Expert Forum on Advanced Techniques on Stress Testing: Applications for Supervisors

May 2-3, 2006
IMF Headquarters, Meeting Hall A and B (3rd Floor)
Washington, D.C.

This website contains papers and web links to papers that were considered at the Expert Forum on Advanced Techniques on Stress Testing: Applications for Supervisors Conference. The views expressed in these papers are those of the authors only, and the presence of them, or of links to them, on the IMF website does not imply that the IMF, its Executive Board, or its management endorses or shares the views expressed in the papers.


Tuesday, May 2, 2006
8:45 a.m. – 9:00 a.m. Opening Remarks
  Mr. Charles Enoch, Acting Director
Monetary and Financial Systems Department
Session 1 Why and How Stress Tests Are Used
9:00 a.m. – 9:30 a.m. Stress Testing: The FSAP Experience
Mr. Tomás Jose T. Balino, International Monetary Fund
9:30 a.m. – 10:00 a.m. Stress Testing at Major Financial Institutions: Survey, Results, and Practice
Ms. Yuko Kawai, Bank of Japan
10:00 a.m. – 10:30 a.m. Coffee Break
10:30 a.m. – 11:00 a.m. Scenario Selection for Financial Stability Stress Tests
Mr. Mathias Drehmann, Bank of England
11:00 a.m. – 11:30 a.m. The Exposure of Swiss Banks to Macroeconomic Shocks
Mr. Hansjoerg Lehmann, Swiss National Bank
11:30 a.m. – 12:00 p.m. Open Discussion
Session 2 Approaches to Stress Testing Credit Risk
  Chair: Mr. Thilo Liebig, Deutsche Bundesbank
12:00 p.m. – 12:30 p.m. Stress Testing Credit Risk: The French Experience
Mr. Olivier Jaudoin, Banque de France
12:30 p.m. – 1:00 p.m. Credit Risk Stress Testing for the Mexican Banking System
Mr. Javier Márquez Diez Canedo, Bank of Mexico
1:00 p.m. – 2:30 p.m. Lunch
2:30 p.m. – 3:00 p.m. Approaches to Stress Testing Credit Risk: Experience gained on Spanish FSAP
Messrs. Jesús Saurina and Carlos Trucharte, Bank of Spain
3:00 p.m. – 3:30 p.m. Open Discussion
3:30 – 3:45 p.m. Coffee Break
Session 3 Stress Testing Market Risk
  Chair: Mr. Shaji Chandrasenan, Monetary Authority of Singapore
3:45 p.m. – 4:15 p.m. Recent Development in Stress Testing Market Risk
Mr. Gerald Krenn, Austrian National Bank
4:15 p.m. – 4:45 p.m. Stress Testing Trading Desks
Mr. Michael Sullivan, Office of the Comptroller of the Currency
4:45 p.m. – 5:00 p.m. Group Photo
Coffee Break
5:00 p.m. – 5:30 p.m. The Interest Rate Risk of Mortgage Loan Portfolios of Banks—A case study of the Hong Kong market
Mr. Jim Wong, Hong Kong Monetary Authority
5:30 p.m. – 6:00 p.m. Open Discussion
6:30 p.m. – 8:00 p.m. >Reception
Hosted by: Mr. Charles Enoch, Acting Director
Monetary and Financial Systems Department
Wednesday, May 3, 2006
Session 4 Liquidity and Contagion Risks
  Chair: Mr. Errol Kruger, South African Reserve Bank
8:30 a.m. – 9:00 a.m. Stress Testing Liquidity: A National Approach
Mr. Gilneu Francisco Astolfi Vivan, Central Bank of Brazil
9:00 a.m. – 9:30 a.m. Cross Border Issues in Stress Testing
Mr. Jan Willem van den End, De Nederlandsche Bank
9:30 a.m. – 10:00 a.m. Contagion in Payment and Settlement Systems
Mr. Matti Hellqvist, Bank of Finland
10:00 a.m. – 10:30 a.m. Open discussion
10:30 a.m. – 11:00 a.m. Coffee Break
Session 5 Specific Issues within Stress Test
  Chair: Mr. John Fell, European Central Bank
11:00 a.m. – 11:30 a.m. Stress Testing: Insurance Companies in Canada
Mr. August C. Chow, Office of the Superintendent of Financial Institutions, Canada
11:30 a.m. – 12:00 p.m. Stress Testing Conglomerates
Mr. Mike Carhill, Office of the Comptroller of the Currency
12:00 p.m. – 12:30 p.m. Stress Testing-Second Round Effects
Mr. Keith Hall, Reserve Bank of Australia
12:30 p.m. – 1:00 p.m. Open Discussion
1:00 p.m. – 2:30 p.m. Lunch
Session 6 Market Practices in Stress testing—Possible Lessons to Be Learned
  Chair: Mr. Paul Kupiec, Federal Deposit Insurance Corporation
2:30 p.m. – 3:00 p.m. Stress Testing Credit Risk
Mr. Joe Henbest, Algorithmics
3:00 p.m. – 3:30 p.m. Counterparty Risk Management of Derivatives
Mr. Peter E. Haagensen, Deutsche Bank
3:30 p.m. – 4:00 p.m. Coffee Break
4:00 p.m. – 4:30 p.m. Stress Testing Operational Risk
Mr. Ali Samad-Khan, OpRisk Advisory LLC
4:30 p.m. – 5:00 p.m. Open Discussion
5:00 p.m. – 5:30 p.m. Business Session and Concluding Remarks
Mr. Jonathan Fiechter, Deputy Director,
Monetary and Financial Systems Department
Program Committee: David Marston and Kal Wajid