Date : 07/11/2023 09:00 - 08/11/2023 16:00 (Paris time) | Duration: 09:00 - 16:00 (Paris time) | Location:
The 2023 EBA Policy Research Workshop focuses on interest rate and liquidity risk management and global financial regulation in a changing macro-economic environment. The event will explore policies that can ensure appropriate management of interest rate and liquidity risks while preserving financial stability.
Welcome SpeechJosé Manuel Campa, EBA Chairperson |
9.30-9:50 |
Keynote Speech: Bank Equity RiskDavid Lando, Copenhagen Business School |
9.50-10.50 |
Session 1: Banking regulation and liquidity risk managementChair: Olli Castren, Head of Economic Analysis and Impact Assessment Unit (EBA) Basel III joint regulatory constraints: interactions and implications for the financing of the economyLaurent Clerc, Sandrine Lecarpentie, Cyril Pouvelle (French Prudential Supervision and Resolution Authority, Bank of France) Discussant: Jacob Gyntelberg, Economic and Risk Analysis (EBA) Discussion Designing agile banking supervisionJohn Kim, Kyungmin Kim, Victoria Liu, Noam Tanner (Emory University, Federal Reserve Bank of Boston) Discussant: Cyril Pouvelle, Bank of France Paper Presentation Bank Bond Holdings and Bail-in Regulatory Changes: Evidence from Euro Area Security RegistersCarlo Altavilla, Cecilia Melo Fernandes, Steven Ongena, Alessandro Scopelliti (ECB and CEPR, IMF, University of Zurich, SFI, KU Leuven, NTNU Business School and CEPR, KU Leuven) Discussant: Tiago Pinheiro, Banco de Portugal Paper Presentation |
11.20-13.10 |
Session 2: Bank securities portfolios - trading and liquidityChair: Samuel Da-Rocha-Lopes, Senior Bank Sector Analyst (EBA) Outages in Sovereign Bond MarketsMark Kerssenfischer, Caspar Helmus (Deutsche Bundesbank, ECB) Discussant: Samuel Rosen, Fox School of Business – Temple University Paper Discussion Securities Portfolio Management in the Banking SectorSamuel Rosen, Xun Zhong (Fox School of Business, Temple University, Gabelli School of Business, Fordham University) Discussant: John Krainer, Federal Reserve Board Paper Presentation Discussion Monetary Transmission through Bank Securities PortfoliosJohn Krainer, Pascal Paul, Daniel Greenwald (Federal Reserve Board, FRB San Francisco, NYU Stern School of Business) Discussant: Rym Ayadi, City – University of London Discussion |
14.10-16.00 |
Session 3: Liquidity and funding - credit lines and asset pricingChair: Lars Overby, Head of Risk-based Metrics (EBA) Bond Convenience Curves and Funding CostsJuuso Nissinen, Markus Sihvonen (Aalto University, Bank of Finland) Discussant: Florian Wicknig, Bundesbank Paper Presentation Optimal Regulation of Credit LinesJose E Gutierrez, Luis Fernandez Lafuerza (Banco de Espana) Discussant: Markus Sihvonen, Bank of Finland Discussion |
16.30-17.30 |
Keynote Speech: Monetary policy, balance sheet management, liquidity, and financial stabilityRaghuram G. Rajan, The University of Chicago Booth School of Business |
9.00-10.00 |
Session 4: Interest rate risk and asset-liability managementChair: Despo Malikkidou, Policy Expert (EBA) Hedging Securities and Silicon Valley Bank IdiosyncrasiesRaymond Kim (W.A. Franke College of Business, Northern Arizona University) Discussant: Daniel Fricke, Deutsche Bundesbank Paper Presentation Discussion Modelling the duration of retail bank depositsHoffman, S. Frontczak, F. Pierobon (European Central Bank) Discussant: Petros Migiakis, Bank of Greece Paper Presentation Discussion Excess reserves and monetary policy tighteningD. Fricke, Stefan Greppmair, Karol Paludkiewicz (Deutsche Bundesbank) Discussant: Raymond Kim, Northern Arizona University Paper Presentation Discussion |
10.00-11.50 |
Session 5: Liquidity and Leverage - Banking and FintechChair: Klaus Duellmann, ECB Digital disruptors at the gate. Does FinTech lending affect bank market power and stability?Pedro J. Cuadros – Solas, Elena Cubillas, Carlos Salvador, Nuria Suarez (CUNEF Universidad, Universidad de Oviedo, Universitat de Valencia, Universidad Autonoma de Madrid) Discussant: Marina Cernov, Senior Policy Expert (EBA) Paper Presentation Discussion DeFi LeverageLioba Heimbach, Wenqian Huang (ETH Zurich, Bank of International Settlements) Discussant: Pedros J Cuadros Solas, CUNEF Universidad Paper Presentation Discussion |
12.10-13.10 |