12th Annual Research Workshop - Interest rate and Liquidity Risk Management, Regulation and the Macro-economic environment

  • Conference/Workshop
  • -
  • EBA PREMISES | REMOTE

The 2023 EBA Policy Research Workshop focuses on interest rate and liquidity risk management and global financial regulation in a changing macro-economic environment. The event will explore policies that can ensure appropriate management of interest rate and liquidity risks while preserving financial stability.

Day 1 - 7 November 2023

Welcome Speech

José Manuel Campa, EBA Chairperson

9.30-9:50
Keynote Speech: Bank Equity Risk

David Lando, Copenhagen Business School

9.50-10.50
Session 1: Banking regulation and liquidity risk management

Chair: Olli Castren, Head of Economic Analysis and Impact Assessment Unit (EBA)

Basel III joint regulatory constraints: interactions and implications for the financing of the economy

Laurent Clerc, Sandrine Lecarpentie, Cyril Pouvelle (French Prudential Supervision and Resolution Authority, Bank of France)

Discussant: Jacob Gyntelberg, Economic and Risk Analysis (EBA)

Paper

Presentation

Discussion

Designing agile banking supervision

John Kim, Kyungmin Kim, Victoria Liu, Noam Tanner (Emory University, Federal Reserve Bank of Boston)

Discussant: Cyril Pouvelle, Bank of France 

Paper

Presentation

Discussion

Bank Bond Holdings and Bail-in Regulatory Changes: Evidence from Euro Area Security Registers

Carlo Altavilla, Cecilia Melo Fernandes, Steven Ongena, Alessandro Scopelliti (ECB and CEPR, IMF, University of Zurich, SFI, KU Leuven, NTNU Business School and CEPR, KU Leuven)

Discussant: Tiago Pinheiro, Banco de Portugal

Paper

Presentation

Discussion

11.20-13.10
Session 2: Bank securities portfolios - trading and liquidity

Chair: Samuel Da-Rocha-Lopes, Senior Bank Sector Analyst (EBA)

Outages in Sovereign Bond Markets

Mark Kerssenfischer, Caspar Helmus (Deutsche Bundesbank, ECB)

Discussant: Samuel Rosen, Fox School of Business – Temple University

Paper

Presentation

Discussion

Securities Portfolio Management in the Banking Sector

Samuel Rosen, Xun Zhong (Fox School of Business, Temple University, Gabelli School of Business, Fordham University)

Discussant: John Krainer, Federal Reserve Board

Paper

Presentation

Discussion

Monetary Transmission through Bank Securities Portfolios

John Krainer, Pascal Paul, Daniel Greenwald (Federal Reserve Board, FRB San Francisco, NYU Stern School of Business)

Discussant: Rym Ayadi, City – University of London

Paper

Presentation

Discussion

14.10-16.00
Session 3: Liquidity and funding - credit lines and asset pricing

Chair: Lars Overby, Head of Risk-based Metrics (EBA)

Bond Convenience Curves and Funding Costs

Juuso Nissinen, Markus Sihvonen (Aalto University, Bank of Finland)

Discussant:  Florian Wicknig, Bundesbank

Paper

Presentation

Discussion

Optimal Regulation of Credit Lines

Jose E Gutierrez, Luis Fernandez Lafuerza (Banco de Espana)

Discussant: Markus Sihvonen, Bank of Finland

Paper

Presentation

Discussion

16.30-17.30


Day 2 - 8 November 2023

Keynote Speech: Monetary policy, balance sheet management, liquidity, and financial stability

Raghuram G. Rajan, The University of Chicago Booth School of Business

9.00-10.00
Session 4: Interest rate risk and asset-liability management

Chair: Despo Malikkidou, Policy Expert (EBA)

Hedging Securities and Silicon Valley Bank Idiosyncrasies

Raymond Kim (W.A. Franke College of Business, Northern Arizona University)

Discussant: Daniel Fricke, Deutsche Bundesbank

Paper

Presentation

Discussion

Modelling the duration of retail bank deposits

Hoffman, S. Frontczak, F. Pierobon (European Central Bank)

Discussant: Petros Migiakis, Bank of Greece

Paper

Presentation

Discussion

Excess reserves and monetary policy tightening

D. Fricke, Stefan Greppmair, Karol Paludkiewicz (Deutsche Bundesbank)

Discussant: Raymond Kim, Northern Arizona University

Paper

Presentation

Discussion

10.00-11.50
Session 5: Liquidity and Leverage - Banking and Fintech

Chair: Klaus Duellmann, ECB

Digital disruptors at the gate. Does FinTech lending affect bank market power and stability?

Pedro J. Cuadros – Solas, Elena Cubillas, Carlos Salvador, Nuria Suarez (CUNEF Universidad, Universidad de Oviedo, Universitat de Valencia, Universidad Autonoma de Madrid)

Discussant: Marina Cernov, Senior Policy Expert (EBA)

Paper

Presentation

Discussion

DeFi Leverage

Lioba Heimbach, Wenqian Huang (ETH Zurich, Bank of International Settlements) 

Discussant: Pedros J Cuadros Solas, CUNEF Universidad

Paper

Presentation

Discussion

12.10-13.10

Documents

Programme

(624.44 KB - PDF) Last update 6 November 2023

Download