NATIONAL 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 Funds
	Professor Andrew Lo, MIT
	Professor Mila Getmansky, University of Massachusetts, Amherst
	Nicholas Chan
	Shane Haas
	Discussant: David Modest, Azimuth Trust Company, LLC
11:00 a.m.	Pillar 1 vs. Pillar 2 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.	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.	Bank 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.	Leverage Management
	Professor Darrell Duffie, Stanford University
	Chenyang Wang, Stanford University
	Discussant: Hayne Leland, UC, Berkeley
3:55 p.m.	Special Purpose Vehicles and Securitization
	Professor Gary B Gorton, University of Pennsylvania
	Professor Nicholas Souleles, University of Pennsylvania
	Discussant: Peter Tufano, Harvard University
4:50 p.m.	Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Loan Obligations
	Professor Jan P Krahnen, Johann Wolfgang Goethe- University
	Professor Guenter Franke, University of Konstanz
	Discussant: Patricia Jackson, Bank of England   (slides)
7:00 p.m.	Dinner
Saturday, October 23
8:30 a.m.	Continental Breakfast
Systemic Risk and Regulation II
9:00 a.m.	How Do Banks Manage Liquidity Risk? Evidence From the Equity and Deposit Markets in the Fall of 1998
	Professor Philip Strahan, Boston College
	Professor Evan Gatev, Boston College
	Dr. Til Schuermann, Federal Reserve Bank of New York
	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
	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.	Practical Volatility and Correlation Modeling for Financial Market Risk Management
	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.	The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification
	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
4:00 p.m.	General Discussion Write up
9/28/04