This workshop coincided with Professor Richard J Herring's time as the Professorial Fellow in Monetary and Financial Economics at the Reserve Bank New Zealand and Victoria University of Wellington.
Professor Herring is the Jacob Safra Professor of International Banking at the Wharton School, University of Pennsylvania; Director of the Joseph H Lauder Institute of Management and International Studies; and Co-Director of the Wharton Financial Institutions Center.
The workshop covered the following topic areas:
- mortgage lending and real estate impacts on bank balance sheets
- house prices and urban or rural land prices
- Basel 2 issues and understanding balance sheet risk
- securitisation and the development of secondary markets in which financial institutions can offset risk
- financial sector stress testing
- behavioural aspects of default
- implication for balance sheets and risk of sectoral concentration in bank lending.
Programme
Session 1
Property prices, lending and vulnerability to financial crises
Welcome by Alan Bollard, Governor, Reserve Bank of New Zealand
Presented by: Richard J. Herring (University of Pennsylvania)
Discussant: Phil Lowe (Reserve Bank of Australia)
- Download the paper (PDF 481KB)
- Download the comments (PDF 37KB)
Session 2
Basel II: Housing and financial stability
Presented by: Paul Kupiec (Federal Deposit Insurance Corporation)
- Download the paper (PDF 564KB)
Financial stability and Basel II
Presented by: Paul Kupiec (Federal Deposit Insurance Corporation)
- Download the paper (PDF 191KB)
Basel II: A case for recalibration
Presented by: Paul Kupiec (Federal Deposit Insurance Corporation)
- Download the paper (PDF 153KB)
Borrower behaviour, mortgage terminations and the price of residential mortgages
Presented by: John Quigley (University of California, Berkeley)
Discussant: James Twaddle (Reserve Bank of New Zealand) and Lex Oxley (University of Canterbury)
- Download the paper (PDF 427KB)
- Download the comments (PDF 159KB)
Session 3
Credit loss experience of Australasian Banks - Methodological aspects
Presented by: Kurt Hess (University of Waikato)
Discussant: Susan Schroeder (Auckland University of Technology)
- Download the paper (PDF 382KB)
- Download the comments (PDF 74KB)
A typology of credit loss and provisioning report by banking institutions in Australia
Presented by Kurt Hess (University of Waikato)
- Download the paper (PDF 343KB)
A structured approach to stress testing residential mortgage portfolios
Presented by: Ian Harrison and Tim Hampton (Reserve Bank of New Zealand)
Discussant: Peter Hall (ASB Bank)
- Download the paper (PDF 127KB)
- Download the presentation (PDF 62KB)