8:30 - 9:15: Invited Session:

Chairman: de Bandt, O. (Director of Research, ACPR)

Hirtle, B. (Executive Vice-President, Director of Research, Federal Reserve Bank of NY),

• Lessons from Supervisory Stress Testing

9:15 - 10:45: Session 1: Stress Testing Credit Risk

Chairman: Pérignon, C. (HEC Paris)

Camara, B. (ACPR), Pessarossi, P. (ACPR), and Philippon, T. (NYU).

• Back Testing European Stress Tests

Bah, A. (Credit Agricole), Gourieroux, C. (CREST and University Toronto), and Tiomo, A.(Credit Agricole):

• Asymptotic Risk Factor Model with Volatility Factors

de Bandt, O. (ACPR), Devost, G. (ACPR), and Dietsch, M. (University of Strasbourg):

• Stress Testing Residential Real Estate Portfolios

10:45 - 11:15: coffee break

11:15 - 13:15: Session 2: Risks in the Banking Sector

Chairman: Gourieroux, C. (CREST and University of Toronto)

Rampini, A. (Duke), Viswanathan, S. (Duke), and Vuillemey, G. (HEC Paris):

• Risk Management in Financial Institutions

Benoit, S. (Dauphine), Hurlin, C. (University of Orleans), and Pérignon, C. (HEC Paris):

• Pitfalls in Systemic Risk Scoring

Gabrieli, S. (Banque de France) and Labonne, C. (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 Renne, J.P. (Lausanne University)

• Statistical Inference for Independent Component Analysis: Application to Structural VAR Models