and qualitative information
produced by MaPST. The focus will be on how calibration can be done in
practical terms and what methodological challenges might be faced and how to
overcome them. Chair:
|
| 5:30pm |
Cocktail Reception (IMF HQ2 Atrium) |
| Friday, December 16, 2016 - Day Two | |
| 9:00am |
Keynote Address by Simon JohnsonChair:Ratna Sahay, IMF |
| 10:00am |
Session Six: Institutional Frameworks, Governance, and CommunicationThe
session will discuss institutional factors, governance, and accountability
safeguards to ensure the integrity of MaPST. What institutional frameworks
might work better to embed MaPST in policy decision making? What should be the
governance and accountability structures? How to assess the benefits and costs
of a MaPST? How best to communicate information produced by MaPST? Chair:
Panelists: |
| 11:00am |
Coffee Break |
| 11:30am |
Session Seven: Fitting Macro-Prudential Stress Testing into the Broader Policy FrameworkThe
discussion will explore complementarities, trade-offs, and the balancing between
MaPST and micro prudential stress test (MiPST). Some of the questions will
include: how to ensure overall consistency when some instruments are calibrated
with MiPST and some with MaPST? How do you weigh the information content of
MiPST and MaPST if these approaches signal calibration in different directions?
Additionally, when calibrating MaPP instruments what interactions of MaPP with
other policies (monetary and fiscal, capital flow management policies) should
be considered? Chair: Dong He, IMF Panelists: Alexander Brazier (BoE)
Benjamin Friedrich (EBA) |
| 12:30pm | Session Eight: Where do We Go from Here?
The concluding session will be a roundtable feedback session. What did the participants gather from the discussions, and what should be the work agenda going forward? Concrete outcomes will be used to refine the Symposium background paper. Chair: Malcolm Knight, London School of Econommics Panelists: Alexander Brazier (BoE) Deepak Mohanti (RBI), Alan Elizondo (Banco de Mexico) Cho Hoi Hui (HKMA) Hitoshi Mio (BoJ) |
