NATIONAL BUREAU OF ECONOMIC RESEARCH

Risks of Financial Institutions Conference

Mark Carey and Rene Stulz, Organizers

November 10, 2005

NBER

1050 Massachusetts Avenue

Cambridge, MA

PROGRAM

WEDNESDAY, NOVEMBER 9:

7:00 p.m.	Dinner Davios at the Royal Sonesta Hotel

THURSDAY, NOVEMBER 10:

8:15 a.m.	Shuttle van departs Royal Sonesta Hotel for NBER

8:30 a.m.	Shuttle van departs Royal Sonesta Hotel for NBER

8:30 a.m.	Continental Breakfast

8:55 a.m.	Opening Remarks

9:00 a.m.	An Options-Based Approach to Evaluating the Risk of Fannie Mae and Freddie Mac
	DEBORAH LUCAS, Northwestern University and NBER
	ROBERT MCDONALD, Northwestern University

9:20 a.m.	Understanding Market Discipline in the Presence of Implicit Government Guarantees: An Analysis of Subordinated Bond and Stock Returns for GSEs and for Bank Holding Companies
	DIANA HANCOCK and WAYNE PASSMORE, Federal Reserve Board

	Discussant: THOMAS WILSON, ING

10:25 a.m.	Break

10:45 a.m.	Market Liquidity and Funding Liquidity
	MARKUS BRUNNERMEIER, Princeton University
	LASSE HEJE PEDERSEN, New York University

	Discussant: JEREMY STEIN, Harvard University and NBER

11:40 a.m.	Estimating Systemic Risk in the International Financial System
	GREGORY BROWN, University of North Carolina, Chapel Hill
	SÖHNKE BARTRAM, Lancaster University
	JOHN HUND, University of Texas at Austin

	Discussant: ANTHONY SAUNDERS, New York University

12:35 p.m.	Lunch

1:20 p.m.	Insider Trading in Credit Derivatives
	VIRAL ACHARYA and TIMOTHY JOHNSON, London Business School

	Discussant: LOUIS SCOTT, Morgan Stanley

2:15 p.m.	Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
	TORBEN ANDERSEN, Northwestern University and NBER
	TIM BOLLERSLEV, Duke University and NBER
	FRANCIS DIEBOLD, University of Pennsylvania and NBER

	Discussant: ERIC GHYSELS, University of North Carolina, Chapel Hill

3:05 p.m.	Break

3:20 p.m.	Firm Heterogeneity and Credit Risk Diversification
	SAMUEL HANSON, Harvard University M. HASHEM PESARAN, University of Cambridge TIL SCHUERMANN, Federal Reserve Bank of New York

	Discussant: DAVID LANDO, Copenhagen Business School

4:10 p.m.	Common Failings: How Corporate Defaults Are Correlated
	SANJIV DAS, Santa Clara University
	DARRELL DUFFIE, Stanford University and NBER
	NIKUNJ KAPADIA, University of Massachusetts
	LEANDRO SAITA, Stanford University

	Discussant: DAVID LI, Barclays Capital

5:00 p.m.	Adjourn








11/7/05