Conference on 'Changes in risk through time: measurement and policy options'
Wednesday 6 March 2002
Agenda
| 09:00 - 09:10 | Welcome by André Icard (BIS) |
| Chair: William White (BIS) | |
| 09:10 - 10:40 | The measurement of credit risk over the cycle Presentation by Linda Allen (City University of New York) Presentation/comment by Richard Cantor (Moody's Investors Service) Presentation/comment by Stephen Kealhofer (KMV Corporation) Presentation/comment by Thomas Wilde (Credit Suisse First Boston) |
| 11:00 - 11:50 | The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios Authors: Ed Altman (New York University), Andrea Sironi (Bocconi) and Andrea Resti (University of Bergamo) Discussants: Richard Herring (University of Pennsylvania) and Hiroshi Nakaso (Bank of Japan) |
| 11:50 - 12:40 | Credit risk modeling and the cyclicality of capital Authors: Eric Rosengren, John Jordan (Federal Reserve Bank of Boston) and Joe Peek (University of Kentucky) Discussants: Timothy Wilson (Morgan Stanley) and Patricia Jackson (Bank of England) |
| 14:00 - 14:50 | Institutional memory, the business cycle and bank lending behaviour Authors: Allen Berger (Board of Governors of the Federal Reserve System) and Gregory Udell (Indiana University) Discussants: Charles Calomiris (Columbia University) and David Carse (Hong Kong Monetary Authority) |
| 14:50 - 15:40 | Asset prices, financial and monetary stability: exploring the nexus Authors: Claudio Borio and Philip Lowe (BIS) Discussants: Benjamin Friedman (Harvard University) and Lars Heikensten (Sveriges Riksbank) |
| 16:00 - 18:00 | Panel discussion Charles Goodhart (London School of Economics) Jeffrey Carmichael (Australian Prudential Regulation Authority) Arturo Estrella (Federal Reserve Bank of New York) George Kaufman (Loyola University of Chicago) Hans Genberg (Graduate Institute of International Studies, Geneva) |
List of external participants
| Viral Acharya | London Business School |
| Linda Allen | City University of New York |
| Franklin Allen | University of Pennsylvania |
| Edward Altman | Leonard N Stern School of Business, New York University |
| Harald Benink | Erasmus University of Rotterdam |
| Allen Berger | Board of Governors of the Federal Reserve System |
| Anders Borg | Sveriges Riksbank |
| Charles Calomiris | Columbia University |
| Richard Cantor | Moody's Investors Service |
| Jeffrey Carmichael | Australian Prudential Regulation Authority |
| David Carse | Hong Kong Monetary Authority |
| Jon Danielsson | London School of Economics |
| Alain Duchateau | Banque de France and Commission Bancaire |
| Arturo Estrella | Federal Reserve Bank of New York |
| Benjamin Friedman | Harvard University |
| Hans Genberg | Graduate School of International Studies, Geneva |
| Stefan Gerlach | Hong Kong Monetary Authority |
| Charles Goodhart | London School of Economics |
| Juan Pablo Graf | Banco de Mexico |
| Mauro Grande | European Central Bank |
| Lars Heikensten | Sveriges Riksbank |
| Richard Herring | University of Pennsylvania |
| Ryozo Himino | Financial Services Agency, Japan |
| Patricia Jackson | Bank of England |
| Alejandro Jara | Banco Central de Chile |
| Graciela Kaminsky | George Washington University |
| George Kaufman | Loyola University of Chicago |
| Stephen Kealhofer | KMV Corporation |
| Paul Kupiec | International Monetary Fund |
| Myron Kwast | Board of Governors of the Federal Reserve System and Swiss National Bank |
| Erich Loeper | Deutsche Bundesbank |
| Jose Lopez | Federal Reserve Bank of San Francisco |
| Giovanni Majnoni | The World Bank |
| Hiroshi Nakaso | Bank of Japan |
| Paolo Marullo Reedtz | Banca d'Italia |
| Rafael Repullo | Centro de Estudios Monetarios y Financieros (CEMFI) |
| Andrea Resti | University of Bergamo |
| Eric Rosengren | Federal Reserve Bank of Boston |
| Jesus Saurina | Banco de España |
| Emmanuelle Sebton | International Swaps and Derivatives Association, London |
| Hyun Song Shin | London School of Economics |
| Emil Steffensen | The Banking, Insurance and Securities Commission, Norway |
| Thierry Timmermans | National Bank of Belgium |
| Gregory Udell | Indiana University |
| Iman van Lelyveld | De Nederlandsche Bank |
| Thomas Wilde | Credit Suisse First Boston |
| Timothy Wilson | Morgan Stanley |