Joint Conference of the Federal Reserve Bank of Cleveland and Office of Financial Research

“Financial Stability Analysis:  Using the Tools, Finding the Data”
May 30 - 31, 2013

Day One – Thursday, May 30

8:00 am – 9:00 am

Registration and Continental Breakfast

9:00 am – 9:15 am Welcome

 

Richard Berner, Office of Financial Research

Mark Sniderman, Federal Reserve Bank of Cleveland

9:15 am – 10:50 am Financial Stability Indexes
  “SAFE: An early warning system for systemic banking risk” [ presentation | paper ]
 

Mikhail Oet, Federal Reserve Bank of Cleveland

Timothy Bianco, Federal Reserve Bank of Cleveland

Dieter Gramlich, Professor of Banking, Baden-Wuerttemberg Cooperative State University

Stephen J. Ong, Federal Reserve Bank of Cleveland

  “CISS — A Portfolio-Theoretic Framework for the Construction of Composite Financial Stress Indices” [ presentation | paper ]
 

Daniel Holló, Magyar Nemzeti Bank

Manfred Kremer, European Central Bank

Marco Lo Duca, European Central Bank

  “An Early Warning System for Financial Stress Events” [ presentation | paper ]

 

Ian Christensen, Bank of Canada

Fuchun Li, Bank of Canada

Discussion: Seth Pruitt, Board of Governors of the Federal Reserve System

10:50 am – 11:00 am

Break

11:00 am – 12:35 pm Economics of Risk Data
  “Cryptography and the Economics of Supervisory Information: Balancing Transparency and Confidentiality” [ presentation  | paper forthcoming]
 

Mark Flood, Office of Financial Research

Jonathan Katz,University of Maryland

Stephen Ong, Federal Reserve Bank of Cleveland

Adam Smith, Pennsylvania State University

  “Improving Systemic Risk Monitoring and Financial Market Transparency: Standardizing the Representation of Financial Instruments”
 

Allan Mendelowitz, Deloitte Consulting

Willi Brammertz, University of Zurich/ETH

Khaldoun Khashanah, Stevens Institute of Technology

  “Mandatory Registration and Return Misreporting by Hedge Funds” [ presentation | paper ]

 

Stephen G. Dimmock, Nanyang Technological University

William Gerken, University of Kentucky

Discussant: Peter Bloniarz, University at Albany, The State University of New York

12:35 pm – 2:00 pm Luncheon and Keynote

 

Richard Berner, Office of Financial Research [ presentation | video ]

2:00 pm – 3:00 pm Panel Discussion 1Transparency in Practice: Some Diverse Perspectives

 

Moderator:

Mark Flood,Office of Financial Research

Panelist:

Alye Foster, Board of Governors of the Federal Reserve System

Hudson Hollister, Data Transparency Coalition

Mallesh Pai, University of Pennsylvania [ presentation ]

Linda Powell, Office of Financial Research

3:00 pm – 3:15 pm

Break

3:15 pm – 4:50 pm Networks and Contagion
  “Optimal Systemic Risk Mitigation in Financial Networks” [ presentation | paper ]
 

Agostino Capponi, School of Industrial Engineering, Purdue University

Peng-Chu Chen, School of Industrial Engineering, Purdue University

  “A Network Model Approach to Systemic Risk in the Financial System” [ presentation | paper ]
 

Shaun Wang, Georgia State University

Han Chen, Risk Lighthouse, LCC

  “Efficiency and Stability of a Financial Architecture with Too Interconnected to Fail Institutions” paper ]

 

Michael Gofman, University of Wisconsin – Madison

Discussant : Kartik Anand, Bank of Canada

5:30 pm – 7:00 pm Reception

Day Two – Friday, May 31

8:00 am – 8:45 am

Welcome

8:45 am –9:15 am Keynote Address
 

Sandra Pianalto, Federal Reserve Bank of Cleveland [ video ]

Financial Stability and Aggregate Credit

9:15 am – 10:50 am “Predicting Distress in European Banks” [ presentation | paper ]
 

Frank Betz, European Investment Bank

Silviu Oprica, European Central Bank

Tuomas Peltonen, European Central Bank

Peter Sarlin, Abo Akademi University

  “The credit-to-GDP gap and complementary indicators for macroprudential policy: Evidence from the UK” [ presentation | paper ]
 

Julia Giese, Bank of England

Henrik Andersen, Norges Bank

Oliver Bush, Bank of England

Christine Castro, Banco de Espana

Marc Farag, Bank of England

Sujit Kapadia, Bank of England

  “Equilibrium Credit: The Reference Point for Macroprudential Supervisors”
 

Daniel Buncic, Institute of Mathematics & Statistics, University of St. Gallen

Martin Melecky, The World Bank

Discussant: Rochelle Edge, Board of Governors of the Federal Reserve System

10:50-11:00 am

Break

   

11:00-11:45 am

Keynote Address: Nellie Liang, Board of Governors of the Federal Reserve System [ presentation | paper   ]

   

11:45 am -1:00 pm

Luncheon

1:00 pm – 2:35 pm Financial Stability and Banks
  “Measuring Liquidity Mismatch in the Banking Sector”
 

Jennie Bai, Federal Reserve Bank of New York

Arvind Krishnamurthy, Kellogg School of Management, Northwestern University

Charles-Henri Weymuller, Harvard University

  “Measuring credit risk in a large banking system: econometric modeling and empirics” [ presentation | paper ]
 

Andr´e Lucas, VU University Amsterdam

Bernd Schwaab, European Central Bank

Xin Zhang, Sveriges Riksbank

  “Vulnerable Banks” [ presentation | paper ]
 

Robin Greenwood, Harvard University and NBER

Augustin Landier, Toulouse School of Economics

David Thesmar, HEC Paris and CEPR

Discussant: Camelia Minoiu, International Monetary Fund

2:35 pm – 3:35 pm

Panel Discussion 2 –Applying the Data and Tools: Development of Macroprudential Policy for Financial Stability

 

Moderator:

Mark Sniderman, Federal Reserve Bank of Cleveland

Panelist:

Robert Avery, Federal Housing Finance Agency [ presentation ]

Andreas Lehnert, Board of Governors of the Federal Reserve System [ presentation ]

Harry Mamaysky, Citigroup [ presentation ]

Mila Sherman, University of Massachusetts Amherst [ presentation ]

3:40 pm

Adjourn

Sponsored by the Federal Reserve Bank of Cleveland and the Office of Financial Research