Systemic Risk

Thursday - March 22, 2012
13 h 30 / 14 h 00
REGISTRATION
14 h 00 / 14 h 15
WELCOME ADDRESS by Pierre-Antoine GAILLY, Chairman, Chambre de commerce et d’industrie de Paris (CCIP)
and Georges PAUGET, Chairman, Economie Finance & Stratégie, Chairman, Pôle FINANCE INNOVATION –
Salle des Fêtes
14 h 15 / 15 h 30
PLENARY SESSION I - Natixis - Salle des Fêtes
Chairman: Michel CROUHY, Head of Research & Development, Natixis Corporate
and Investment Bank
Guest speaker: Thomas PHILIPPON, New York University, Stern School of Business
“Deleveraging, Interactions with Monetary and Fiscal Policy, and the Need for Eurobonds”
Panel Session: “Quantitative Asset Management for Turbulent Markets”
Didier HIRSCH, Global Head of Equity Derivative Structuring, NATIXIS Corporate and Investment Bank
Guillaume LASSERRE, Head of Lyxor Quantitative Solution, Lyxor Asset Management
15 h 30 / 16 h 00
COFFEE BREAK / Poster Session (see last page) – Grande Salle à manger
16 h 00 / 18 h 00
PARALLEL SESSIONS
Parallel session 1: Sovereign Risk 1 – SALLE DES FÊTES
Chairman: Marie BRIÈRE, AMUNDI Asset Management, Paris Dauphine University and Université Libre de Bruxelles.
“Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads”
Agatha MURGOCI, David LANDO and René KALLESTRUP, Copenhagen Business School.
“Credit and Liquidity Risks in Euro-Area Sovereign Yield Curves”
Jean-Paul RENNE, Banque de France, Alain MONFORT, CREST, Banque de France and University of Maastricht.
Discussant: T
hierry RONCALLI, Lyxor Asset Management.
“Managing Sovereign Credit Risk in Bond Portfolios”
Thierry RONCALLI, Benjamin BRUDER and Pierre HEREIL, Lyxor Asset Management – Paris.
“Sovereign Credit Risk Contagion: a Dynamical System Approach”
Youngna CHOI, Montclair State University and Giuseppe CASTELLACCI, CIMS, New York University.
Discussant: Jean-Stéphane MESONNIER, Banque de France.
Parallel session 2: Capital Allocation and Stress Test – SALLE DES SEANCES
Chairman: François DERRIEN, HEC Paris.
“ Group Solvency Optimization Model for Insurance Companies Using Copula Functions”
Masayasu KANNO, Kanagawa University.
“Ex-Ante and Ex-Post Aspects of RAROC”
Dan GALAI, School of Business,The Hebrew University.
Discussant: Hugues PIROTTE, Université Libre de Bruxelles.
“Shock on Variable or Shock on Distribution with Application to Stress-Tests”
Simon DUBECQ, CREST, Banque de France and Christian GOURIEROUX, CREST, University of Toronto.
“Stress-Testing U.S. Bank Holding Companies: A Dynamic Panel Quantile Regression Approach”
Francisco COVAS, Ben RUMP and Egon ZAKRAJSEK, Federal Reserve Board.
Discussant: Jean-Paul LAURENT, Paris Panthéon-Sorbonne University.
TBC* - TBA**
Parallel session 3: Contagion Model – AUDITORIUM MERCURE
Chairman: Christophe PERIGNON, HEC Paris.
“An Extension of Davis and Lo’s Contagion Model”
Areski COUSIN, Diana DOROBANTU and Didier RULLIERE, Lyon University.
“Pricing Two Trees when Mildew Infests the Orchard: How Does Contagion Affect General Equilibrium Asset Prices?”
Christoph MEINERDING, Westfälische Wilhelms-Universität Münster, Holger KRAFT, Goethe University and Nicole BRANGER,
Westfälische Wilhelms-Universität Münster.
Discussant: Olivier GUÉANT, Paris-Diderot University.
“Equilibrium and Contagion of Default Risks in a Banking System”
Jean-Cyprien HEAM, CREST and Autorité de Contrôle Prudentiel (ACP), Christian GOURIEROUX, CREST and University of Toronto,
Alain MONFORT, CREST, Banque de France and Maastricht University.
“The Effect of the Interbank Network Structure on Contagion and Common Shocks,
Co-Pierre GEORG, University Carlos III Madrid, and Friedrich Schiller, University Jena.
Discussant: Monica BILLIO, Venice University.
18 h10 / 19 h 30
PARALLEL SESSIONS
Parallel session 4: Systemic Risk Measurement I – SALLE DES FÊTES
Chairman: Alain MONFORT, CREST, Banque de France and Maastricht University.
“Measuring and Testing for the Systemically Important Financial Institutions”
Carlos CASTRO, Universidad del Rosario, Columbia and Stijn FERRARI, National Bank of Belgium.
“A Long-Run Financial Market Model in Continuous Time”
Mohamed TALFI, ESDES Business School, Catholic University of Lyon.
Discussant: Simon DUBECQ, Banque de France.
Parallel session 5: Sovereign Risk II – SALLE DES SEANCES
Chairman: Tom A. FEARNLEY, The Norwegian Ministry of Finance.
“Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads”
Jean-Stéphane MESONNIER, Jean-Paul RENNE and Vladimir BORGY, Banque de France, Thomas LAUBACH, Goethe University
Frankfurt and Banque de France.
“Sovereign Default Swap Market Efficiency and Country Risk in the Euro Area”
Orcun KAYA, Goethe University Frankfurt and Yalin GÜNDÜZ, Deutsche Bundesbank.
Discussant: Virginie COUDERT, Banque de France.
“Towards a CCA-Based Systemic Risk Indicator”
Nuno SILVA, Nuno RIBEIRO and Antonio ANTUNES, Banco de Portugal.
Discussant: Marielle de JONG, AMUNDI Asset Management.
Parallel session 6: Rating – AUDITORIUM MERCURE
Chairman: Christian GOURIÉROUX, CREST and University of Toronto.
“Beyond Duopoly:The Credit Ratings Game Revisited”
Stefan HIRTH, Aarhus University.
“Precision of Ratings”
Anastasia V. KARTASHEVA, and Bilge YILMAZ, The Wharton School, University of Pennsylvania.
Discussant: Olivier TOUTAIN, Banque de France.
19 h 30
END OF THE DAY
TBC* - TBA**
Friday - March 23, 2012
08 h 00 / 08 h 30
REGISTRATION AND W
ELCOME COFFEE
08 h 30 / 09 h 45
PLENARY SESSION II - AMUNDI Asset Management - Salle des Fêtes
Chairman: Philippe ITHURBIDE, Global Head of Research - Strategy and Analysis, AMUNDI Asset Management
Guest speaker: George PENNACCHI, University of Illinois
“Bank Regulation, Credit Ratings, and Systematic Risk”
Panel session: How the Concept of Risk has Evolved During the Financial Crisis?
Eric BRARD, Global Head of Fixed Income, AMUNDI Asset Management
Richard BUTLER, Head of Credit Analysis, AMUNDI Asset Management
Bernard de WIT, Chief Risk Officer, Member of the Executive Committee, AMUNDI Asset Management
Guy LODEWYCKX, Global Head of Equities and Balanced, AMUNDI Asset Management
09 h 45 / 10 h 00
COFFEE BREAK - Grande Salle à manger
10 h 00 / 12 h 00
PARALLEL SESSIONS
Parallel session 7: Systemic Risk Measurement II - SALLE DES FÊTES
Chairman: Jean-Michel ZAKOIAN, CREST and Lille University.
“Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR”
Giulio GIRARDI and A. Tolga ERGÜN, Suffolk University.
“Measuring Systemic Risk and Assessing Systemic Importance in Global and Regional Financial Markets using the ESS-Indicator”
Wolfang LAHMANN and Christoph KASERER, Technische Universitaet München.
Discussant: Co-Pierre GEORG, University Carlos III Madrid.
“Robustness and Informativeness of Systemic Risk Measures”
Gunter LÖFFLER, University of Ulm, and Peter RAUPACH, Deutsche Bundesbank.
“Allocating Systematic and Unsystematic Risks in a Regulatory Perspective,
Alain MONFORT, CREST, Banque de France and Maastricht University, Christian GOURIÉROUX, CREST, University of Toronto.
Discussant: Fulvio PEGORARO, Banque de France.
Parallel session 8: Liquidity Risk – SALLE DES SEANCES
Chairman: Gaëlle LE FOL, Paris Dauphine University and CREST.
“Liquidity and the Value-at-Risk”
Li LIDAN, Liu HAO and Winfried POHLMEIER, University of Konstanz.
“An Equilibrium Model of Liquidity in Bond Markets”
Hao ZHANG, and Stewart HODGES, Cass Business School.
Discussant: Sophie MOINAS, Toulouse School of Economics.
“Dynamic Debt Runs: Evidence from a Structural Estimation”
Lucian A. TAYLOR, University of Pennsylvania, Enrique SCHROTH, University of Amsterdam and Gustavo SUAREZ, Federal Reserve Board.
“A Direct Approach to Cross Market Spillovers”
Siri VALSETH and Kjell JORGENSEN, BI Norwegian Business School.
Discussant: Carole GRESSE, Paris Dauphine University.
Parallel session 9 : Aggregation of Systemic Risks – AUDITORIUM MERCURE
Chairman: Monique JEANBLANC Evry University.
“Systemic Risk and Sentiment Chapter Contribution to Handbook on Systemic Risk”
Giovanni BARONE-ADESI, University of Lugano, Loriano MANCINI, Swiss Finance Institute and EPFL, Hersh SHEFRIN,
Santa Clara University.
“Systemic Risk and Bank Consolidation: International Evidence”
Gregor N.F. WEISS, Technische Universität Dortmund, Sascha NEUMANN and Denefa BOSTANDZIC, Ruhr-Universität Bochum.
Discussant: H
enri PAGES, Banque de France.
“Large Portfolio Asymptotics for Loss from Default”
Justin A. SIRIGNANO, and Kay GIESECKE, Stanford University, Konstantinos V. SPILIOPOULOS, Brown University,
Richard B. SOWERS, University of Illinois.
“Credit Contagion Channel and Consequences”
Ser-Huang POON and Yongwoong LEE, Manchester Business School.
Discussant: Jean-David FERMANIAN, CREST.
TBC* - TBA**
12 h 00 / 12 h 45
AWARDS CEREMONY - Salle des Fêtes
The Europlace Institute of Finance (EIF) Awards
by Francis AILHAUD*, CEO, GROUPAMA Asset Management
12 h 45 / 14 h 15
BUFFET LUNCH - Grande Salle à manger
14 h 15 / 15 h 30
PLENARY SESSION III - AXA Research Fund - Salle des Fêtes
Sponsored by
Chairman: Christian GOURIÉROUX, CREST, University of Toronto
Guest speaker: Yacine AIT-SAHALIA, Princeton University
“Modelling Financial Contagion”
Media partner
LAR GE R I S K in I N S U R A N C E
Research Chair AXA /FdR
Panel session: “Are the Bancassurance or Universal Bank Business Models Increasing Systemic Risk?”
Bruno BIAIS, Toulouse School of Economics
Raphaël DOUADY, Paris Panthéon-Sorbonne University, CNRS and Riskdata
15 h 30 / 15 h 45
COFFEE BREAK - Grande Salle à manger
15 h 45 / 17 h 45
PARALLEL SESSIONS
Parallel session 10: Clearing – SALLE DES FÊTES
Chairman: Laurent CLERC, Banque de France.
“CoMargin: A System to Enhance Financial Stability”
Christophe PERIGNON, HEC Paris, Jorge, A. CRUZ LOPEZ, Bank of Canada, Jeffrey H. HARRIS, University of Delaware, Southern
Methodist University and Christophe HURLIN, University of Orléans.
“Central Clearing of OTC Derivatives: Bilateral VS Multilateral Netting”
Thomas KOKHOLM, Aarhus University and Rama CONT, Columbia University.
Discussant: Bertrand VILLENEUVE, CREST and Paris Dauphine University.
“Clearing, Counterparty Risk and Aggregate Risk”
Bruno BIAIS, Toulouse School of Economics, Florian HEIDER and Marie HOEROVA, European Central Bank.
“Contagion in Financial Networks: A Threat Index”
Gabrielle DEMANGE, Paris School of Economics, EHESS Paris.
Discussant: Arnaud de SERVIGNY, Deutsche Bank and Imperial College Business School.
Parallel session 11: Regulation and Capital – SALLE DES SEANCES
Chairman: Rama CONT, Pierre et Marie Curie University and Columbia University.
“Regulation, Credit Risk Transfer with CDS, and Bank Lending”
Thilo PAUSCH, Deutsche Bundesbank, Peter WELZEL, University of Augsburg.
“When Enough is Not Enough: Structural Credit Risk Based Estimation of Bank Capital”
Michael B. IMERMAN, Princeton University.
Discussant: TBA **
“Asset Securitization and Cyclicality of Regulatory Capital”
Kristina LÜTZENKIRCHEN, Leibniz University of Hannover, Daniel RÖSCH, Leibniz University of Hannover
and Harald SCHEULE, University of Technology, Sydney.
“Multiperiod Top-Down Models for Banking Supervision”
Karl-Théodor EISELE and Philippe ARTZNER, Strasbourg University.
Discussant: Jean-Cyprien HEAM, CREST and Autorité de Contrôle Prudentiel (ACP).
Parallel session 12: Hedge Funds and Long/Short Investment – AUDITORIUM MERCURE
Chairman: Serge DAROLLES, Lyxor Asset Management, CREST and Paris Dauphine University.
“Hedge Fund Systemic Risk Signals”
Roberto SAVONA, University of Brescia.
Discussant: TBA **
“Short Selling Bans and Institutional Investors’ Herding Behavior: Evidence from the Global Financial Crisis”
Pierre L. SIKLOS, Wilfried Laurier University, Martin T. BOHL and Arne C. KLEIN, Westphalian Wilhelminian University of Münster.
“Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors”
Loriana PELIZZON and Monica BILLIO, University of Venice, Mila GETMANSKY, University of Manchester
and Andrew W. LO, MIT Sloan School of Management.
Discussant: Raphaël DOUADY, Paris Panthéon-Sorbonne University, CNRS and Riskdata.
17 h 45
END OF THE FORUM
TBC* - TBA**
Poster Session
Chairman : Luciano CAMPI, CREST and Paris Dauphine University
Derivatives’Valuation Framework in the Age of Scarce Funding,
Alexandre RAMEH, BNP Paribas Group.
Evaluating Financial Turbulence: Applications for Risk Management,Tactical Asset Allocation and Systemic Risk Oversight
Steve OHANA, ESCP Europe and Benoit GUILLEMINOT, Riskelia.
Idiosyncratic Risks, Normality and the Behavior of Hedge Funds in Crises
François DESMOULINS-LEBEAULT, Grenoble Business School
Systemic and Systematic Factors for Loan Portfolio Loss Distribution,
Yong Woong LEE and Ser-Huang POON, Manchester Business School.
Economic Stability under Alternative Banking Systems,
Robert E. KRAINER, University of Wisconsin.
Optimal Incentives and Securitization of Defaultable Assets,
Semyon MALAMUD, Swiss Finance Institute, Huaxia RUI and Andrew WHINSTON, University of Texas at Austin.
Risk Model-at-Risk,
Bertrand B. MAILLET and Christophe M. BOUCHER, A.A.Advisors-QCG (ABN AMRO), Variances and University of Paris 1 (CES / CNRS),
Jon DANIELSSON, London School of Economics and Patrick S. KOUONTCHOU, Variances, University of Metz.
Stock Market Liquidity and Bond Risk Premia,
Elvira SOJLI, Kees E. BOUWMAN and Wing WAH THAM, Erasmus University.
On Spatial Contagion and mGARCH Models,
Marcin PITERA, Jagiellonian University and Piotr JAWORSKI, University of Warsaw.
A Behavioral Model of Bubbles and Crashes,
Taisei KAIZOJI, International Christian University.
Soft Bail-Outs for Financial Institutions to Reduce Contagion in Financial Systems,
Bernhard KRONFELLNER, Vienna University of Technology, The Boston Consulting Group and Wolfgang AUSSENEGG, Vienna University
of Technology.
Systemic Risk in the French Banking System: A Network Analysis,
Dilyara SALAKHOVA and Valère FOUREL, Banque de France.
Implied Liquidity:Towards Stochastic Liquidity Modeling and Liquidity Trading,
Florence GUILLAUME, K.U. Leuven, Jose Manuel CORCUERA, Universitat de Barcelona, Dilip B. MADAN, University of Maryland and
Wim SCHOUTENS, K.U. Leuven.
Liquidity Spillovers in Sovereign Bond and CDS Markets: An Analysis of the Eurozone Sovereign Debt Crisis,
Giovanni CALICE, University of Southampton.
Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks,
B. M. TABAK and M. TAKAMI, Banco Central do Brasil, SECRE, J. M. C ROCHA and D. O. CAJUEIRO, Universidade de Brasilia.
Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns,
Apostolos THOMADAKIS, University of Surrey.