'Risk management and regulation in banking': Programme

August 2005

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)