NATIONAL BUREAU OF ECONOMIC RESEARCH

Project on the Risks of Financial Institutions and of the Financial Sector, Preconference

René Stulz, Organizer

February 27, 2004

2nd Floor Conference Room

1050 Massachusetts Avenue

Cambridge, Massachusetts

Program

Thursday, February 26
7:30 p.m.	Dinner, Davio’s Restaurant
	Royal Sonesta Hotel, Cambridge, MA
Friday, February 27
7:50 & 8:10 a.m.	Shuttle vans from the Sonesta to 1050 Massachusetts Avenue
8:00 a.m.	Continental Breakfast
8:30 – 10:10 a.m.	Systemic Risk
	Systemic Risk and Regulation
	Franklin Allen, University of Pennsylvania
	Douglas Gale, New York University
	Banks’ Exposure to Pervasive Liquidity Shocks
	Philip Strahan Boston College and NBER
	Evan Gatev, Boston College
	Banking System Stability: A Cross-Atlantic Perspective Based on Extreme Value Analysis
	Philipp Hartmann, ECB
	Stefan Straetmans Maastricht University
	Casper de Vries, Erasmus University Rotterdam
	Systemic Risk and Hedge Fund Transparency
	Andrew Lo, MIT and NBER
	Mila Getmansky, MIT:
10:10 a.m.	Break
10:30-11:20 a.m.	Capital Structure:
	Managing Balance-Sheet Leverage and Liquidity
	Darrell Duffie and Chenyang Wang, Stanford University
	Capital Adjustment Speeds at U.S. BHC
	Mark Flannery, University of Florida
	Kasturi Rangan, Case Western University
11:20-12:10 p.m.	Market Risk:
	Bank Trading Revenues, VaR, and Market Risk
	Jeremy Berkowitz, University of Houston
	Jim O’Brien, Federal Reserve Board:
	Empirical Evidence on Bank Trading Risk and Systemic Risk
	Philippe Jorion, University of California at Irvine:
12:10-1:00 p.m.	Lunch
1:00 – 2:15 p.m.	Credit Risk and Securitization
	Scope for Credit Risk Diversification Across Sectors and Regions
	M. Hashem Pesaran, University of Cambridge
	Til Schuermann, Federal Reserve Bank of New York
	Bjorn-Jakob Treutler, Mercer Oliver Wyman
	Banks and Off-Balance Sheet Vehicles
	Gary Gorton, University of Pennsylvania
	Nick Souleles, University of Pennsylvania:
	Securitization
	Jan Krahnen, Center for Financial Studies and University of Frankfurt,
	Guenter Franke
2:15-2:40 p.m.	Break
2:40-3:30 p.m.	Supervision and Regulation
	Bank Concentration and Fragility: Impact and Mechanics
	Asli Demirguc-Kunt, World Bank
	Ross Levine, University of Minnesota and NBER
	Pillar I vs. Pillar II under Risk Management
	Stephen Schaefer, London Business School
	Loriana Pelizzon, Universita Degli Studi di Padova:
3:30-4:20 p.m.	Operational and Strategic Risk
	Implications of Alternative Operational Risk Modeling Techniques
	Patrick de Fontnouvelle, John Jordan, and
	Eric Rosengreen, Federal Reserve Bank of Boston:
	Strategic Risk
	Mark Carey, Federal Reserve Board
	René M. Stulz, Ohio State University and NBER