Conference venue :
University Dauphine House of Finance - Room A709 – Building A - Place du Maréchal de Lattre de Tassigny, 75116 Paris
8.30 – 9.15 : Invited Session
Chairman : Bandt, O., Director for Research (ACPR)
- B., Hirtle (Executive Vice-President, Director of Research, Federal Reserve Bank of NY): "Lessons from Supervisory Stress Testing"
9.15 – 10.45 : Stress Testing Credit 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 : 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