Franklin AllenNATIONAL BUREAU OF ECONOMIC RESEARCH
       
      CONFERENCE ON THE RISKS OF FINANCIAL INSTITUTIONS
       
      René Stulz and Mark Carey, Organizers
       
      Woodstock, Vermont, October 22-23, 2004.
       
      Program

                             
      Thursday, October 21
       
      7:00 p.m.Dinner, The Woodstock Inn
       
      Friday, October 22
        
      8:30 a.m.Continental Breakfast
        
      Systemic Risk and Regulation I
        
      9:00 a.m.Systemic Risk and Regulation
       Professor Franklin Allen, University of Pennsylvania 
       Professor Douglas M. Gale, New York University 
        
       Discussant: Charles Calomiris, Columbia University and NBER
        
      9:55 a.m.Break
        
      10:05 a.m.Systemic Risk and Hedge Fund Transparency
       Professor Andrew Lo, MIT 
       Professor Mila Getmansky, University of Massachusetts, Amherst
        
       Discussant: David Modest, Azimuth Trust Company, LLC
        
      11:00 a.m.Pillar I vs. Pillar II under Risk Management
       Professor Stephen Schaefer, London Business School
       Professor Loriana Pelizzon, Universita Degli Studi Di Padova
        
       Discussant: Marc Saidenberg, Federal Reserve Bank of New York
        
      11:55 a.m.Lunch
        
      Risk Modeling I
        
      12:55 p.m.Empirical Evidence on Bank Trading Risk and Systemic Risk
       Professor Philippe Jorion, UC, Irvine
        
       Discussants: 
       Paul Kupiec, FDIC; Ken Abbott, Bank of America Securities 
        
      1:50 p.m.Banking Trading Revenues, VaR, and Market Risk
       Professor Jeremy Berkowitz, University of Houston
       Dr. James O’Brien, Board of Governors of the Federal Reserve
        
       Discussants:
       Paul Kupiec, FDIC; Ken Abbott, Bank of America Securities
        
      2:45 p.m.Break
        
      Instruments and Incentives
        
      3:00 p.m.Managing Balance-Sheet Leverage and Liquidity
       Professor Darrell Duffie, Stanford University
       Chenyang Wang, Stanford University
        
       Discussant: Hayne Leland, UC, Berkeley
        
      3:55 p.m.Banks and Off-Balance Sheet Vehicles
       Professor Gary B Gorton, University of Pennsylvania
       Professor Nicholas Souleles, University of Pennsylvania
        
       Discussant: Peter Tufano, Harvard University
        
      4:50 p.m.Securitization
       Professor Jan P Krahnen, Johann Wolfgang Goethe- University
       Professor Guenter Franke, University of Konstanz
        
       Discussant:  Mark Levonian, Comptroller of the Currency
        
      7:00 p.m.Dinner
        
      Saturday, October 23
        
      8:30 a.m.Continental Breakfast
        
      Systemic Risk and Regulation II
        
      9:00 a.m.Banks’ Exposure to Pervasive Liquidity Shocks
       Professor Philip Strahan, Boston College
       Professor Evan Gatev, Boston College
        
       Discussant: Randy Kroszner, University of Chicago
        
      9:55 a.m.Break
        
      10:05 a.m.Bank Concentration and Fragility: Impact and Mechanics
       Dr. Asli Demirguc-Kunt, World Bank
       Professor Ross Levine, University of Minnesota
       Dr. Thorsten Beck, World Bank
        
       Discussant: Peter Garber, Deutsche Bank
        
        
      11:00 a.m.Banking System Stability:  
      A Cross-Atlantic Perspective Based on Extreme Value Analysis
       Dr. Philipp Hartmann, European Central Bank 
       Professor Stefan Straetmans, Maastricht University
       Professor Casper de Vries, Erasmus University Rotterdam
        
       Discussant: Anthony Saunders, NYU
        
      11:55 a.m.Lunch
        
      Risk Modeling II
        
      12:55 p.m.Volatility and Correlation Modeling in Market Risk Management: 
      Pitfalls and Opportunities
       Professor Torben Andersen, Northwestern University
       Professor Tim Bollerslev, Duke University 
       Professor Francis X. Diebold, University of Pennsylvania 
       Professor Peter Christoffersen, McGill University
        
       Discussant: Pedro Santa-Clara, UC, Los Angeles
        
      1:50 p.m.Break
        
      2:00 p.m.Scope for Credit Risk Diversification Across Sectors and regions
       Professor M. Hashem Pesaran, University of Cambridge
       Dr. Til Schuermann, Federal Reserve Bank of New York
       Dr. Björn-Jakob Treutler, Mercer Oliver Wyman
        
       Discussant: Richard Cantor, Moody’s Investors Service
        
      2:55 p.m.Implications of Alternative Operational Risk Modeling Techniques
       Dr. Patrick de Fontnouvelle, Federal Reserve Bank of Boston 
       Dr. Eric S. Rosengren, Federal Reserve Bank of Boston 
       Dr. John S. Jordan, Fitch Risk
        
       Discussant: Andrew Kuritzkes, Mercer Oliver Wyman
        
      3:50 p.m.Conclusion
        
      4:00 p.m.Adjourn
        
      9/28/04