A joint workshop hosted by the Basel Committee on Banking Supervision, the Centre for Economic Policy Research (CEPR), and the Journal of Financial Intermediation
Venue: Meeting Room A, Bank for International Settlements, Basel
Thursday, 29 June 2006
| 8.30 | Registration |
| 9.00 | Opening remarks by Myron L Kwast, Board of Governors of the Federal Reserve System and Co-Chairman of the Research Task Force |
| 9.30 | Session 1: Chair: Philipp Hartmann (European Central Bank) |
| 9.30 | Optimal Risk Transfer, Monitored Finance and
Real Investment Activity (PDF, 36 pages, 266 kb)
Gabriella Chiesa (University of Bologna) |
| 10.00 |
Discussion by Oren Sussman (Said Business School, University of
Oxford)
General discussion |
| 10.30 | Coffee break |
| 11.00 | Regulating Financial Conglomerates
Xavier Freixas (Universitat Pompeu Fabra and CEPR) Gyöngyi Lóránth (University of Cambridge and CEPR) Alan D Morrison (University of Oxford and CEPR) |
| 11.30 |
Discussion by Haibin Zhu (Bank for International Settlements)
General discussion |
| 12.00 | Risk Diversification by European
Financial Conglomerates (PDF, 36 pages, 1083 kb)
Jan Frederik Slijkerman (Erasmus University Rotterdam) Dirk Shoenmaker (Vrije Universiteit Amsterdam) Casper G de Vries (Erasmus University Rotterdam) |
| 12.30 |
Discussion by Paul Embrechts (Swiss Federal Institute of Technology
Zurich)
General discussion |
| 13.00 | Lunch |
| 14.30 | Session 2
Chair: George G Pennacchi (University of Illinois) |
| 14.30 | Ex Ante Versus Ex Post Regulation of Bank
Capital (PDF, 50 pages, 480 kb)
Arup Daripa (University of London) Simone Varotto (University of Reading) |
| 15.00 |
Discussion by Arnoud Boot (University of Amsterdam)
General discussion |
| 15.30 | Do Bond Issuers Shop for a Better Credit
Rating? (PDF, 34 pages, 355 kb)
Thomas Mählmann (University of Cologne) |
| 16.00 |
Discussion by Paul Kupiec (Federal Deposit Insurance Corporation)
General discussion |
| 16.30 | Coffee break |
| 17.00 | Visible and Hidden Risk Factors for
Banks (PDF, 46 pages, 262 kb)
Til Schuermann (Federal Reserve Bank of New York) Kevin J Stiroh (Federal Reserve Bank of New York) |
| 17.30 |
Discussion by Esa Jokivuolle (Bank of Finland)
General discussion |
| 18.00 | End of Thursday sessions |
| 19.00 | Dinner at the Basel Hilton Remarks by Lucas D Papademos, Vice-President of the European Central Bank |
Friday, 30 June 2006
| 8.25 | Keynote by Darrell Duffie, James I Miller Professor of Finance at the Graduate School of Business, Stanford University |
| 9.10 | Session 3: Chair: Peter Praet (National Bank of Belgium and Basel Committee on Banking Supervision) |
| 9.10 | Potential Competitive Effects on U.S. Bank
Credit Card Lending (PDF, 54 pages, 366 kb)
William W Lang (Federal Reserve Bank of Philadelphia) Loretta J Mester (Federal Reserve Bank of Philadelphia) Todd A Vermilyea (Federal Reserve Bank of Philadelphia) |
| 09.40 |
Discussion by Jan Pieter Krahnen (Goethe-University Frankfurt, CFS
and CEPR)
General discussion |
| 10.10 | Coffee break |
| 10.30 | Risk Transfer with CDOs and Systemic
Risk in Banking (PDF, 53 pages, 332 kb)
Jan Pieter Krahnen (Goethe-University Frankfurt, CFS and CEPR) Christian Wilde (Goethe-University Frankfurt) |
| 11.00 |
Discussion by José Luis Peydro-Alcalde (European Central Bank)
General discussion |
| 11.30 | Integrating Credit and Interest Rate
Risk: A Theoretical Framework and an Application to Banks' Balance Sheets
(PDF, 33 pages, 707 kb)
Mathias Drehmann (Bank of England) Steffen Sorensen (Bank of England) Marco Stringa (Bank of England) |
| 12.00 |
Discussion by Klaus Düllmann (Deutsche Bundesbank)
General discussion |
| 12.30 | Session 4 Chair: Ernst-Ludwig von Thadden (University of Mannheim, CEPR and JFI) |
| 12.30 | Does a Large Loss of Bank Capital Cause
Evergreening? Evidence from Japan (PDF, 31 pages, 264 kb)
Wako Watanabe (Tohoku University) |
| 13.00 |
Discussion by Vasso P Ioannidou (Tilburg University)
General discussion |
| 13.30 | Lunch |
| 14.50 | Credit Derivatives: Capital Requirements
and Strategic Contracting (PDF, 43 pages, 280 kb)
Antonio Nicolò (University of Padova) Loriana Pelizzon (University of Venice and SSAV) |
| 15.20 |
Discussion by Pierre Tychon (European Investment Bank)
General discussion |
| 15.50 | Cash-in-the-Market Pricing and Optimal
Resolution of Bank Failures (PDF, 66 pages, 519 kb)
Viral V Acharya (London Business School and CEPR) Tanju Yorulmazer (Bank of England) |
| 15.50 |
Discussion by Anjan Thakor (Washington University)
General discussion |
| 16.50 | Closing remarks |
| 16.55 | End of workshop |
Workshop organisers:
Martin Birn (Basel Committee Secretariat)
Neil Esho (Basel Committee Secretariat)
Reint Gropp (European Central Bank)
Philipp Hartmann (European Central Bank)
Philippe Jorion (University of California at Irvine)
George G Pennacchi (University of Illinois)
Peter Praet (National Bank of Belgium and Basel Committee of Banking
Supervision)
João Santos (Federal Reserve Bank of New York)
Ernst-Ludwig von Thadden (University of Mannheim, CEPR and JFI)
Anjan Thakor (Washington University)
