FRIC Practitioner Seminar with Søren Korsgaard, Danmarks Nationalbank
FRIC Practitioner Seminar with Søren Korsgaard, Danmarks Nationalbank
Stress Testing: Practice and Ideas for Research
Abstract: The seminar will explain what bank stress tests are, and why (and how) stress tests have increasingly become an important prudential tool following the financial crisis. A key point is that those involved in stress testing are frequent users of research and models developed in academia. The talk will therefore feature ideas for research inspired by the practice of stress testing. The upcoming Danish credit registry - a micro-level overview of all loans granted by the Danish banking sector – is a particularly interesting development in that regard. The talk finishes off by discussing the possibilities for both research and stress testing due to the introduction of the credit registry.
Background readings:
- A brief introduction to stress testing: Dent, Westwood, and Segoviano (2016), Stress testing of banks: an introduction, Bank of England Quarterly Bulletin, 2016Q3
- An overview of different types of stress tests and methods: Ong (2014), A guide to IMF stress testing
Bio:
Søren Korsgaard is Principal Stress Test Expert in the Financial Stability department at Danmarks Nationalbank and has previously worked on issues related to collateral policy and market infrastructure at the bank. He holds a Ph.D. from the Department of Finance at Copenhagen Business School.
The event is open for all, but please register online here.