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NATIONAL BUREAU OF ECONOMIC RESEARCH |
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CONFERENCE ON THE RISKS OF FINANCIAL
INSTITUTIONS |
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René Stulz and Mark Carey, Organizers |
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Woodstock, Vermont, October 22-23, 2004. |
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Program |
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Thursday, October
21 |
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7:00 p.m. |
Dinner, The
Woodstock Inn |
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Friday, October 22 |
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8:30 a.m. |
Continental
Breakfast |
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Systemic Risk
and Regulation I |
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9:00 a.m. |
Systemic Risk and
Regulation |
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Professor Franklin Allen, University of Pennsylvania |
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Professor Douglas M. Gale, New York University |
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Discussant: Charles Calomiris, Columbia University and NBER |
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9:55 a.m. |
Break |
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10:05 a.m. |
Systemic Risk and
Hedge Fund Transparency |
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Professor Andrew Lo, MIT |
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Mila Getmansky, University of Massachusetts, Amherst |
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Discussant: David Modest, Asimuth Trust Company, LLC |
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11:00 a.m. |
Pillar I vs. Pillar
II under Risk Management |
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Professor Loriana Pelizzon, Universita Degli Studi Di
Padova |
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Discussant: Marc Saidenberg, Federal Reserve Bank of New
York |
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11:55 a.m. |
Lunch |
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Risk Modeling
I |
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12:55 p.m. |
Scope for Credit
Risk Diversification Across Sectors and regions |
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Professor M. Hashem Pesaran, University of Cambridge |
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Dr. Til Schuermann, Federal Reserve Bank of New York |
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Dr.
Björn-Jakob Treutler, Mercer Oliver Wyman |
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Discussant: Richard Cantor, Moodys Investors Service |
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1:50 p.m. |
Implications of
Alternative Operational Risk Modeling Techniques |
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Dr. Patrick de Fontnouvelle, Federal Reserve Bank of
Boston |
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Dr. Eric S. Rosengren, Federal Reserve Bank of Boston |
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John S. Jordan, Federal Reserve Bank of Boston |
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Discussant: Andrew Kuritzkes, Mercer Oliver Wyman |
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2:45 p.m. |
Break |
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Instruments and Incentives |
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3:00 p.m. |
Managing
Balance-Sheet Leverage and Liquidity |
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Professor Darrell Duffie, Stanford University |
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Professor Chenyang Wang, Stanford University |
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Discussant: Professor Hayne Leland, UC, Berkeley |
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3:55 p.m. |
Banks and
Off-Balance Sheet Vehicles |
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Professor Gary B Gorton, University of Pennsylvania |
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Professor Nicholas Souleles, University of Pennsylvania |
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Discussant: Peter Tufano, Harvard University |
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4:50 p.m. |
Securitization |
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Professor Jan P Krahnen, Johann Wolfgang Goethe-
University |
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Professor Guenter Franke, University of Konstanz |
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Discussant: Mark
Levonian, U.S. Department of the Treasury |
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7:00 p.m. |
Dinner |
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Saturday, October 23 |
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8:30 a.m. |
Continental
Breakfast |
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Systemic Risk and Regulation II |
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9:00 a.m. |
Banks Exposure to
Pervasive Liquidity Shocks |
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Professor Philip Strahan, Boston College |
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Professor Evan Gatev, Boston College |
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Discussant: Randy Kroszner, University of Chicago |
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9:55 a.m. |
Break |
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10:05 a.m. |
Bank Concentration
and Fragility: Impact and Mechanics |
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Dr. Asli Demirguc-Kunt, World Bank |
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Professor Ross Levine, University of Minnesota |
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Discussant: Peter Garber, Deutsche Bank |
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11:00 a.m. |
Banking System
Stability: A Cross-Atlantic
Perspective Based on Extreme Value Analysis |
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Philipp Hartmann, European Central Bank |
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Professor Stefan Straetmans, Maastricht University |
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Professor Casper de Vries, Erasmus University Rotterdam |
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Discussant: Professor Anthony Saunders, NYU |
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11:55 a.m. |
Lunch |
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Risk Modeling II |
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12:55 p.m. |
Volatility and
Correlation Modeling in Market Risk Management: Pitfalls and
Opportunities |
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Professor Torben Andersen, Northwestern University |
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Professor Tim Bollerslev, Duke University |
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Professor Francis X. Diebold, University of Pennsylvania |
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Professor Peter Christoffersen, McGill University |
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Discussant: Pedro Santa-Clara, UC, Los Angeles |
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1:50 p.m. |
Break |
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2:00 p.m. |
Empirical Evidence
on Bank Trading Risk and Systemic Risk |
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Professor Philippe Jorion, UC, Irvine |
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Discussants: |
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Paul Kupiec, FDIC; Ken Abbott, Bank of America Securities |
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2:55 p.m. |
Banking Trading
Revenues, VaR, and Market Risk |
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Professor Jeremy Berkowitz, University of Houston |
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Dr. James OBrien, Board of Governors of the Federal Reserve |
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Discussants: |
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Paul Kupiec, FDIC; Ken Abbott, Bank of America Securities |
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9/17/04 |
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