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Fourth Joint Central Bank Research Conference
Frankfurt am Main, 08-09 November 2005
Day 1 - Tuesday, 08 November 2005
| 8:00-8:30 | Registration and Coffee |
| 8:30-9:00 | Opening Remarks: Otmar Issing (European Central Bank) pdf 62 kB, en |
| 9:00-10:55 | Session 1: Non-Bank Financial Institutions and Systemic Risk Chair: José Viñals (Banco de Espana) |
| Systemic Risk and Hedge Funds pdf 705 kB, en Presentation: pdf 405 kB, en Nicholas Chan (Alpha Simplex Group), Mila Getmansky-Sherman ( 1 ) (University of Massachusetts), Shane Haas (Alpha Simplex Group) and Andrew Lo (Massachusetts Institute of Technology) |
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| Managerial Incentives and Financial Contagion pdf 152 kB, en Presentation: pdf 54 kB, en Sujit Chakravorti ( 1 ) (Federal Reserve Bank of Chicago) and Subir Lall (International Monetary Fund) |
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| Liquidity Coinsurance, Moral Hazard and Financial Contagion pdf 255 kB, en Presentation: pdf 161 kB, en Sandro Brusco (State University of New York and University Carlos III) and Fabio Castiglionesi ( 1 ) (University Autonoma de Barcelona) Discussant: Kostantinos E. Tsatsaronis (Bank for International Settlements) pdf 284 kB, en |
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| General Discussion |
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| 10:55-11:15 | Coffee |
| 11:15-13:10 | Session 2: Liquidity Risk and Contagion Chair: Paolo Angelini (Banca d’Italia) |
| Illiquidity in the Interbank Payment System Following Wide-Scale Disruptions pdf 252 kB, en Presentation: pdf 252 kB, en Morten L. Bech ( 1 ) (Federal Reserve Bank of New York) and Rod Garratt (University of California, Santa Barbara) |
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| Liquidity Risk in Securities Settlement pdf 167 kB, en Presentation: pdf 197 kB, en Johan Devriese (National Bank of Belgium) and Janet Mitchell (National Bank of Belgium) |
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| Interbank Contagion: Evidence from Real Transactions pdf 275 kB, en Presentation: pdf 66 kB, en Rajkamal Iyer (INSEAD) and José Luis Peydró-Alcalde ( 1 ) (European Central Bank) Discussant: Rafael Repullo (Centro de Estudios Monetarios y Financieros) pdf 133 kB, en |
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| General Discussion |
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| 13:10-14:15 | Lunch |
| 14:15-16:10 | Session 3: Credit Risk Transfer and Trading in Credit Markets Chair: Peter Praet (National Bank of Belgium) |
| Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks of Individual Firms pdf 314 kB, en Presentation: pdf 852 kB, en Benjamin Yibin Zhang ( 1 ) (Moody’s KMV), Hao Zhou (Board of Governors of the Federal Reserve System) and Haibin Zhu (Bank for International Settlements) |
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| Insider Trading in Credit Derivatives pdf 291 kB, en Presentation: pdf 151 kB, en Viral V. Acharya (London Business School) and Timothy C. Johnson ( 1 ) (London Business School) |
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| The Determinants of Market Frictions in the Corporate Market pdf 250 kB, en Andrew Levin (Board of Governors of the Federal Reserve System), Roberto Perli (Board of Governors of the Federal Reserve System) and Egon Zakrajŝek ( 1 ) (Board of Governors of the Federal Reserve System) Discussant: Reint Gropp (European Central Bank) pdf 47 kB, en |
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| General Discussion |
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| 16:10-16:30 | Coffee |
| 16:30-18:30 | Panel discussion: “The Policy Implications of the Developments in Credit Derivatives and Structured Finance” Lucas Papademos (European Central Bank, Chair) pdf 70 kB, en, Sean Kavanagh (Deutsche Bank), Eiji Hirano (Bank of Japan) pdf 43 kB, en, Michael Alix (Bear Stearns), Roger Ferguson (Board of Governors of the Federal Reserve System) pdf 34 kB, en |
| 20:00 | Dinner speech: André Icard (Bank for International Settlements) pdf 33 kB, en |
Day 2 - Wednesday, 09 November 2005
| 8:45-9:00 | Coffee |
| 9:00-10:55 | Session 4: Systemic Risk Across Countries Chair: Fabio Panetta (Banca d’Italia) |
| Banking System Stability: A Cross-Atlantic Perspective pdf 1.1 MB, en Presentation: pdf 645 kB, en Philipp Hartmann ( 1 ) (European Central Bank), Stefan Straetmans (Maastricht University) and Casper de Vries (Erasmus University Rotterdam) |
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| Estimating Systemic Risk in the International Financial System pdf 1.5 MB, en Presentation: pdf 735 kB, en Söhnke M. Bartram ( 1 ) (Lancaster University), Gregory W. Brown (University of North Carolina) and John E. Hund (University of Texas) |
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| A Large Speculator in Contagious Currency Crises: A Single “George Soros” Makes Countries more Vulnerable to Crises, but Mitigates Contagion pdf 299 kB, en Presentation: pdf 600 kB, en Kenshi Taketa (Bank of Japan) Discussant: Hans Degryse (Leuven University) pdf 98 kB, en |
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| General Discussion |
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| 10:55-11:15 | Coffee |
| 11:15-13:10 | Session 5: Risk Measurement and Market Dynamics Chair: Hung Tran (International Monetary Fund) |
| Bank Credit Risk, Common Factors, and Interdependence of Credit Risk in Money Markets: Observed vs. Fundamental Prices of Bank Credit Risk pdf 982 kB, en Presentation: pdf 184 kB, en Naohiko Baba ( 1 ) (Bank of Japan) and Shinichi Nishioka (Bank of Japan) |
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| Firm Heterogeneity and Credit Risk Diversification pdf 723 kB, en Presentation: pdf 217 kB, en Samuel Hanson (Federal Reserve Bank of New York), M. Hashem Pesaran ( 1 ) (University of Cambridge) and Til Schuermann (Federal Reserve Bank of New York) |
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| Evaluating Value-at-Risk Models with Desk-Level Data pdf 294 kB, en Presentation: pdf 101 kB, en Jeremy Berkowitz (University of Houston), Peter Christoffersen ( 1 ) (McGill University) and Denis Pelletier (North Carolina State University) Discussant: Joachim Coche (European Central Bank) pdf 180 kB, en |
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| General Discussion |
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| 13:10-14:35 | Lunch |
| 14:35-16:30 | Session 6: Stress Testing and Financial Stability Policies Chair: Hiroshi Nakaso (Bank of Japan) |
| Corporate Defaults and Large Macroeconomic Shocks pdf 591 kB, en Presentation: pdf 149 kB, en Mathias Drehmann ( 1 ) (Bank of England), Andrew J. Patton (Bank of England) and Steffen Sorensen (Bank of England) |
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| Exploring Interactions between Real Activity and the Financial Stance pdf 794 kB, en Presentation: pdf 522 kB, en Tor Jacobson (Sveriges Riksbank), Jesper Lindé (Sveriges Riksbank) and Kasper Roszbach ( 1 ) (Sveriges Riksbank) |
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| Selected Indicators of Financial Stability pdf 237 kB, en Bill Nelson (Board of Governors of the Federal Reserve System) and Roberto Perli ( 1 ) (Board of Governors of the Federal Reserve System) Discussant: Mark Flannery (University of Florida) pdf 80 kB, en |
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| General Discussion |
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| 16:30-16:50 | Concluding Remarks: Lucrezia Reichlin (European Central Bank) pdf 63 kB, en |
( 1 ) Name of paper presenter
SEE ALSO