About the conference
This volume contains papers that were either presented or are based on presentations at the Third Joint Central Bank Research Conference on Risk Measurement and Systemic Risk, which took place in Basel on 7 and 8 March 2002 at the Bank for International Settlements (BIS). The main goal of the conference was to bring together the business, research and policy communities to foster active exchange on issues related to risk measurement and systemic risk.
The papers in the volume focus on questions relating to the nature and sources of market liquidity, recent advances in risk measurement methods, sources of banking crises, and contagion effects across regions and markets.
This third in a series of joint research conferences was organised by the BIS on behalf of the Committee on the Global Financial System (CGFS), in co-operation with the European Central Bank, the Bank of Japan and the Board of Governors of the Federal Reserve System . The two earlier conferences were hosted by the Federal Reserve Board and the Bank of Japan in 1995 and 1998, respectively.
| Summary | Risk Measurement and Systemic Risk, a summary |
|---|
| Introductory remarks and luncheon addresses | |
|---|---|
| Introductory remarks | Andrew D Crockett |
| Triangular view of systemic risk and central bank responsibility | Yutaka Yamaguchi |
| Reflections on recent financial incidents | Tommaso Padoa-Schioppa |
| Session 1: Banking stability | |
|---|---|
| Liquidity, asset prices and systemic risk | Franklin Allen and Douglas Gale |
| Implications of the bank merger wave for competition and stability | Elena Carletti, Philipp Hartmann and Giancarlo Spagnolo |
| Financial crises and incomplete information | Mariassunta Giannetti |
| Session 2: Market contagion | |
|---|---|
| Transmission of contagion in developed and developing international bond markets | Mardi Dungey, Renée Fry, Brenda González-Hermosillo and Vance Martin |
| Financial turmoil: systemic or regional? | Graciela Kaminsky and Carmen Reinhart |
| Social learning and financial crisis | Marco Cipriani and Antonio Guarino |
| Session 3: Liquidity I | |
|---|---|
| Positive feedback trading under stress: evidence from the US Treasury market | Benjamin Cohen and Hyun Shin |
| Large investors and liquidity: a review of a the literature | Matthew Pritsker |
| Hedging demand and foreign exchange risk premia | David Tien |
| Session 4: Liquidity II | |
|---|---|
| Measuring and explaining liquidity on an electronic limit order book: evidence from Reuters D2000-2 | Jón Daníelsson and Richard Payne |
| The impact of the market liquidity in times of stress in the corporate bond issuances | Paul Harrison |
| Liquidity of the Hong Kong stock market since the Asian crisis | Jim Wong and Laurence Fung |
| Session 5: Risk Measurement | |
|---|---|
| Modelling and forecasting realised volatility | Torben Andersen, Tim Bollerslev, Francis Diebold and Paul Labys |
| Comparative analyses of expected shortfall and VaR under market stress | Yasuhiro Yamai and Toshinao Yoshiba |
| Extreme tails for linear portfolio credit risk models | André Lucas, Pieter Klaassen, Peter Spreij and Stefan Straetmans |
| Session 6: Market behaviour and monitoring | |
|---|---|
| Interbank exposures and systemic risk | Martin Blåvarg and Patrick Nimander |
| Equity and bond market signals as leading indicators of bank fragility | Reint Gropp, Jukka Vesala and Giuseppe Vulpes |
| The effect of VaR based risk management on asset prices and the volatility smile | Arjan Berkelaar, Phornchanok Cumperayot and Roy Kouwenberg |
| Annexes | |
|---|---|
| Conference programme and list of conference participants | |