EBA欧洲银行-2017-Final-Agenda-6th-EBA-Research-Workshop_3页_488kb

2017 EBA Policy Research Workshop Summary

Event Overview

Date: 28–29 November 2017
Location: EBA, Picasso room, Floor 46, One Canada Square, Canary Wharf, London, E14 5AA, UK
Theme: "The future role of quantitative models in financial regulation"

The workshop focused on the evolving use of quantitative models in financial regulation, particularly in the context of credit risk, market risk, interest rate risk, early warning systems, and systemic risks. It brought together regulators, academics, and industry experts to discuss the implications, challenges, and opportunities associated with these models.

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Core Content

The event was structured into several sessions and discussions, covering a range of topics related to the application and impact of quantitative models in banking regulation. Key themes included:

• Internal Models and Regulatory Arbitrage: The potential for banks to exploit regulatory frameworks using internal models.
• Early Warning Systems: Development and application of new methodologies to identify early signs of financial distress in smaller European banks.
• IFRS9 and Default Modelling: Implications of the IFRS9 standard on mortgage default models and expected losses.
• Capital and Liquidity Requirements: Analysis of how higher capital requirements affect bank lending and financial stability.
• Systemic Risk Measurement: Use of correlation networks and macroprudential policy calibration to assess and mitigate systemic risks.

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Main Sessions and Key Points

Day 1 – 28 November 2017

Session 1: Credit Risk, Market Risk, and Interest Rate Risk Models

• "IRB Model Regulatory Arbitrage and Profitability at European Banks" by Giovanni Ferri and Valerio Pesic: Explored how banks can manipulate IRB models to gain regulatory advantages.
• "Bank Use of Sovereign CDS in the Eurozone Crisis: Hedging and Risk Incentives" by Viral Acharya et al.: Analyzed the role of sovereign CDS in risk management and its impact during the Eurozone crisis.
• "Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve" by Daniel Foos et al.: Examined how changes in the yield curve affect interest rate risk exposure.

Chair: Samuel Da Rocha Lopes

Session 2: Early Warning Systems

• "A new approach to Early Warning Systems for smaller European banks" by Despo Malikkidou et al.: Presented an innovative framework for early warning systems tailored to smaller banks.
• "Does High Profitability Hamper Stability for European banks?" by Pierre Pessarossi et al.: Investigated the relationship between profitability and stability in European banks.
• "Predicting bank insolvencies using machine learning techniques" by Anastasios Petropoulos et al.: Demonstrated the potential of machine learning in predicting bank insolvencies.

Chair: Mario Quagliariello

Session 3: Defaults and Accounting under IFRS9

• "Assessing the Cyclical Implications of IFRS 9: A Recursive Model" by Jorge Abad and Javier Suarez: Discussed the cyclical effects of IFRS9 on banks' capital and provisioning.
• "Mortgage default modelling under IFRS9" by Edward Gaffney and Fergal McCann: Focused on the application of IFRS9 to mortgage default models.
• "Expected Losses and Managerial Discretion as Drivers of Countercyclical Loan Loss Provisioning" by Christian Domikowsky et al.: Explored how expected losses and managerial discretion influence countercyclical loan loss provisioning.

Chair: Marina Cernov

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Day 2 – 29 November 2017

Session 4: Capital and Liquidity Requirements and Financial Stability

• "Semi-Structural Credit Gap Estimation" by Jan Hannes Lang and Peter Welz: Introduced a method to estimate credit gaps using semi-structural models.
• "Bank capital and liquidity transformation" by Kristoffer Milonas et al.: Analyzed the link between capital and liquidity transformation in banks.
• "Higher Capital Requirements and Bank Lending: Evidence from the Euro Area Experiments" by Zymantas Budrys et al.: Presented empirical evidence on the impact of capital requirements on lending behavior in the Euro area.

Chair: Lars Overby

Session 5: Systemic Risks

• "Correlation networks to measure the systemic implications of banks resolution" by Paolo Guidici and Laura Parisi: Introduced the use of correlation networks to assess systemic risk in bank resolution.
• "Mitigating Counterparty Risk" by Yalin Gündüz: Explored strategies to reduce counterparty risk in financial systems.
• "Calibrating Macroprudential Policy to Forecasts of Financial Stability" by Scott A. Brave and Jose A. Lopez: Discussed the calibration of macroprudential policies based on financial stability forecasts.

Chair: Klaus Dullmann

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Panel Discussion

Topic: "Use of financial modelling for regulatory purposes - Challenges ahead"
Participants: Andrea Enria (EBA Chairperson), Franklin Allen (Imperial College London), Brad Carr (IIF-The Institute of International Finance), Victoria Saporta (Bank of England)
The panel addressed the challenges and future directions in the use of financial models for regulatory purposes, emphasizing the need for transparency, accuracy, and alignment with policy objectives.

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Key Information

• The event was organized by the European Banking Authority (EBA) and included presentations from various institutions such as the ECB, Bundesbank, and academic bodies.
• It featured a mix of academic research and practical insights from regulators and central banks.
• The discussions highlighted the importance of quantitative models in enhancing financial stability, but also raised concerns about their potential misuse and the need for robust oversight.
• The workshop concluded with a panel discussion that provided a forward-looking perspective on the role of financial modelling in regulation.