Programme of the workshop "Risk Transfer Mechanisms and Financial Stability"

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 May

8.15   
Registration and coffee
8.45 Opening remarks by Myron L Kwast, Board of Governors of the Federal Reserve System and Co-Chairman of the Research Task Force
9.00 Session 1: Portfolio risk and systemic risk
  Chair: Mark Levonian (Office of the Comptroller of the Currency)
9.00 Hedge fund tail risk
  Tobias Adrian (Federal Reserve Bank of New York)
  Markus Brunnermeier (Princeton University)
9.40 Discussion by Jon Danielsson (London School of Economics)
  General discussion
10.05 Correlation in corporate defaults: Contagion or conditional independence? (presentations)
  David Lando (Copenhagen Business School)
  Mads Stenbo Nielsen (Copenhagen Business School)
10.45 Discussion by Darrell Duffie (Graduate School of Business, Stanford University)
  General discussion
11.10 Coffee break
11.40 Financial stability and the capital adequacy of large U.S. banking organizations: A VAR in VaR approach
  Diana Hancock (Board of Governors of the Federal Reserve System)
  Wayne Passmore (Board of Governors of the Federal Reserve System)
12.20 Discussion by Reint Gropp (Goethe University Frankfurt)
  General discussion
12.45 Lunch
14.00 Keynote lecture: Securitisation and financial stability
  Hyun Song Shin (Princeton University, Depratemnt of Economics and Bendheim Center for Finance)
15.00 Session 2: Linkages between financial markets and the real economy
  Chair: Ernst-Ludwig von Thadden (University of Mannheim, CEPR and JFI)
15.00 Credit spreads and real activity (presentation)
  Phillip Mueller (Columbia Business School)
15.40 Discussion by George Pennacchi (University of Illinois and JFI)
  General discussion
16.05 Coffee break
16.30 Credit booms and lending standards: Evidence from the subprime mortgage market (presentation)
  Giovanni Dell'Ariccia (International Monetary Fund)
  Deniz Igan (International Monetary Fund)
  Luc Laeven (International Monetary Fund)
17.10 Discussion by Vikrant Vig (London Business School)
  General discussion
17.35 End of Thursday session
18.30 Aperitif at the Basel Hilton
19.00 Dinner at the Basel Hilton
  Remarks by Ben S Bernanke; Chairman and Member of the Board of Governors of the Federal Reserve System (via video conference)

Friday 30 May

8.15   
Registration and coffee
8.30 Session 3: Interbank markets and systemic liquidity
  Chair: Anjan Thakor (Washington University)
8.30 Imperfect competition in the inter-bank market for liquidity as a rationale for central banking
  Viral Acharya (London Business School and CEPR)
  Denis Gromb (London Business School and CEPR)
  Tanju Yorulmazer (Federal Reserve Bank of New York)
9.05 Discussion by Loriana Pelizzon (University Ca' Foscari di Venezia)
  General discussion
9.30 The paradox of liquid loans
  Nada Mora (Bank of England)
  Rhiannon Sowerbutts (Universitat Pompeu Fabra)
10.05 Discussion by Martin Summer (Austrian National Bank)
  General discussion
10.30 Coffee break
10.50 Collateral, financial intermediation and the distributrion of debt capacity
  Adriano Rampini (Duke University)
  S Viswanathan (Duke University)
11.25 Discussion by Denis Gromb (London Business School)
  General discussion
11.50 The risks of bank wholesale funding (presentation)
  Rocco Huang (Federal Reserve Bank of Philadelphia)
  Lev Ratnovski (Bank of England)
12.25 Discussion by Bent Vale (Central Bank of Norway)
  General discussion
12.50 Lunch
14.15 Session 4: Credit default swap markets and credit risks
  Chair: Peter Praet (National Bank of Belgium and Basel Committee on Baning Supervision)
14.15 Has the CDS market lowered the cost of corporate debt?
  Adam Ashcraft (Federal Reserve Bank of New York)
  João Santos (Federal Reserve Bank of New York)
14.55 Discussion by Wolfgang Bühler (University of Mannheim)
  General discussion
15.20 Credit risk transfer in banking markets with hard and soft information (presentation)
  Hendrik Hakenes (University of Hannover and MPI Bonn)
  Isabel Schnabel (University of Mainz, CEPR and MPI Bonn)
16.00 Discussion by Florian Heider (European Central Bank)
  General discussion
16.25 Coffee break
16.45 Solvency Regulation and Credit Risk Transfer
  Vittoria Cerasi (Bicocca University)
  Jean-Charles Rochet (Toulouse University)
17.25 Discussion by Janet Mitchell (National Bank of Belgium)
  General discussion
17.50 Closing remarks by Ernst-Ludwig von Thadden (University of Mannheim, CEPR and JFI)
18.00 End of workshop

Programme committee

Viral Acharya (London Business School and JFI)
Markus Brunnermeier (Princeton University and JFI)
Klaus Duellmann (Deutsche Bundesbank)
Mike Fishman (Northwestern University and JFI)
Diana Hancock (Federal Reserve Board)
Nancy Masschelein (National Bank of Belgium)
David Nebhut (US Office of the Comptroller of the Currency)
Erlend Nier (International Monetary Fund)
George Pennacchi (University of Illinois and JFI)
Rafael Repullo (Centro de Estudios Monetarios y Financieros and CEPR)
Bent Vale (Central Bank of Norway)
Dimitri Vayanos (London School of Economics and JFI)
Vish Viswanathan (Duke University and JFI)
Ernst-Ludwig von Thadden (University of Mannheim, CEPR and JFI)

Workshop organisation

Martin Birn (Basel Committee Secretariat)