2ème demi-journée de la Chaire ACPR : Stress tests, scenarios, and systemic risk
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
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- Published on 09/28/2017
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Updated on: 03/19/2019 15:41