Systemic Risk and Stress Testing
The workshop addresses systemic risks and how to identify vulnerabilities in the banking sector. We will discuss top-down stress testing, following the latest guidelines, and present methodologies through practical examples.
Participants will receive a comprehensive overview of systemic risk and stability, dimensions and framework of financial stability policy of crisis prevention and management. They will focus on top-down stress tests, focus on dynamic models and discuss latest observations.
They will be exposed to different scenarios of bank-wide stress tests. Cross-sectoral (insurance and pension funds sectors) comparison will also be addressed to illustrate specificities and differences.
The workshop is based around an interactive case study. With this practical exercise, the participants will analyse risks and key macroprudential indicators for assessment of financial stability, discuss scenarios, and propose actions in response to provided stress tests.
We will work on:
- Systemic risk, financial stability, and macroprudential policy framework
- Bank-wide and cross-sectoral stress tests
- ECB stress testing toolbox (e.g. Macrofinancial scenario design and models; Satelite models for credit and market risk: translating macro-financial scenario into asset valuation and quality; Dedicated composite models for systemic risk analysis: contagion analysis)
- Example of the use of top down infrastructure in the EU wide stress test exercise
- Large model stress testing (e.g. Semi-structural model with heterogeneous banks; modelling the feedback loop between banks and real economy; Policy applications of macroprudential stress testing e.g. CCyB calibration)
- Example of setting up a macroprudential stress test exercise on the basis of EU-wide stress test scenarios
- Practical case study exercise – work in groups
Staff from financial stability and research departments and experts involved in conducting top-down stress tests. The workshop is also intended for senior officials who interact with other economic and financial agencies and policy advisers in units responsible for policy planning and coordination. Central banks and other competent authorities with a financial stability mandate are invited to join.
Katarzyna Budnik, European Central Bank
Katarzyna is currently Principal Financial Stability Expert in the Stress Test Modelling Division at the ECB. She is responsible for macroprudential stress test and policy assessment. She joined the ECB in 2010 and has worked in different areas of Financial Stability and Economics. Prior to moving to the ECB, she was heading the Forecasting Division at the National Bank of Poland. She received her PhD degree (Econ) with honors from the Warsaw School of Economics. Her research interests include macroprudential and monetary policies, banking, macroeconomic modelling and labor markets.
Petr Jakubik, European Insurance and Occupational Pensions Authority EIOPA
Petr leads the Financial Stability Team responsible for financial stability analyses and assessments including insurance and pension stress tests, financial stability reports and risk dashboards. Previously, he was working as an economist at the European Central Bank, technical adviser at the Bank for International Settlements, financial stability consultant at the Oesterreichische Nationalbank and Central Bank of Malta, chief economist at the Czech National Bank, visiting researcher at the Bank of Finland and credit risk analyst in the private banking sector. He received the Financial Stability Institute Award 2008 and Irving Fisher Committee Award 2010 of the Bank for International Settlements. In 2012-2013, he was the President of the Czech Economic Society.
He has extensively provided technical assistance, in particular, in the area of financial stability, designed macro stress tests for the Central Bank of the Republic of Turkey, National Bank of Serbia and Central Bank of Malta. He regularly gives trainings and presentations on financial stability issues in different international fora, having sound policy-relevant publication record. He is habilitated as an associate professor in economic theories by the Charles University, currently also lecturing at the Charles University and the University of Finance and Administration in Prague. He holds a PhD in finance and PhD in economics, MA in economics, MA in statistics and insurance and MSc in mathematics and computer sciences.
Pierre Monnin, Council on Economic Policies
Pierre is focusing on the environmental and social effects of monetary policy. Prior to that he has been with the Swiss National Bank (SNB) in various roles for a total of ten years – counseling SNB’s Board Members on issues concerning financial markets and monetary policy as well as developing measures of financial stability and integrating them into the bank’s monetary policy framework. He also worked at Man Investments as a Quantitative Analyst, developing asset allocation strategies for alternative investments. Pierre holds a PhD in Economics from the University of Zurich, a MSc in Economics from Queen Mary, University of London, as well as a MSc in Statistics and a BA in Economics from the University of Neuchatel.
This learning initiative was supported by: