Atelier: Mesure et contrôle du risque systémique26 au 28 septembre 2017Programme |
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Le mardi 26 septembre 2017 |
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08:30 - 09:00
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Inscription et café croissants
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Salle(s) de réunion : 6254 |
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09:00 - 09:45
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Marco Bardoscia
(Bank of England) The Decline of Solvency Contagion Risk | Résumé
Diapos / Slides |
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09:45 - 10:30
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Or Shachar
(Federal Reserve Bank of New York) Credit Risk Hedging | Résumé |
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10:30 - 11:00
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Pause-café
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11:00 - 11:45
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Jérôme Henry
(European Central Bank) Stress-Test Analystics for Macroprudential Purposes in the Euro Area | Résumé
Diapos / Slides |
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11:45 - 12:30
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Peter Raupach
(Deutsche Bundesbank) Pitfalls in the Use of Systemic Risk Measures | Résumé
Diapos / Slides |
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12:30 - 14:30
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Pause-déjeuner
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14:30 - 15:15
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Hamed Amini
(University of Miami) Contagion and Security in Inhomogeneous Financial Networks | Résumé
Diapos / Slides |
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15:15 - 16:00
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Adrian Alter
(International Monetary Fund) Effects of Unconventional Monetary Policies on EM Corporate Leverage | Résumé
Diapos / Slides |
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16:00 - 16:30
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Pause-café
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16:30 - 17:30
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Discussion
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18:00
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Banquet au restaurant Le Cercle (HEC Montréal)
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Le mercredi 27 septembre 2017 |
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08:30 - 09:00
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Café croissants
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Salle(s) de réunion : 6254 |
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09:00 - 09:45
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Agostino Capponi
(Columbia University) Managing Counterparty Risk in OTC Markets | Résumé
Diapos / Slides |
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09:45 - 10:30
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Tarik Roukny
(MIT Media Lab) Compressing Over-the-Counter Markets | Résumé
Diapos / Slides |
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10:30 - 11:00
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Pause-café
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11:00 - 11:45
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Alfred Lehar
(University of Calgary) Imperfect Renegotiations in Interbank Financial Networks | Résumé
Diapos / Slides |
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11:45 - 12:30
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Thomas Eisenbach
(Federal Reserve Bank of New York) Fire-Sale Spillovers Beyond Banks | Résumé |
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12:30 - 14:30
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Pause-déjeuner
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14:30 - 15:15
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Lakshithe Wagalath
(IESEG School of Management) Strategic Fire-Sales and Price-Mediated Contagion in the Banking System | Résumé
Diapos / Slides |
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15:15 - 16:00
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Eric Schaanning
(Norges Bank) Fire Sales and Systemic Stress Testing: Modelling Issues and Policy Implications | Résumé
Diapos / Slides |
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16:00 - 16:30
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Pause-café
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16:30 - 17:15
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Rama Cont
(Imperial College London) Monitoring Indirect Contagion: Indirect Exposures and the Indirect Contagion Index | Résumé |
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17:30 - 19:30
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Session d'affiches et réception
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Le jeudi 28 septembre 2017 |
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08:30 - 09:00
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Café croissants
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Salle(s) de réunion : 6254 |
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09:00 - 09:45
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Luitgard Veraart
(London School of Economics) Distress and Default Contagion in Financial Networks | Résumé
Diapos / Slides |
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09:45 - 10:30
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Nan Chen
(The Chinese University of Hong Kong) Leverage Constraint, Market Liquidity, and Systemic Fragility | Résumé |
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10:30 - 11:00
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Pause-café
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11:00 - 11:45
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Samim Ghamami
(Office of Financial Research) Submodular Risk Allocation | Résumé
Diapos / Slides |
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11:45 - 12:30
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Diane Pierret
(Université de Lausanne) Stressed Banks | Résumé
Diapos / Slides |
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12:30 - 14:30
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Pause-déjeuner
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14:30 - 15:15
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Geneviève Gauthier
(HEC Montréal) Credit and Systemic Risks in the Financial Services Sector: Evidence from the 2008 Global Crisis | Résumé
Diapos / Slides |
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15:15 - 16:00
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Zachary Feinstein
(Washington University in St. Louis) Contagion in a Multi-Layered Financial Network | Résumé |
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16:00 - 16:30
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Café
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Mise à jour: Le lundi 16 octobre 2017 14:54