Workshop: Measurement and Control of Systemic Risk

September 26-28, 2017

Program

 

Tuesday, September 26, 2017

08:30 - 09:00
Registration and Coffee & Croissants


Meeting room(s) : 6254

09:00 - 09:45
Marco Bardoscia
(Bank of England)
The Decline of Solvency Contagion Risk
Abstract

Diapos / Slides
09:45 - 10:30
Or Shachar
(Federal Reserve Bank of New York)
Credit Risk Hedging
Abstract
10:30 - 11:00
Coffee break
11:00 - 11:45
Jérôme Henry
(European Central Bank)
Stress-Test Analystics for Macroprudential Purposes in the Euro Area
Abstract

Diapos / Slides
11:45 - 12:30
Peter Raupach
(Deutsche Bundesbank)
Pitfalls in the Use of Systemic Risk Measures
Abstract

Diapos / Slides
12:30 - 14:30
Lunch break
14:30 - 15:15
Hamed Amini
(University of Miami)
Contagion and Security in Inhomogeneous Financial Networks
Abstract

Diapos / Slides
15:15 - 16:00
Adrian Alter
(International Monetary Fund)
Effects of Unconventional Monetary Policies on EM Corporate Leverage
Abstract

Diapos / Slides
16:00 - 16:30
Coffee break
16:30 - 17:30
Panel

18:00
Banquet at Le Cercle (HEC Montréal)

 

Wednesday, September 27, 2017

08:30 - 09:00
Coffee & Croissants


Meeting room(s) : 6254

09:00 - 09:45
Agostino Capponi
(Columbia University)
Managing Counterparty Risk in OTC Markets
Abstract

Diapos / Slides
09:45 - 10:30
Tarik Roukny
(MIT Media Lab)
Compressing Over-the-Counter Markets
Abstract

Diapos / Slides
10:30 - 11:00
Coffee break
11:00 - 11:45
Alfred Lehar
(University of Calgary)
Imperfect Renegotiations in Interbank Financial Networks
Abstract

Diapos / Slides
11:45 - 12:30
Thomas Eisenbach
(Federal Reserve Bank of New York)
Fire-Sale Spillovers Beyond Banks
Abstract
12:30 - 14:30
Lunch break
14:30 - 15:15
Lakshithe Wagalath
(IESEG School of Management)
Strategic Fire-Sales and Price-Mediated Contagion in the Banking System
Abstract

Diapos / Slides
15:15 - 16:00
Eric Schaanning
(Norges Bank)
Fire Sales and Systemic Stress Testing: Modelling Issues and Policy Implications
Abstract

Diapos / Slides
16:00 - 16:30
Coffee break
16:30 - 17:15
Rama Cont
(Imperial College London)
Monitoring Indirect Contagion: Indirect Exposures and the Indirect Contagion Index
Abstract

17:30 - 19:30
Poster Session and Reception

 

Thursday, September 28, 2017

08:30 - 09:00
Coffee & Croissants


Meeting room(s) : 6254

09:00 - 09:45
Luitgard Veraart
(London School of Economics)
Distress and Default Contagion in Financial Networks
Abstract

Diapos / Slides
09:45 - 10:30
Nan Chen
(The Chinese University of Hong Kong)
Leverage Constraint, Market Liquidity, and Systemic Fragility
Abstract
10:30 - 11:00
Coffee break
11:00 - 11:45
Samim Ghamami
(Office of Financial Research)
Submodular Risk Allocation
Abstract

Diapos / Slides
11:45 - 12:30
Diane Pierret
(Université de Lausanne)
Stressed Banks
Abstract

Diapos / Slides
12:30 - 14:30
Lunch break
14:30 - 15:15
Geneviève Gauthier
(HEC Montréal)
Credit and Systemic Risks in the Financial Services Sector: Evidence from the 2008 Global Crisis
Abstract

Diapos / Slides
15:15 - 16:00
Zachary Feinstein
(Washington University in St. Louis)
Contagion in a Multi-Layered Financial Network
Abstract

16:00 - 16:30
Coffee