IX Meeting on Financial Stability
Montevideo, Uruguay, September 5–6, 2019
The IX edition of the Meeting of Financial Stability, was held in Montevideo, Uruguay on 5 and 6 September 2019. It was attended by 38 representatives from 18 countries from Latin American, the Caribbean and Europe (Argentina, Bolivia, Brazil, Canada, Chile, Colombia, Costa Rica, Dominican Republic, El Salvador, Germany, Guatemala, Honduras, Jamaica, México, Nicaragua, Spain, Suriname y Uruguay), as well as the special address of the International Monetary Fund.
The IX Meeting was aimed to exchange experiences on topical issues related to financial stability, among others: the countercyclical capital buffers suggested in Basel III, network analysis and financial stability, climate change and its impact on the financial system, as well as new sources of information for financial stability monitoring and analysis.
Keynote – Macroprudential policy and systemic risk: New challenges
Xavier Freixas, Professor at the Pompeu Fabra University
Professor Freixas explained the new challenges for macroprudential regulation and systemic risk. Starting from a theoretical overview of systemic risk and its main approaches. Additionally, he identified the sources of systemic risk, as bank runs, asset price falls, foreign exchange mismatches in the banking system and contagion. Then, Professor Freixas focused on the macroprudential challenges and its objectives, as choosing the right instrument and timing, consider the complementarity with other policies, right institutional design, and communication policy. Additionally, he explained that financial market competition and the political economy are characteristics of the new environment, as part of the new challenges in the macroprudential regulation. He highlighted that increased banking regulation led to an increase in shadow banking, the liquidity dimension is ignored and it is a mistake to consider that “Fintechs are not a threat for banks”.
Moreover, Professor Freixas explained the importance of the creation of private liquidity in order to provide illiquid loans to borrowers and allowing the depositors to withdraw funds at any time. Also, macroprudential policies should consider limiting excessive credit growth but should not disregard the business cycle, to avoid the likelihood of a systemic crisis. Finally, he explained that macroprudential policy framework should adapt to a realistic and credible circumstances that include the shadow banking and considering the political economy in equilibrium models.
Session 1. Countercyclical capital buffer (CCyB)
Marcelo Raffin, General Manager of Financial Stability, Banco Central de la República Argentina
Raffin analyzed Countercyclical Requirements at the BCRA; he described the macroprudential toolkit from two dimensions: idiosyncratic approach and the Basel III approach. From the idiosyncratic approach, he highlighted the limits on foreign currency mismatches (banks and debtors), the limits on public sector exposures and large exposures; and the cash reserve requirements differentiated by currency in which the liability is denominated. While the Basel III approach referred to the capital buffers, leverage ratio, and liquidity buffers. To sum up, the macroprudential policy tools still pose significant challenges; for example, there is limited evidence on their effectiveness and little experience in the use of tools. For future work, it is necessary to improve systemic risk assessments toolkit, adequate communication with stakeholders, handle data gaps problems, and enhance money and macroprudential policies coordination.
Alejandro Pena, Head of Risk and Financial Analysis, Banco Central del Uruguay
Pena analyzed the complementarity between the statistical forecasts and the countercyclical capital buffer. He explained that statistical forecast has a direct relation with the behavior of credit at the institution level while the countercyclical capital has relation with credit at the system level. For triggering the CCyB, first we have to look at the following three indicators: the Credit / GDP ratio; credit growth and GDP growth. Mr. Pena also claimed that to de-activate the CCyB, has to be done quickly, in order to reduce the credit risk and credit supply must be limited by the regulatory capital requirements.
To conclude, Pena suggested that the assessment of the systemic risk must be half-yearly; thus, the central bank can influence the financial institutions’ expectations.
Session 2. Network analysis and financial stability
Serafín Martínez, Advisor, CEMLA
Dr. Martínez analyzed the quantification of systemic risk from overlapping portfolios in the financial system. The systemic risk defined as the risk that a significant fraction of the financial system can no longer perform its function as a credit provider and collapses. The financial contagion could arise from indirect links between financial institutions because most of them invest in the same assets and their portfolios are said to overlap. He used a novel method to quantify the expected loss due to Systemic Risk from overlapping portfolios or indirect exposures, many banks are exposed to the same securities, and there is an important degree of overlapping. The assumptions for this model consisted in a linear market impact associated with the bank liquidating its position, banks do not change the composition of their portfolios as they liquidate and the multilayer network consists of direct and indirect exposures. He used data from Banco de México about various types of daily exposures between the major Mexican financial intermediaries over the period 2004-2013. These data included securities holdings of Mexican financial intermediaries, capitalization of banks at every month and complete information about securities holdings. The results showed that Systemic Risk was higher for almost all banks at the beginning of 2008 (financial crisis). The most systemically important banks do not change too much over time. He concluded that Systemic Risk arises from indirect interconnections that occur when financial institutions invest in common assets, indirect exposures represent an important form of financial contagion and the most important is that direct exposures underestimate total systemic risk levels by up to 50 percent.
Benjamin Miranda Tabak, Senado Federal and EPPG/FGV, Brazil
Mr. Tabak explores how to identify which economic sectors would be more harmed in the case of a sudden interest rate change. These sectors are those that are financed by banks which experience large trading book losses and whose firms have more outstanding short-term debt, i. e., are near to illiquidity, and have high levels of indebtedness. Also, due to network linkages in the interbank market, one sector could be affected even though its banks have not experienced direct trading book losses. His multilayer network model captures both types of situations. The first layer is for the financial sector, the second one is for the real sector, the external shock hits firms in a specific sector, then the shock hits the financial sector and the shock bounces back to the real sector because of a decrease in bank capital buffers and in the firm collateral. This results in a credit crunch to the real sector. Finally, the shock bounces back to the financial sector; the credit crunch affects levels of investment and production. This results in lower profits, which are transmitted back in the form of further loan defaults. Trading book variations are an important monetary policy transmission channel to the real sector via bank credit. The main findings of the model were the results of a sensitivity analysis of interest rates changes on systemic risk in the financial and corporate sector. They found that systemic risk is more of a concern for positive interest rate shocks, rather than negative shocks in their sample. Moreover, a 10% increase in the interest rate can generate losses amounting to 2% of the aggregate bank net worth only due to trading book variations. Investment banks are subject to higher trading book losses/profits comparatively to commercial banks when interest rate changes and the trading books of large state-owned banks are the least sensitive to interest rate changes. Finally, they find that financial contagion, overall, is small for a 10% interest rate increase. Also, they find large heterogeneity in losses experienced by banks and firms. The most susceptible to financial contagion are the large state-owned banks, mainly due to their network centrality. The model corroborates that the factors that increase the sensitiveness of economic agents to financial contagion, are the following: high levels of indebtedness, low levels of liquidity, high dependency on external financing, and high centrality in the network.
Hazel Brenes, Economic and Financial Analyst, Banco Central de Costa Rica
Ms. Brenes explained the applications of the network analysis to assess financial stability. The World Bank worked jointly with the Banco Central de Costa Rica (BCCR) in a variety of tools to analyze the systemic risk, including the contagion matrix. This matrix seeks to assess various channels of contagion in the financial system. When contagion is from financial entities to financial entities, they use variables as liabilities, investments between entities, major debtors, etc. The contagion matrix between financial entities and financial markets are determined by liquidity and by assessing excess liquidity of markets in local currency. Finally, the analysis among financial entities and financial market infrastructures uses Real Time Gross Settlement (RTGS) transactions. Since 2016, Costa Rica created a Financial Stability Commission (FSC) which aims to seek better coordination of the macroprudential policies. The measures adopted by the FSC consisted on the definition of a methodology to identify financial entities, to have a crisis protocol, the role of the BCCR as a Lender of Last Resort (LOLR), the de-dollarization plan and law projects based on the OECD framework.
Session 3. Climate change and the financial system
Andreas IgI, Professor of Applied Sciences of the Deutsche Bundesbank
Mr. Igl started his presentation by distinguished the difference between environment-related risks and Climate risks. This latter refers to risks posed by the exposure of financial firms and/or the financial sector to physical or transition risks caused by or related to climate change. The relevance of climate change to financial stability consists of the collateral allocation function of the financial system, to identify and quantify financial stability risks and that greener investment can contribute to a reduction in climate-related risks. The Bundesbank has increased activities related to green finance and climate-related financial risks. They host conferences o informal meetings with the financial sector with the purpose to build awareness among institutions. Also, managing reserves increasingly under ESG (environment-social-governance) principles. Aiming for CO2 neutrality in all activities of the bank. They created an internal platform for mutual exchange of information.
Wayne Robinson, Deputy Governor, Bank of Jamaica
In the Caribbean region there is an increase trend in the number and severity of environmental disasters in the region, climate risk exposures of the financial sector are increasing. For example, the increase of heavy rainfalls, represent an important cost to repair damages; the heatwaves and the droughts reduce agriculture output, also the volatility in agricultural output and prices, reduces tourism output. The environmental risks assessment is part of the framework for assessing risk to financial stability. It is based on stress testing of financial institutions and on scenario analysis. For the next steps, it is necessary to identify the environmental risk to the real economy, assessment of insurance protection and the impact on the asset exposure of banks and securities dealers to sectors associated to environmental and climate risk. Data gaps is also an important topic for next steps to have detailed information on insurance coverage by risk type; loans and investment data based on geographic location and a forward-looking estimate of the valuation effects of climate change.
Virginie Traclet, Senior Director, Financial Markets Department, Bank of Canada
Ms. Traclet explains how to include climate change risk in the Bank of Canada’s analysis of the economy and financial system. The objective is to better understand the risks that climate change poses to the economy and financial system. The economic activity and the environment are interconnected, this means that changes in global climate have important implications for the economy and the financial system. There are more frequent extreme weather events, therefore, an increase in physical risks for the economy and financial system. The transition to a lower carbon economy implies a new structure of costs and new opportunities, for example, labor and capital reallocation, potential shifts in global trade patterns; and different impacts across sectors. Also, there are potential financial system implications as asset prices that may not fully reflect carbon-related risks and other risks because of a rapid repricing and potentially destabilizing the financial system. Ms. Traclet identifies three important features of climate change: complexity, uncertainty and time horizon. Also, it is important to identify questions to focus on analysis and research.
Special Address – Growth at Risk: Concept and Application in IMF Country Surveillance
Selim Elekdag, Deputy Unit Chief, Strategy and Planning Unit, Monetary and Capital Markets, IMF
In the aftermath of the GFC, we learn about the importance of asset price returns and their volatilities, spreads; macrofinancial vulnerabilities as leverage, liquidity, maturity and FX mismatches; and the implications for growth prospects as shocks that can be amplified and transmitted across multiple channels. The definition for Growth at Risk (GaR) refers to the quantification of macrofinancial risks to future GDP growth. To identify financial linkages and gauge financial vulnerabilities they use financial and economic indicators. The difference of this approach among others, is that GaR estimates the relative importance of key drivers of future growth, that enables discussion on the entire growth distribution at different horizons and that the distribution of future growth depends on current state of financial and macroeconomic conditions. The GaR approach helps to generate scenarios based on statistical analysis, facilitates quantification of alternative scenarios linked to key risks, allows policymakers to better monitor and deploy policies to mitigate downside risks, identifies risk-return and intertemporal policy tradeoffs. This approach follows three steps, the first one is a macrofinancial variable selection, then a quantile regression analysis and a fitting conditional growth distribution. The inverse relation between financial condition index and future growth is stronger for economic contractions (5th percentile) than for expansions. The financial conditions improve the ability to predict future economic downturns. The IMF representative explained the applications of GaR as a tool for macrofinancial surveillance by using an excel-based tool (Python with Excel interface), also with this tool it is possible to track the probability distribution of a recession over time, or to move macrofinancial conditions to assess how tails risks change.
Session 4. Use of microdata for financial stability
Fabrizio López-Gallo, Financial Stability General Director, Banco de México
The Banco de Mexico representative explained how to assess financial stability risks using microdata. He highlighted that the Mexican crisis (1994-1995) was the inflection point to improve the financial system information to assess risk and monitoring of markets and financial institutions. In that context, he analyzed the framework for systemic risk assessment and the different levels of exposures that are required for the analysis. It is necessary to have information for the firm, households and interbank exposures, for firms there is the need for exposures at the credit level, credit level for mortgages, direct exposures and credit level for consumer credit, interbank exposures network and securities holdings. The following are more difficult to capture in data, named as second-order effects or structural impacts: the households’ leverage, income, expenditure, and loans demand; the supply chains and other firm interconnections and finally the firms’ profitability and sales decisions. As a proxy we can use payment data to estimate these second-order effects to the financial system. He also presented some interesting applications of the data collected. For instance, firms’ payment data is useful to identify the network effects and to identify the degree of resilience against sectorial defaults. Finally, he presented the challenges of data sources and explained that data is available for most segments, but is not yet perfectly integrated. We had to take advantage of data that was not used before for financial stability assessment.
Rodrigo Alfaro, Manager of Financial Stability, Banco Central de Chile
Nowadays, in Chile, the current use of microdata for financial stability analysis is in a developing phase. They identified three types of data: the balance sheets of listed firms, administrative data from credit registries and the Household Financial Survey (HFS) for monitoring purposes and prospective analysis (e.g. stress test). Mr. Alfaro explained that granularity is key as well as the scope and quality of the data. Thus, the use of microdata contributes to quantifying the relevance of risks. For prospective analysis, we can use balance-sheet and administrative data, as well, the economic activity is key for firms with local financing. For quantify credit-risk, the speaker used a Debt at Risk (DaR) measure is a ratio between the probability of debt estimate by a probit model using a set of surveys and the total amount of debt. The DaR measure combines default-risk with exposures. Finally, Mr. Alfaro claimed that it is important to rely on micro-data and stress-test exercises to evaluate vulnerabilities across sectors because aggregate measures do not provide a correct assessment of total risk. Moreover, economic activity is a key component for assessing risk in the corporate sector. According to data for households, low-income retail investors seem to be more exposed to residential market shocks.
Nathali Cardozo Alvarado, Head of Section, Liquidity Support and Risk Control, Financial Stability Department,
Banco de la República (Colombia)
Ms. Cardozo made an overview of systemic risk and the two dimensions by whch it can be described (cross-section: homogeneity or asset commonality and time series). Additionally, the presentation continued with the description of regulation, main activities, balance sheet structure and similarities among the Asset Commonalities in the Financial Sector in Colombia. For the latter, they used an agglomerative clustering technique over the investment portfolios and balance sheets. The aim is to measure the degree of homogeneity (cross-sections similarities), determine the business strategy and define the exposure risks of the Asset Commonalities. For instance, the Banco de la República representant explained the two examples with data from January 2017 to December 2018, where they analyzed the similarities between the annual average of assets and liabilities from the Asset Commonalities based on balance sheet data with dendrograms and correlation heatmaps. The agglomerative clustering technique allows analyzing the sectors which financial entities are more exposed, according to the cluster each entity belongs to. Moreover, they analyze the portfolio composition according to the term, currency, instrument, etc. finally they identified 4 different types of risks: market, liquidity, credit and leverage.
Session 5. Panel discussion: Latest developments in financial stability
In this session the representatives from the region expressed their concerns about financial stability issues. One of the most recurrent topics was that of climate change, many of the attendees asked the presenters of the session to share their views on how to start or continue to work in relation to asses the impact of climate change on the financial system. The most important conclusion was that the relevant data is still not there and that more work is needed on the methodological side. Another topic which was perceived as relevant was that of the calibration of the counter-cyclical capital buffer. There was also common interest on network models to study financial stability.
Chair: Jorge Ponce, Head of Economic Research, Banco Central del Uruguay
- Alberto Graña, President, Banco Central del Uruguay
- Manuel Ramos Francia, Director General, CEMLA
Keynote – Macroprudential policy and systemic risk: New challenges
Chair: Manuel Ramos Francia, Director General, CEMLA
- Xavier Freixas , Professor at the Pompeu Fabra University
Countercyclical capital buffer
Aiming to protect the banking sector to excessive credit growth, Basel III introduced a series of macroprudential instruments to reduce the cyclicality of financial shocks and its propagation to the banking sector. Among them: counter-cyclical capital buffers, leverage ratio requirements and forward-looking provisioning. On top of that, several countries have adopted alternative counter-cyclical instruments to dampen risks associated with excessive credit growth. The objective of this session is to discuss the national experiences in the adoption of counter-cyclical requirements.
Chair: Rodrigo Lluberas, Head of Financial Stability Department, Banco Central del Uruguay
- Marcelo Raffin, General Manager of Financial Stability, Banco Central de la República Argentina
- Alejandro Pena, Head of Risk and Financial Analysis, Banco Central del Uruguay
- Sharon Branch, Senior Economist, The Central Bank of The Bahamas
Network analysis and financial stability
Financial markets are highly interconnected. Network interactions in financial markets function as a mechanism for the transmission and amplification of shocks to other market participants and the whole economy. This session aims to discuss how the network structure of financial markets implies a threat to financial stability due to contagion effects and the existence of systemically important institutions.
Chair: Virginie Traclet, Senior Director, Financial Markets Department, Bank of Canada
- Serafín Martínez, Advisor, CEMLA
- Benjamin Miranda Tabak, Senado Federal and EPPG/FGV, Brazil
- Hazel Brenes, Economic and Financial Analyst, Banco Central de Costa Rica
Climate change and the financial system
This session aims to discuss the channels through which climate change can affect financial stability and illustrate the exposure of financial institutions to risks. Recent analysis shows that climate change-related risks have the potential to become systemic in several jurisdictions, in particular if markets are not pricing the risks correctly. A deeper understanding of the relevance of climate change-related risks is therefore needed. Nonetheless, there are a series of limitations like, for instance, the need for better data availability and comparability, and the development of a forward-looking framework for risk assessments.
Chair: Serafín Martínez, Advisor, CEMLA
- Andreas IgI, Professor of Applied Sciences of the Deutsche Bundesbank
- Wayne Robinson, Deputy Governor, Bank of Jamaica
- Virginie Traclet, Senior Director, Financial Markets Department, Bank of Canada
Chair: Jorge Ponce, Head of Economic Research, Banco Central del Uruguay
- Selim Elekdag, Deputy Unit Chief, Strategy and Planning Unit, Monetary and Capital Markets, IMF
Use of microdata for financial stability
In financial system stability assessment, the interest is not only in macro level data but in also examining the entire distribution in order to assess whether the financial system would be capable of absorbing losses following the occurrence of a plausible adverse disturbance. Data with greater granularity across several dimensions is now available in some jurisdictions. In addition to that, non-structured data may be also used for financial stability analysis. This session will dive deeper in the use of micro-data for financial stability analysis.
Chair: Rigoberto Castillo, Financial Analysis Manager, Banco Central de Nicaragua
- Fabrizio López-Gallo, Financial Stability General Director, Banco de México
- Rodrigo Alfaro, Manager of Financial Stability, Banco Central de Chile
- Nathali Cardozo Alvarado, Head of Section, Liquidity Support and Risk Control, Financial Stability Department, Banco de la República (Colombia)
Panel discussion: Latest developments in financial stability
The aim of this round-the-table session is to share participants’ experience regarding recent developments. It is expected to share views and opinions about the current and foreseeing financial stability situation through the region. In addition to that, it would be worth to share information about the development and use of tools and policies for financial stability. Participants should learn from each other and identify common topics for future collaboration in order to improve the toolset for identifying, analyzing and assessing systemic risk, as well as the policies to preserve financial stability.
Chairs: Serafin Martinez Jaramillo, Adviser, CEMLA,
- Jorge Ponce, Head of Economic Research, Banco Central del Uruguay
- All participants
Since 2011, CEMLA has organized the Meeting on Financial Stability with the aim of providing analysis and discussion of relevant issues for financial stability, including macro-prudential policy instruments, institutional arrangements for the preservation of financial stability, financial stability models and indicators, as well as crisis management and resolution schemes. The Meeting is aimed to Senior officials in charge of regulation and supervision, as well as monitoring the stability of the financial system in central banks, supervisory agencies and multilateral institutions associated with the follow-up and the analysis of the international financial system. The Meeting has been held at Uruguay, Costa Rica, Chile, México, Argentina, Spain, Peru, and Colombia.
Professor, Universitat Pompeu Fabra, Barcelona GSE and CEPR
Xavier FREIXAS, (Ph D. Toulouse 1978) is Professor at Universitat Pompeu Fabra in Barcelona (Spain) and Research Fellow at CEPR. He is past president of the European Finance Association and has previously been Chairman of the Risk Based Regulation Program of the Global Association of Risk Professionals (GARP), Deutsche Bank Professor of European Financial Integration at Oxford University, Houblon Norman Senior Fellow of the Bank of England 1989-1991, Professor at Montpellier and Toulouse Universities.
He has published a number of papers in the main economic and finance journals (Journal of Financial Economics, Review of Financial Studies, Econometrica, Journal of Political Economy).
He has been a consultant for the European Investment Bank, the New York Fed, the European Central Bank, the World Bank, the Interamerican Development Bank, and the European Investment Bank.
He is well known for his research work in the banking area, that has been published in the main journals in the field, as well as for his book Microeconomics of banking (MIT Press, 1997), co-authored with Jean-Charles Rochet.
Senior Financial Stability Management, Banco Central de la República Argentina
Marcelo Raffin graduated in Economics from Universidad Nacional de Córdoba (UNC, Argentina). He obtained a master’s degree in Economics from Universidad del CEMA (Argentina).
He specializes in banking regulation and financial stability. He joined the Central Bank of Argentina in 1997 as analyst. He has held several positions since then. He is currently in charge of the Senior Financial Stability Management. Previously, he served as Manager of Macroprudential risk Monitoring.
Before joining the Central Bank, he was advisor to the president of the Finance Commission of the Chamber of Deputies of Argentina.
Head of Risk and Financial Analysis, Banco Central del Uruguay
Alejandro Pena is a graduate of the Faculty of Economics and Management-Uruguay. He obtained a bachelor degree in Management and a master's degree in International Economics with specialization in macroeconomics at the Faculty of Social Sciences - Uruguay. He holds an FRM certification granted by the GARP - Global Association of Risk Professionals.
Since 1997, he is a Degree 4 Professor in the Curricular Unit (UC) of International Economics and Finance and International Economics. - Faculty of Economic Sciences and Management University of the Republic. Also, in the Faculty of Economics and Management, University of the Republic, in the UC of International Economics and the UC of Economics and Banking Management. 2016-2018 - ORT -Risk Management Program - Graduate School - Regulatory Risk.
He has research on micro and macroprudential issues and finance. He published his research in Monetaria (CEMLA), Economy Magazine of the Central Bank of Uruguay, Brazilian Journal of Economy and in Risk governance & Control: financial markets & institutions.
Serafin Martinez-Jaramillo is a senior financial researcher at the Financial Stability General Directorate at Banco de México and currently he is an adviser at the CEMLA. His research interests include financial stability, systemic risk, financial networks, bankruptcy prediction, genetic programming, multiplex networks and machine learning. Serafin has published book chapters, encyclopedia entries and papers in several journals like IEEE Transactions on Evolutionary Computation, Journal of Financial Stability, Neurocomputing, Journal of Economic Dynamics and Control, Computational Management Science, Journal of Network Theory in Finance and some more. Additionally, he has co-edited two books and two special issues at the Journal of Financial Stability. Serafin holds a Ph.D. in Computational Finance from the University of Essex, UK and he is member of the editorial board of the Journal of Financial Stability, the Journal of Network Theory in Finance and the Latin American Journal of Central Banking.
Benjamin M. Tabak
Professor, School of Public Policy and Government
Benjamin M. Tabak is professor of finance and behavioral economics at the School of Public Policy and Government, at Fundação Getulio Vargas, Brasilia, DF.
He has research on financial stability, financial networks, law and economics and has several publications.
He is associate editor of several journals such as Journal of Financial Stability and Economic Analysis of Law Review. He is a researcher at CNPQ Foundation, and works as a legislative advisor for the Federal Senate of Brazil.
Economic and Financial Analyst, Banco Central de Costa Rica
Hazel Brenes has been an economic and financial analyst at Financial Stability Department of Banco Central de Costa Rica since October, 2013. Previously she worked as statistical analyst at the Regulatory Authority of Pensions of Costa Rica and The National System of Electronic Payments (SINPE by its Spanish acronym). She holds a Master’s of Science Degree in Statistics from University of Costa Rica. She has also completed Stock Market Technician program from University of Costa Rica and the Expert Certificate in Data Mining from Ibero American Data Mining Training Program (Promidat by its Spanish acronym). Her research deals with financial risks, data mining, social network analysis and indicators.
Professor of Banking Economic, Banking Supervision and Money Laundering, Deutsche Bundesbank
Prof. Dr. Andreas Igl, graduate in business information technology (Univ Honors), is Professor of Banking Economics, Banking Supervision and Money Laundering at the University of Applied Sciences of Deutschen Bundesbank (Central Bank of Germany).
Previously, he was a Managing Director of a medium-sized consulting firm. Central to his research and teaching activities are issues relating to the conception and implementation of systems for risk measurement and control in credit institutions as well as the implementation of regulatory requirements. The current work focuses on the area of recovery and resolution planning in banks, stress tests and key figure-based overall bank management including ICAAP and ILAAP. After graduating in 2007, he advised numerous financial sector clients on behalf of two medium-sized specialist risk management consulting firms. His doctoral thesis deals with the risk assessment of structured credit products and securitisations.
Deputy Governor, Bank of Jamaica
Dr. Wayne Robinson is a career central banker. A commonwealth scholar, he was educated at the School of Economic Studies, University of Manchester and the University of the West Indies. His areas of expertise are econometric modeling and forecasting, monetary and financial economics.
He has published on monetary and financial issues in a number of international peer reviewed journals, including IMF Staff Papers, Journal of International Money and Finance and Macroeconomic Dynamics.
He is currently a Deputy Governor at the Bank of Jamaica with responsibility for research, economic policy and financial stability. Dr. Robinson is married with two daughters.
Senior Director, Financial Markets Department, Bank of Canada
Virginie was appointed Senior Director, Financial Markets Department in December 2018. In this role, Virginie is a member of the Strategic Leadership Team which provides strategic direction and leadership for the department’s research and policy work. Virginie’s responsibilities include oversight of three divisions: market risks and vulnerabilities, market structure and regulation and financial markets data and analytics. Virginie represents the Bank on the FSB Analytical Group on Vulnerabilities (AGV).
Virginie joined the Bank in 2002 as an Economist and has held increasingly senior positions over time. Prior to her current role, Virginie was in the Financial Stability Department, where she was Director of the Model Development and Research Division from 2015 to 2018 and Director of the Financial Institutions Division from 2011 to 2015. Virginie is a recognized expert on stress testing and financial stability risk modelling.
Virginie’s primary areas of interest include financial stability risk assessment, financial market functioning and financial system regulation.
Virginie holds a Ph.D. in Economics from the University of Rennes, France, her thesis is titled: "Monetary policy rules, monetary indicators and reaction function. Application to the French economy".
Deputy Chief in MCM’s Strategy and Planning Unit, IMF
Selim Elekdag is currently Deputy Chief in MCM’s Strategy and Planning Unit. Previously, he was Deputy Chief in MCM’s Global Financial Stability Analysis Division where he served as Deputy Mission Chief for the Euro Area Financial Sector Assessment Program (FSAP) and led several Global Financial Stability Report (GFSR) analytical chapters. He has also held various positions in the IMF’s Research, European, and Asia and Pacific departments, including as mission chief for Aruba. He also spent two years as Advisor in the Research and Monetary Policy Department of the Central Bank of the Republic of Turkey. He holds a PhD in Economics from the John Hopkins University. His research interests focus on macrofinancial issues and have been published in academic journals including the Journal of Economic Dynamics and Control, Journal of Financial Stability, and IMF Staff Papers.
Fabrizio López-Gallo Dey
Director General of Financial Stability, Banco de México
Since September 2018, Mr. Fabrizio López-Gallo is the Director General of Financial Stability at Banco de México. He is responsible of developing and overseeing strategies, policies, regulations, and metrics to issue recommendations and institutional opinions on topics related to financial stability. He is in charge of conducting systemic risk analysis and assessing micro and macroprudential policies to inform the Board of Governors. He conducts the central bank’s semiannual stress test that serves to evaluate the stability of the financial system. Moreover, he also coordinates the content of the semiannual Financial Stability Report.
He is also the central bank’s representative and member in the Governing bodies of the National Banking and Securities Commission (CNBV by its acronym in Spanish), and the Insurance Commission (CNSF by its acronym in Spanish). Moreover, he is also a member of the committees of the National Commission of the Retirement Savings System (CONSAR by its acronym in Spanish). In addition, he holds the Executive Secretariat of the Financial System Stability Council (CESF by its acronym in Spanish), a coordination body among regulatory financial authorities for assessing systemic risk and implementing macroprudential policy.
He is a member of the Basel Committee on Banking Supervision (BCBS) and participant on working groups of the Committee on the Global Financial System (CGFS) and the BCBS. He is part of the BIS CCA Consultative Group of Directors of Financial Stability (CGDFS) and has participated in the Working Group on sovereign exposure regulation and monetary policy implementation of the BIS Economic Consultative Committee (ECC). He has also been part of working groups of the Financial Stability Board (FSB), in particular in the working group on the development of a policy evaluation framework. In the past, he was also a member of the Research Task Force for at least ten years.
He has published extensively on topics such as financial network analysis, credit risk, and evaluations of regulatory financial policies. He has been lecturer at Pompeu Fabra University in Barcelona, and Universidad Panamericana and ITAM in Mexico. He has also been a visiting researcher at the Bank for International Settlements (BIS) and consultant for The World Bank. He received a B.A. in Actuary from Instituto Tecnológico Autónomo de México (ITAM) where he also completed a Master in Finance. He obtained his Master and PhD degrees in Economics at Pompeu Fabra University.
Rodrigo Alfaro Arancibia
Financial Stability Manager, Banco Central de Chile
Rodrigo Alfaro Arancibia was appointed Financial Stability Manager of the Central Bank of Chile in June 2014.
Mr. Alfaro has a degree in Commercial Engineering with a major in Economics from the University of Chile (2000) and a Master’s and Ph.D. in Economics from Boston University, United States (2008).
His previous posts with the Central Bank include Group Leader in the Financial Stability Unit (2012–2014) and the Financial Research Management (2009–2011), Senior Economist in the Financial Stability Unit (2007-2009) and Economic Analyst in the Macroeconomic Analysis Unit (2001-2003).
Positions held outside the Bank include Principal Economist at BBVA Research (2011–2012) and Visiting Economist at the Bank for International Settlements (2009). He also worked as a consultant for the International Monetary Fund in the area of stress tests (2012).
Mr. Alfaro has taught courses in macroeconomics, econometrics and finance at the University of Chile, the Pontifical Catholic University of Chile, the University of Santiago and the Adolfo Ibáñez University.
He has authored numerous studies published in economic and finance journals and contributed chapters for topical books.
Nathali Cardozo Alvarado
Head of Liquidity Support and Risk Control, Financial Stability Department, Monetary and International Investments Division, Banco de la República
After more than seven years working at the Central Bank of Colombia in different positions, Nathali Cardozo is the Head of Liquidity Support and Risk Control of the Financial Stability Department. She holds a bachelor degree in Finance and International Commerce from Universidad del Rosario and a Master of Finance from MIT Sloan School of Management.