Basel II: An Economic Assessment
A workshop jointly organised by the Basel Committee on Banking Supervision, the Centre for Economic Policy Research, and the Journal of Financial Intermediation.
| Friday 17 May | |
| 8.30 | Opening Remarks by Andrew Crockett (Bank for International Settlements) |
| Session 1 Chair: Urs Birchler (Basel Committee and Swiss National Bank) | |
| 8.50 | Regulatory and 'Economic' Solvency Standards for Internationally Active Banks (PDF, 38 pages, 211 kb) |
| Patricia Jackson (Bank of England) | |
| William Perraudin (Birkbeck College and CEPR) | |
| Victoria Saporta (Bank of England) | |
| 9.30 | Discussion by Arnoud Boot (Powerpoint, 6 pages 32 kb) (University of Amsterdam) |
| Discussion by Giovanni Majnoni (Powerpoint, 11 pages 61 kb) (World Bank) |
|
| General discussion | |
| 10.00 | The Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size (PDF, 65 pages, 365 kb) |
| Jose A Lopez (Federal Reserve Bank of San Francisco) | |
| 10.40 | Discussion by George Pennacchi (Powerpoint, 9 pages 42 kb) (University of Illinois) |
| Discussion by Akira Ieda (Powerpoint, 18 pages 111 kb) (Bank of Japan) |
|
| General discussion | |
| 11.30 | Are Capital Buffers Pro-Cyclical? (PDF, 19 pages, 189 kb) |
| Juan Ayuso (Banco de España) | |
| Daniel Pérez (Banco de España | |
| Jesús Saurina (Banco de España) | |
| 12.10 | Discussion by George Sheldon (PDF, 2 pages, 11 kb) (Universität Basel) |
| Discussion by Ed Ettin (PDF, 6 pages, 225 kb) (Federal Reserve Board) |
|
| General discussion | |
| Session 2 Chair: Anjan Thakor (University of Michigan and JFI) | |
| 14.20 | Banks, Internal Models, and the Problem of Adverse Selection (PDF, 37 pages, 323 kb) |
| Christian Ewerhart (Universität Mannheim) | |
| 15.00 | Discussion by Sudipto Bhattacharya (PDF, 1 page, 58 kb) (London School of Economics) |
| Discussion by Bertrand Rime (PDF, 3 pages, 61 kb) (Swiss National Bank) |
|
| General discussion | |
| 15.30 | Is the New Basel Accord Incentive Compatible? (PDF, 40 pages, 453 kb) |
| Paul Kupiec (International Monetary Fund) | |
| 16.10 | Discussion by Paola Sapienza (PDF, 9 pages, 51 kb) (Northwestern University) |
| Discussion by Klaas Knot (Powerpoint, 11 pages 72 kb) (Nederlandsche Bank) |
|
| General discussion | |
| 17.00 | Capital Requirements, Market Power, and Risk-Taking in Banking (PDF, 29 pages, 269 kb) |
| Rafael Repullo (CEMFI and CEPR) | |
| 17.40 | Discussion by Oved Yosha (Tel Aviv University) |
| Discussion by Jürg Blum (Swiss National Bank) | |
| General discussion | |
| Saturday 18 May | |
| Session 3 Chair: Claudio Borio (Bank for International Settlements) | |
| 9.00 | The Three Pillars of Basel II: Optimizing the Mix in a Continuous-Time Model (PDF, 25 pages, 279 kb) |
| Jean Paul Décamps (Université de Toulouse) | |
| Benoît Roger (Université de Toulouse) | |
| Jean-Charles Rochet (Université de Toulouse and CEPR) | |
| 9.40 | Discussion by Henri Pages (Banque de France) |
| Discussion by Joao Santos (Federal Reserve Bank of New York) | |
| General discussion | |
| 10.10 | Value-at-Risk vs. Building Block Regulation in Banking (PDF, 52 pages, 437 kb) |
| Thomas Dangl (Technische Universität Wien) | |
| Alfred Lehar (Universität Wien) | |
| 10.50 | Discussion by Rajna Gibson (Universität Zürich) |
| Discussion by Reint Gropp (European Central Bank) | |
| General discussion | |
| 11.40 | The Optimal Capital Structure of an Economy (PDF, 30 pages, 368 kb) |
| Hans Gersbach (Universität Heidelberg) | |
| 12.20 | Discussion by Javier Suarez (CEMFI, Madrid) |
| Discussion by Erlend Nier (Bank of England) | |
| General discussion | |
| Session 4 Chair: Ernst-Ludwig von Thadden (Université de Lausanne, CEPR and JFI) | |
| 14.00 | Some Evidence on the Consistency of Banks' Internal Credit Ratings (PDF, 27 pages, 109 kb) |
| Mark Carey (Federal Reserve Board) | |
| 14.40 | Discussion by Xavier Freixas (Powerpoint, 8 pages 25 kb) (Universitat Pompeu Fabra) |
| Discussion by Philip Lowe (PDF, 6 pages, 225 kb) (Bank for International Settlements) |
|
| General discussion | |
| 15.10 | Basel II, Sovereign Ratings and Transfer Risk: External versus Internal Ratings (PDF, 27 pages, 229 kb) |
| Stijn Claessens (University of Amsterdam) | |
| Geert Embrechts (Rabobank International) | |
| 15.50 | Discussion by Juan Carlos Garcia (BBVA) |
| Discussion by Konstantinos Tsatsaronis (Bank for International Settlements) | |
| General discussion | |
| 16.40 | Bank Regulation and Supervision: What Works Best? (PDF, 61 pages, 154 kb) |
| James R Barth (Auburn University) | |
| Gerard Caprio, Jr (World Bank) | |
| Ross Levine (University of Minnesota) | |
| 17.20 | Discussion by Mitch Petersen (Northwestern University) |
| Discussion by Myron Kwast (Federal Reserve Board) | |
| General discussion | |
Workshop Organisers: