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NATIONAL BUREAU OF ECONOMIC RESEARCH

and

FEDERAL RESERVE BANK OF CLEVELAND

 

Research Conference on Quantifying Systemic Risk

 

Joseph Haubrich and Andrew Lo, Organizers

 

November 6, 2009

 

NBER

2nd Floor Conference Room

1050 Massachusetts Avenue

Cambridge, Massachusetts

 

PROGRAM

 

FRIDAY, NOVEMBER 6:

 

 8:15 am          Shuttle Vans Depart from The Royal Sonesta Hotel for the NBER

 8:30 am          Continental Breakfast

 

 8:55 am          Welcome:  JOSEPH HAUBRICH and ANDREW LO

 

 9:00 am          DAVID AIKMAN, PIERGIORGIO ALESSANDRI and BRUNO EKLUND, Bank of England

                        PRASANNA GAI, The Australian National University

                        SUJIT KAPADIA and ELIZABETH MARTIN, Bank of England

                        NADA MORA, Federal Reserve Bank of Kansas City           

                        GABRIEL STERNE and MATTHEW WILLISON, Bank of England

                        Funding Liquidity Risk in a Quantitative Model of Systemic Stability

 

                        Discussant:  MIKHAIL OET, Federal Reserve Bank of Cleveland

                                            

10:00 am         GIANNI DE NICOLO, International Monetary Fund

                        MARCELLA LUCCHETTA, University of Verona

                        Systemic Risk and the Macroeconomy

 

                        Discussant:  HAO ZHOU, Board of Governors

                                             HARRY MAMAYSKY, Citigroup Inc.

 

11:00 am         Break

 

11:15 am         JON DANIELSSON, London School of Economics

                        HYUNSONG SHIN, Princeton University

                        JEAN-PIERRE ZIGRAND, London School of Economics

                        Risk Appetite and Endogenous Risk

 

                        Discussant:  BRUCE MIZRACH, Rutgers University

                                             TERRY BURNHAM, Acadian Asset Management

 

12:15 pm         Lunch

                        Keynote Speaker: 

                        HENRY HU, Director, Division of Risk, Strategy and Financial Innovation,

                        U.S. Securities and Exchange Commission

 

 1:30 pm          TOBIAS ADRIAN, Federal Reserve Bank of New York

                        MARKUS K. BRUNNERMEIER, Princeton University

                        CoVar

 

                        Discussant:  BEN R. CRAIG, Federal Reserve Bank of Cleveland

                                             GREG HAYT, Paloma Partners

 

 2:30 pm          ROMNEY B. DUFFEY, Atomic Energy of Canada Limited

                        The Quantification of Systemic Risk and Stability: New Methods and Measures

 

                        Discussant:  GREGG BERMAN, Securities and Exchange Commission

 

 3:30 pm          Break

 

 3:45 pm          VIRAL V. ACHARYA, New York University and NBER

                        ASHLEY LESTER, New York University

                        LASSE PEDERSEN, THOMAS PHILIPPON and MATTHEW RICHARDSON, New York University and NBER

                        Regulating Systemic Risk

 

                        Discussant:  MATHIAS DREHMANN, Bank for International Settlements

                                              DALE GRAY, International Monetary Fund

 

 5:00 pm          Adjourn

 

 

 

11/4/09