3rd EBA Policy Research Workshop “How to measure the riskiness of banks”

Date : 25/11/2014 - 26/11/2014 |

Please note that the workshop is reserved for all relevant participants from national authorities, researchers at the national authorities, supervisors and policy experts. Participation is by invitation only. 

Day 1 – 25 November 2014

Welcome Speech – EBA Chairperson Andrea Enria

Key Note Speech – George Pennacchi, University of Illinois

Measuring Systematic Risk
Session 1: Credit Risk

A. Brezigar-Masten, University of Primorska, I. Masten, University of Ljubljana, M. Volk, Bank of Slovenia - Presentation

B. Bruno, Bocconi University, G. Nocera, Audencia Nantes School of Management, A. Resti, Bocconi University - Presentation

Discussion: Lars Overby, EBA

J. Li, ESSEC Business School, G. Zinna, Bank of Italy

Chair: George Pennacchi, University of Illinois
Session 2: Other Risks

O. de Bandt, B. Camara, P. Pessarossi, M. Rose, Banque de France - Presentation

S. Kerbl, Osterreichische Nationalbank - Presentation

Evidence, Estimates and Extreme Values from Austria

P. Pessarossi, ACPR, Banque de France, F. Vinas, Paris School of Economics, ACPR Banque de France

Reallocation of banks’ portfolio during a liquidity shock: Evidence from the 2007-2009 financial crisis
Chair: Andrea Resti, Bocconi University
Session 3: Systemic Risk
K. Fink, U. Krüger, B. Meller, L.H. Wong, Deutsche Bundesbank - Presentation

G. Hauton ACPR, Banque de France, J.C Héam, ACPR, Banque de France - Presentation

How to Measure Interconnectedness between Banks, Insurers and Financial Conglomerates?
Discussion: Lampros Kalyvas, EBA

R. Garcia-Cespedes, BBVA, M. Moreno, University of Castilla La-Mancha - Presentation

Chair: David Llewellyn, University of Loughborough
Day 2 – 26 November 2014 
Session 4: Macro-prudential Risk

L. Alessi, C. Detken, European Central Bank - Presentation

Discussion: Raffaele Passaro, EBA

J. Villar Burke, European Commission - Presentation

P. Alessandri, Banca d’Italia, S. Masciantonio, Banca d’Italia, A. Zaghini, Banca d’Italia and CFS - Presentation
Chair: Rafael Repullo, CEMFI
Comparing Flat and Risk-based Capital Requirements
Session 5: Stress Test

E. Neretina, Tilburg University, C. Sahin, De Nederlandsche Bank & University of Groningen, J. de Haan De Nederlandsche Bank & CESifo

Banking Stress Test Effects on Returns and Risks
L. Hahnenstein, C. Greve, WGZ BANK AG - Presentation
E. Gaffney, R. Kelly, F. McCann, Central Bank of Ireland - Presentation 
Chair: Mario Quagliariello, EBA

Closing Remarks – EBA Executive Director Adam Farkas