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1. Introduction
2. Our objectives
3. Agenda
4. Risk profile of central banks
5. Key risks of central bank operations
6. Issues for risk management: monetary policy
7. Reserves management
8. Payment and settlement systems
9. Prudential regulation and supervision
10. Issues for risk management (1)
11. Issues for risk management (2)
12. Review of stress testing methodology
13. Why do we need stress testing? (1)
14. Why do we need stress testing? (2)
15. Stress testing objectives for financial institutions
16. Objectives for central banks and regulators
17. Stress testing individual portfolios algorithm (1)
18. Stress testing individual portfolios algorithm (2)
19. Stress testing individual portfolios algorithm (3)
20. Stress testing recommendations before 2008
21. Common practices
22. Diagram of practices
23. Nonconventional and innovative approaches
24. Stress testing financial systems
25. Approaches to stress testing financial systems
26. Bottom-up (decentralized) approach
27. Top-down (centralized) approach
28. What makes macro stress testing different?
29. Interbank exposures and contagion
30. Data requirement for macro stress testing
31. Examples of stress testing financial systems
32. EU-wide top-down stress testing
33. Top-down stress testing of Russian banks (1)
34. Top-down stress testing of Russian banks (2)
35. Top-down stress testing in Russia: drawbacks
36. How relevant are hypothetical stress scenarios?
37. Why crises are difficult to predict and model?
38. Financial Sector Assessment Program (FSAP)
39. FSAP stress scenarios for Russian banks (2007)
40. FSAP scenarios versus real crisis (1)
41. FSAP scenarios versus real crisis (2)
42. FSAP scenarios versus real crisis (3)
43. FSAP scenarios versus real crisis - conclusions
44. Guidelines for stress testing in post-crisis era
45. Recommendations of Basel committee
46. Principles for banks applicable to regulators (1)
47. Principles for banks applicable to regulators (2)
48. Reverse stress testing
49. Principles for banks applicable to regulators (3)
50. Select principles for supervisors
51. Conclusions and open issues
52. Summary and conclusions (1)
53. Summary and conclusions (2)
54. Open issues and challenges
55. Thank you
56. References

Topics Covered

• Risk profile of central banks
• Risk management issues at central banks
• Objectives for stress testing at financial firms, central banks and regulators
• Stress testing on portfolio level
• Pre-crisis recommendations for stress testing
• Innovative stress testing methodologies
• Stress testing financial systems
• Bottom-up and top-down approaches to macro stress testing
• Examples of top-down stress testing
• Case study: FSAP scenarios and real dimensions of crisis in Russia in 2008-09
• Select principles for sound stress testing
• Reverse stress testing
• Open issues and challenges

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on March 1, 2012