Conference Agenda and Papers: Modern Financial Institutions, Financial Markets, and Systemic Risk

A conference organized by the Federal Reserve Bank of Atlanta and
the International Association of Financial Engineers (IAFE)

April 17–18, 2006
Federal Reserve Bank of Atlanta
Atlanta, Georgia

Monday, April 17
7:30 a.m. Breakfast
8:30 Welcome
Jack Guynn, President, Federal Reserve Bank of Atlanta
8:35 Speaker
Roger Ferguson, Vice Chairman, Federal Reserve Board of Governors
9:00 Models of Financial System Risk

Opening remarks
Roger Ferguson,
Vice Chairman, Federal Reserve Board of Governors
9:10 “Flight to Quality and Collective Risk Management”
Ricardo Caballero, MIT
Arvind Krishnamurthy, Northwestern University
Presentation
9:40 Discussant
Rod Garratt, University of California, Santa Barbara
10:00 Break
10:30 “Carry Trades and Speculative Dynamics”
Guillaume Plantin, Carnegie-Mellon University
Hyun Song Shin, Princeton University
Presentation
11:00 Discussant
David Mordecai, Risk Economics Limited/IAFE
11:20 “Leaning Against the Wind”
Pierre-Olivier Weill, New York University
Presentation
11:50 Discussant
Matthew Pritsker, Federal Reserve Board of Governors
12:10 p.m. Question and answer session
12:30 Lunch
1:00 Speaker
Roy Henriksson, Advanced Portfolio Management/IAFE
1:30 Break
2:00 Financial Institutions and Financial System Risk

Opening remarks
Randall Kroszner, Federal Reserve Board of Governors
2:10 “How Smart Are the Smart Guys? A Unique View from Hedge Fund Stock Holdings”
John Griffin, University of Texas
Jin Xu, University of Texas
2:40 Discussant
Louis Scott, Morgan Stanley
3:00 “Monitoring Financial System Stability Using Fama-French Factors and Bond Market Data for Large Financial Institutions”
Diana Hancock, Federal Reserve Board of Governors
Wayne Passmore, Federal Reserve Board of Governors
3:30 Discussant
William Lastrapes, University of Georgia
4:00 Break
4:30 “The Effect of Banking Crisis on Bank-Dependent Borrowers”
Sudheer Chava, University of Houston
Amiyatosh Purnanandam, University of Michigan
Presentation
5:00 Discussant
Tom Wilson, ING
5:20 Question and answer session
5:30 Reception
6:30 Dinner
7:30 Speaker
Nigel Jenkinson, Director, Financial Stability, Bank of England
8:00 Adjournment
Tuesday, April 18
7:30 a.m. Continental breakfast
8:00 Speaker
Emil Henry, Assistant Secretary for Financial Institutions, U.S. Treasury Department
8:30 “Three Decades of Financial Sector Risk”
Joel Houston, University of Florida
Kevin Stiroh, Federal Reserve Bank of New York
Presentation
9:00 Discussant
John Griffin, University of Texas
9:20 Question and answer session
9:30 Models of Strategic Liquidity Provision

Opening remarks
David Mordecai, Risk Economics Limited/IAFE
9:40 “Episodic Liquidity Crises: Cooperative and Predatory Trading”
Bruce Carlin, Duke University
Miguel Lobo, Duke University
Vish Viswanathan, Duke University
Presentation
10:10 Discussant
Roy Henriksson, Advanced Portfolio Management/IAFE
10:30 Break
11:00 “Coordination Risk in Lending and the Capital Structure of Arbitrageurs”
Mukarram Attari, Charles River Associates
Antonio Mello, University of Wisconsin-Madison
Martin Ruckes, University of Wisconsin- Madison
Presentation
11:30 Discussant
Andreas Lehnert, Federal Reserve Board of Governors
11:50 “Illiquidity in the Interbank Payment System Following Wide-Scale Disruptions”
Morton Bech, Federal Reserve Bank of New York
Rod Garrett, University of California, Santa Barbara
Presentation
12:20 p.m. Discussant
Ned Prescott, Federal Reserve Bank of Richmond
12:40 Question and answer session
1:00 Lunch
2:00 Financial Innovation, Mark-to-Market Accounting, and Financial Instability

Opening remarks
Kevin Warsh, Federal Reserve Board of Governors
2:10 “Financial Innovation, Macroeconomic Stability, and Systemic Crises”
Sujit Kapadia, Bank of England
Prasanna Gai, Bank of England
Stephen Millard, Bank of England
Ander Perez, London School of Economics
Presentation
2:40 Discussant
Karsten Jeske, Federal Reserve Bank of Atlanta
3:00 “Mark-to-Market Accounting and Cash-in-the-Market Pricing”
Franklin Allen, University of Pennsylvania
Elena Carletti, Center for Financial Studies University of Frankfurt
Presentation
3:30 Discussant
Daryll Hendricks, UBS
3:50 Question and answer session
4:00 Adjournment
Note: Seating for this conference is very limited. If you are not on the program but would like to attend, please contact Scott Frame by phone at (404) 498-8783 or e-mail at Scott.Frame@atl.frb.org.