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9thInternationalInstituteofForecasters’Workshop,September28‐29,2012
“PredictingRareEvents:EvaluatingSystemicandIdiosyncraticRisk”
hostedbyFederalReserveBankofSanFrancisco
101MarketSt.SanFrancisco,CA
Motivated by global financial events of the recent past, the workshop will showcase the latest research onforecastingrare,butsystemic,eventsaswellasmonitoringmoreidiosyncraticrisks.Expertsfromtheacademic,regulatory, and practitioner communities will come together to discuss the interface between cutting‐edgeresearchmethodsandbest‐practicerisk‐managementtechniques.
PROGRAM
Day1–Friday,September28,20128:30–9:00am WelcomeandIntroductoryRemarks9:00–10:00am AcademicKeynoteAddress:FrankDiebold(U.ofPennsylvania)10:00–10:20am Break10:20am–12:00pm SessionI.TailRiskDependenceEgonZakrajšek(FederalReserveBoard):“Stress‐TestingU.S.BankHoldingCompanies:ADynamicPanelQuantileRegressionApproach”
Discussant:KayGieseck(Stanford)
SimoneManganelli(EuropeanCentralBank):“VARforVaR:MeasuringTailDependenceUsingMultivariateRegressionQuantiles”
Discussant:DemianPouzo(U.C.Berkeley)12:00–1:20pm Lunch1:20–3:00pm SessionII.DiversificationinInternationalandCommodityMarkets.AllanTimermann(UCSD):“PredictiveDynamicsinCommodityPrices”
Discussant:JanJ.Groen(FederalReserveBankofNewYork)PeterChristoffersen(U.ofToronto):“IsthePotentialforInternationalDiversificationDisappearing?”
Discussant:RossValkanov(UCSD)3:00–3:20pm CoffeeBreak3:20–4:00pm SessionIII.NetworksinScience:LessonsforEconomistsIGeorgeSugihara(ScrippsInstituteofOceanography,UCSD):TBA
4:00–5:30pm SessionIV.NetworksinFinanceBerndSchwaab(EuropeanCentralBank):“ConditionalProbabilitiesandContagionMeasuresforEuroAreaSovereignRisk”
Discussant:HannoLustig(UCLA)NikolausHautsch(HumboldtU.,Berlin):“FinancialNetworlSystemicRiskContributions”
Discussant:GalinaHale(FederalReserveBankofSanFrancisco)5:30pm Adjourn
Day2–Saturday,September29,2012
8:30–9:00am Welcome9:00–10:00am PolicyKeynoteAddress:TilSchuermann(OliverWyman)10:00–10:20am Break10:20–11:00am SessionV.NetworksinScience:LessonsforEconomistsIIFushingHsieh(U.C.Davis):“ComputingSystemicRisksfromMultipleBehavioralNetworks:AnimalsandBanksintheDawnofaCrisis”11:00am–12:40pm: SessionVI.StressTestingMattPritsker(FederalReserveBankofBoston):“EnhancedStressTesting”
Discussant:MikaelJuselius(BankofInternationalSettlements)MathiasDrehmann(BankofInternationalSettlements):“ImprovingEarlyWarningIndicatorsforBankingCrises–SatisfyingPolicyRequirements”
Discussant:JamesWilcox(U.C.Berkeley)12:40pm Adjourn
REGISTRATIONIfyouareinterestedinattending,pleasesendanemailtoSF.FRBSF‐[email protected]‐basedregistrationform.PleasebeawarethattheFederalReserveBankofSanFranciscoisasecurebuilding,andpriorregistrationandproperidentificationwillbeneededtoentertheconferencevenue.Pleasefeelfreetosendanyquestionsyoumighthaveabouttheworkshoptothisemailaswell.ORGANIZERSGloriaGonzález‐Rivera,UniversityofCalifornia,RiversideandIIFÒscarJordà,FederalReserveBankofSanFranciscoandUniversityofCalifornia,DavisJoséLópez,FederalReserveBankofSanFrancisco