NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

Risks of Financial Institutions

Mark Carey and René Stulz, Organizers

November 30, 2001

NBER

1050 Massachusetts Avenue

Cambridge, Massachusetts

PROGRAM

THURSDAY, NOVEMBER 29:

7:00 PM Group Dinner

Royal Sonesta Hotel

5 Cambridge Parkway

Cambridge, MA

FRIDAY, NOVEMBER 30:

8:30 AM Continental Breakfast

9:00 AM Modeling and Forecasting Realized Volatility

TORBEN ANDERSEN, Northwestern University and NBER

TIM BOLLERSLEV, Duke University and NBER

FRANCIS DIEBOLD, University of Pennsylvania and NBER

PAUL LABYS, University of Pennsylvania

Discussant: TIL SCHUERMANN, Federal Reserve Bank of New York

9:45 AM Break

10:15 AM The Risk in Hedge Fund Strategies:

Theory and Evidence from Fixed Income Funds

WILLIAM FUNG, London School of Business

DAVID HSIEH, Duke University

Discussant: BARRY SCHACHTER, Caxton Associates, LLC

11:00 AM Bank Regulation and Supervision: What Works Best?

JAMES BARTH, Auburn University

GERARD CAPRIO, World Bank

ROSS LEVINE, University of Minnesota

Discussant: CHARLES CALOMIRIS, Columbia University and NBER

11:45 AM Lunch

(Over)

12:45 PM Roundtable:

What Keeps Me Awake at Night and What I Would Like to Know

MICHAEL CROUHY, CIBC

ROBERT LITZENBERGER, Goldman Sachs

LAURENCE MEYER, Federal Reserve Board

2:00 PM Break

2:30 PM How Accurate are Value-at-Risk Models at Commercial Banks?

JEREMY BERKOWITZ, UC, Irvine

JAMES O'BRIEN, Federal Reserve Board

Discussant: KENNETH FROOT, Harvard University and NBER

3:15 PM Risk Management, Capital Structure, and Lending at Banks

A. SINAN CEBENOYAN, Hofstra University

PHILIP STRAHAN, Boston College

Discussant: MARK FLANNERY, University of Florida

4:00 PM Adjourn

10/30/01