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NATIONAL
BUREAU OF ECONOMIC RESEARCH
and
FEDERAL
RESERVE BANK OF
Research Conference on Quantifying
Systemic Risk
Joseph
Haubrich and Andrew Lo, Organizers
November 6,
2009
NBER
2nd
Floor Conference Room
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
PRASANNA GAI, The
SUJIT KAPADIA and ELIZABETH MARTIN, Bank of
England
NADA MORA, Federal Reserve
Bank of
GABRIEL STERNE and MATTHEW WILLISON, Bank of
Funding
Liquidity Risk in a Quantitative Model of Systemic Stability
Discussant:
MIKHAIL OET, Federal Reserve Bank of
10:00 am GIANNI DE NICOLO, International
Monetary Fund
MARCELLA LUCCHETTA,
Systemic Risk and the Macroeconomy
Discussant:
HAO ZHOU, Board of Governors
HARRY MAMAYSKY, Citigroup Inc.
11:00 am Break
11:15 am JON DANIELSSON,
HYUNSONG SHIN,
JEAN-PIERRE ZIGRAND,
Risk Appetite and Endogenous Risk
Discussant:
BRUCE MIZRACH,
TERRY BURNHAM, Acadian Asset
Management
12:15 pm Lunch
Keynote Speaker:
HENRY HU, Director, Division of Risk,
Strategy and Financial Innovation,
1:30 pm TOBIAS
ADRIAN, Federal Reserve Bank of
MARKUS K. BRUNNERMEIER,
Discussant:
BEN R. CRAIG, Federal Reserve Bank of
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,
ASHLEY LESTER,
LASSE PEDERSEN, THOMAS PHILIPPON and MATTHEW RICHARDSON,
Regulating
Systemic Risk
Discussant:
MATHIAS DREHMANN, Bank for International
Settlements
DALE GRAY,
International Monetary Fund
5:00 pm Adjourn
11/4/09