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Conference on Risk Analysis and Management

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Jointly sponsored by IMF and World Bank (DECRG) Research Departments,
Organized by Stijn Claessens and Asli Demirguc-Kunt

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Program Committee: Viral Acharya (LBS), Franklin Allen (Wharton), Claudio Borio (BIS), Charles Calomiris (Columbia), Philipp Hartmann (ECB), Philippe Jorion (UC-Irvine), Paul Kupiec (FDIC), Antony Saunders (NYU), Rene Stulz (Ohio), Robert Townsend (Chicago)

Agenda  

Thursday, October 2     

9:00 – 9:15 am 

Opening Remarks 
  Jan Brockmeijer (Deputy Director, Monetary and Capital Markets Department, IMF)
   

9:15 – 10:30 am 

Session 1:  Financial Regulation and Risk Management 
  Chair:  Consolate Rusagara (Director, FPD, World Bank)
  What Happens during Recessions, Crunches, and Busts?
Stijn Claessens (IMF), M. Ayhan Kose (IMF), and Marco E. Terrones (IMF) Presentation
Discussant: Vincent Reinhart (AEI)
 Discussion
  "The 2007 Meltdown in Structured Securitization: Searching for Lessons, not Scapegoats”  
Gerard Caprio (Williams College), Asli Demirguc-Kunt (World Bank), and Edward Kane (Boston College)  Presentation
Discussant: Anthony Saunders (New York University) Discussion

10:30 - 11:00 am 

Coffee break
   

11:00 am – 1:00 pm 

Session 2: Contagion, Securitization, and Risk Management 
  Chair: Fernando Montes-Negret (Director, WB)
  "Flight-to-Liquidity and Global Equity Returns"
Ruslan Goyenko (McGill University) and Sergei Sarkissian (McGill University)  Presentation
Discussant:  Kristin Forbes (MIT Sloan School of Management)  Discussion
 

Did Securitization Lead to Lax Screening? Evidence from Subprime Loans"
Benjamín J. Keys (University of Michigan), Tanmoy Mukherjee (Sorin Capital Management), Amit Seru (University of Chicago) and Vikrant Vig (London Business School)  Presentation
Discussant:  James Vickery (Federal Reserve Bank of New York) Discussion

"Jump and Cojump Risk in Subprime Home Equity Derivatives"
Bruce Mizrach (Rutgers University)  Presentation
Discussant: Paul Kupiec (Federal Deposit Insurance Corporation)  Discussion

1:00 – 2:30 pm 

Lunch break 
   

2:30 – 3:50 pm 

Session 3:  Liquidity and Housing Finance
  Chair: Christopher Towe (Deputy Director, MCM, IMF)
  "The Dark Side of Bank Wholesale Funding
Rocco Huang (Federal Reserve Bank of Philadelphia) and Lev Ratnovski (Bank of England) Presentation
Discussant: Laura Kodres (IMF)  Discussion
 

"The Political Economy of the U.S. Mortgage Default Crisis"
Atif Mian (University of Chicago), Amir Sufi (University of Chicago), and Francesco Trebbi (University of Chicago)  Presentation
Disscussant:  Luc Laeven (IMF)  Discussion

3:50 - 4:30 pm 

Coffee break
   

4:30 – 6:00 pm 

Panel Discussion: Risk Management – Recent Events, Policy Lessons 

Chair: Olivier Blanchard (Economic Counsellor, IMF)
 

Participants: Justin Lin (Chief Economist and Senior Vice President, World Bank), Claudio Borio (Head of Research and Policy Analysis, BIS), Mark Zandi (Chief Economist and Co-founder, Moody's Economy.com), Vincent Reinhart (Resident Scholar, American Enterprise Institute)

   
Friday, October 3

9:00 – 11:00 am 

Session 4:  Bank Risk Management and Stability
  Chair: Gerard Caprio (Professor of Economics, Williams College)
 

Imperfect Competition in the Interbank Market for Liquidity as a Rationale for Central Banking
Viral V. Acharya (London Business School), Denis Gromb (London Business School) and Tanju Yorulmazer (Federal Reserve Bank of New York) Presentation
Discussant: Enrica Detragiache (IMF)   Discussion

  Default and Punishment: Incentives and Lending Behavior in Indian Banks"
Abhijit Banerjee (MIT), Shawn Cole (Harvard Business School), and Esther Duflo (MIT) Presentation
Discussant: David McKenzie (World Bank)   Discussion

"How to Make Banks Reveal Their Risk: The Case of Basel II"
Michal Kowalik (University of Mannheim) Presentation
Discussant: Thorsten Beck (Tilburg University)  Discussion

11:00 – 11:30 am  

Coffee break
   

11:30 am – 1:00 pm  

Session 5:  Risk Management at the Corporate and Household Level
  Chair: Augusto de la Torre (Chief Economist, Latin America Region, WB)
 

Insurance, Credit, and Technology Adoption: Field Experimental Evidence from Malawi"
Xavier Giné (World Bank) and Dean Yang (University of Michigan) Presentation
Discussant: Jonathan Morduch (New York University)   Discussion

  How Long Is Long Term in Emerging Economies?"
Claudio Raddatz (World Bank) and Sergio Schmukler (World Bank) Presentation
Discussant: Randall Dodd (Financial Policy Forum)  Discussion

1:00 – 2:30 pm  

Lunch break

2:30 – 4:00 pm  

Session 6: Capital Flows, Financial Integration, and Contagion
Chair: Ceyla Pazarbasioglu (Division Chief, MCM, IMF)
 

Contagion as Domino Effect in Global Stock Markets
Thijs Markwat (Erasmus University, Rotterdam), Dick van Dijk (Erasmus University Rotterdam) and Erik Kole (Erasmus University Rotterdam)  Presentation
Discussant: Leora Klapper (World Bank)   Discussion

"Regulating Capital Flows to Emerging Markets: An Externality View"
Anton Korinek (University of Maryland)  Presentation
Discussant: Olivier Jeanne (IMF)  Discussion
   




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