EBA Research Workshops: 2019 "The future of stress tests in the banking sector – approaches, governance and methodologies"

Wednesday, 27 November 2019 to Thursday, 28 November 2019
Paris, France

Paris, 27-28 November 2019
CALL FOR PAPERS The submission deadline is July 12, 2019.

Stress testing has been used by the banking sector for various purposes, from internal risk management to official micro- and macro-prudential surveillance, as a crisis management tool or as a diagnostic tool in normal times. The main purpose of stress testing in banking is the forward-looking identification of vulnerabilities either in individual financial institutions or in the banking sector as a whole, as well as to assess the resilience of the banks or the system to various types of shocks.

Past exercises of system-wide nature have raised several topics and lessons that deserve to be discussed in detail. While the use of stress testing is widespread and its importance is out of question, there is also debate on the optimal design of such exercises and how to better balance their costs and benefits. These include: are stress tests a good tool to determine a bank’s riskiness? Why were some previous stress tests not able to predict the financial difficulties in some banks? What measures could be taken by banks and by policy makers to further improve the stress tests? Which is the ideal approach?
In the 2019 EBA Policy Research Workshop, the EBA is seeking to explore the future of stress testing in the banking sector and what measures could be taken by policy makers to improve and reap further benefits after several years of stress test exercises in the banking sector.

The workshop aims at bringing together economists and researchers from supervisory authorities and central banks, as well as leading academics, to discuss the lessons learnt and possible areas for improvements in the development and implementation of stress test exercises.
The organisers are inviting submissions of policy-oriented, preferably empirical, research papers on the future of stress tests in the banking sector, their benefits, challenges and ways forward. Researchers from supervisory authorities and central banks are especially encouraged to submit their papers for presentation. Submissions of papers are particularly welcome on the following topics:
• Best practice principles, governance, concepts and frameworks
• Scenario design and calibration
• Development and calibration of models
• Interaction between quantitative analyses, qualitative information and expert judgement
• Top-down and Bottom-up approaches
• Methodologies, strengths and weaknesses

• Data requirements and data gaps
• Interaction between liquidity and solvency stress tests, reverse stress testing, cyber-risk stress testing, and incorporation of climate change risk in stress testing exercises
• Identification of relevant risk drivers and new risks such as the environmental, social and governance (ESG) risk
• Communication of stress test results
Interested parties should submit their draft papers and any queries to [email protected] at the European Banking Authority.

The submission deadline is July 12, 2019.
Contributors will be notified by early September 2019.

Kim Abildgren, Danish Central Bank, Denmark
Matteo Aquilina, Financial Conduct Authority (FCA), United Kingdom Emilios Avgouleas, University of Edinburgh, United Kingdom Rym Ayadi, CASS Business School, United Kingdom Hiona Balfoussia, Bank of Greece, Greece
Ángel Berges, Universidad Autonoma de Madrid, Spain
Olli Castren, European Banking Authority (EBA)
Marina Cernov, European Banking Authority (EBA)
Juan Carlos Crisanto, Bank for International Settlements (BIS)
Samuel Da Rocha Lopes, European Banking Authority (EBA)
Olivier De Bandt, French Prudential Supervision and Resolution Authority (ACPR), France Inês Drumond, Banco de Portugal, Portugal
Klaus Duellmann, European Central Bank (ECB)
Luigi Guiso, Einaudi Institute for Economics and Finance and University of Rome Tor Vergata, Italy Manfred Kremer, European Central Bank (ECB) Monika Marcinkowska, University of Lodz, Poland Edgar Löw, Frankfurt School of Finance and Management, Germany
Lars Overby, European Banking Authority (EBA)
Mario Quagliariello, European Banking Authority (EBA)
Massimiliano Rimarchi, European Banking Authority (EBA)
Lisa Ryu, Federal Reserve Board (FRB), United States of America
Martin Summer, Oesterreichische Nationalbank (OeNB), Austria

July 12, 2019