Conference on 'Changes in risk through time: measurement and policy options'

Wednesday 6 March 2002


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