Name of the Event: Workshop organized by Research Task Force of the Basel Committee on Banking Supervision on Stress Testing
Venue: Amsterdam, The Netherlands
Date: 7th March 2008
Principal Areas of Discussion: Stress Testing of the Credit Risk Portfolios, the connection between Macro and Micro.
Speakers: Professor Darrell Duffie
Objectives: Promote research on the topic by academicians as well as by the internal researchers of central banks and other supervisory bodies
International and Local Partners of the Event: Basel Committee on Banking Supervision
About Stress Testing of Credit Risk Portfolios: The Link Between Macro and Micro
Basel Committee on Banking Supervision's Research Task Force wants research papers on Stress Testing of Credit Risk Portfolios: The Link Between Macro and Micro. The papers should be current and unpublished. The focus area is the inter linkage between macro stress situations and certain risk measurements. These risk measurements are exposure specific. They include measures like probability of default and default arising from loss.
The program committee calls for a wide variety of research papers. They include topics like, linkage between macroeconomic risk factors and portfolio credit risk, systematic and idiosyncratic recovery risks and portfolio stress testing, usage of multi-component credit risk models in stress tests, stress testing methods involving integration of market and credit risks, design of proper stress scenarios, use of stress tests for measurement of concentration risk, pricing policies of infrequently-traded credit portfolios, joint modeling pro forma involving default probability and correlation. It is expected that, the papers will contain high quality, relevant and original researched materials.
Info regarding submission of papers in the workshop
The program committee comprises Iman van Lelyveld and Hao Zhou. The contact person for submission of research papers is Neil Esho. He can be accessed at Basel Committee's Secretariat. The last date for submission was 9th December 2007. The accepted and finalized papers were due by 15th February 2008.
Bird's eye view of the topic
It's best, if one starts with the component parts of the model. First comes micro stress test. They are formulated to determine the resiliency quotient of individual financial bodies. They serve as tools of institutional risk management.
Macro stress tests test the resilience of the entire financial system, as opposed to the micro components or individual financial entities. It is conducted by IMF and also by the central banks of the countries.
In a nutshell, the purpose of Stress-testing is to maintain a regular checking mechanism for keeping a tab on various financial stability factors.