Conférence - Chaire ACPR

Stress Tests, Scenarios and Systemic Risks

Chaire ACPR - Risques, Régulation et Risques Systémiques

La conférence se déroulera le mercredi 8 mars à 8h30 dans la salle A709 de l'Université Paris-Dauphine. 


PRELIMINARY PROGRAM

8:30 - 9:15 - Invited Session
chairman: De Bandt,O (Director of Research,ACPR)

B., Hirtle (Executive Vice-President, Director of Research, Federal Reserve Bank of NY),
“Lessons from Supervisory Stress Testing”

9:15 - 10:45 Session 1: Stress TestingCredit Risk
chairman : Perignon,C. (HEC)

Camara, B.(ACPR),  Pessarossi, P. (ACPR) and T., Philippon, T(NYU)
"Back Testing European Stress Tests”

Bah, A. (Credit Agricole), Gourieroux,C.(CREST and University Toronto),and A.,Tiomo (Credit Agricole)
“Asymptotic Risk Factor Model with Volatility Factors”

De Bandt,O.(ACPR),  Devost ,G.(ACPR), and M., Dietsch (University of Strasbourg)
“Stress Testing Residential Real Estate Portfolios”

10:45 - 11:15 coffee break

11:15 - 13:15 Session 2 :Stress Testing Market and Systemic Risks
Chairman: Gourieroux, C. (CREST and University of Toronto)

 Rampini, A.(Fuqua School of Business), Viswanathan ,S.(Duke Univ.), and G., Vuillemey (HEC Paris)
"Risk Management in Financial Institutions”

Benoit,S.(Dauphine University), Hurlin,C. (University of Orleans),andC., Perignon (HEC Paris)
“Pitfalls in Systemic Risk Scoring”

Gabrieli ,S.,(Banque de France),and  C. Labonne (ACPR-PSE)
“Bad Sovereigns or Bad Balance Sheets? Risk Adjustment to GIIPS Exposures on the Euro Interbank Market”

Gourieroux, C.(Crest and University Toronto), Monfort,A.(CREST),and J.P.Renne (Lausanne University)
"Statistical Inference for Independent Component Analysis: Application to Structural VAR Models"

13:15 : lunch