Financial Stability Analysis: Using the Tools, Finding the Data
Published: May 30, 2013
The OFR and the Federal Reserve Bank of Cleveland sponsored this conference at the Federal Reserve Board in Washington, D.C. The event focused on the data and tools needed for measuring and responding to potential threats to financial stability.
- Conference agenda
- Keynote remarks of OFR Director Richard Berner
- Keynote remarks of Sandra Pianalto, President and Chief Executive Officer of the Federal Reserve Bank of Cleveland
- Keynote remarks of Nellie Liang, Director, Office of Financial Stability Policy and Research, Board of Governors of the Federal Reserve System
- Call for Papers
Papers and Presentations
Day One: Thursday, May 30
Financial Stability Indexes
SAFE: An Early Warning System for Systemic Banking Risk
Mikhail Oet, Federal Reserve Bank of Cleveland Timothy Bianco, Federal Reserve Bank of Cleveland Dieter Gramlich, Baden-Wuerttemberg Cooperative State University Stephen Ong, Federal Reserve Bank of Cleveland
CISS—A Portfolio-Theoretic Framework for the Construction of Composite Financial Stress Indices
Daniel Holló, Magyar Nemzeti Bank Manfred Kremer, European Central Bank Marco Lo Duca, European Central Bank
An Early Warning System for Financial Stress Events
Ian Christensen, Bank of Canada Fuchun Li, Bank of Canada Discussant: Seth Pruitt, Board of Governors of the Federal Reserve System
Economics of Risk Data
Cryptography and the Economics of Supervisory Information: Balancing Transparency and Confidentiality
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
Stephen Dimmock, Nanyang Technological University William Gerken, University of Kentucky
Discussant: Peter Bloniarz, University at Albany, State University of New York
Panel Discussion 1
Transparency in Practice: Some Diverse Perspectives
Moderator: Mark Flood, Office of Financial Research
Panelists:
Alye Foster, Board of Governors of the Federal Reserve System Hudson Hollister, Data Transparency Coalition Mallesh Pai, University of Pennsylvania Linda Powell, Office of Financial Research
Networks and Contagion
Optimal Systemic Risk Mitigation in Financial Networks
Agostino Capponi, Purdue University Peng-Chu Chen, Purdue University
A Network Model Approach to Systemic Risk in the Financial System
Shaun Wang, Georgia State University Han Chen, Risk Lighthouse LCC
Efficiency and Stability of a Financial Architecture with Too Interconnected to Fail Institutions
Michael Gofman, University of Wisconsin–Madison
Discussant:
Kartik Anand, Bank of Canada
Day Two: Friday, May 31
Financial Stability and Aggregate Credit
Predicting Distress in European Banks
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
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 and Statistics, University of St. Gallen Martin Melecky, The World Bank
Discussant:
Rochelle Edge, Board of Governors of the Federal Reserve System
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
Andre’ Lucas, VU University Amsterdam Bernd Schwaab, European Central Bank Xin Zhang, Sveriges Riksbank
Vulnerable Banks
Robin Greenwood, Harvard University and NBER Augustin Landier, Toulouse School of Economics David Thesmar, HEC Paris and CEPR
Discussant:
Camelia Minoiu, International Monetary Fund
Panel Discussion 2
Applying the Data and Tools: Development of Macroprudential Policy for Financial Stability
Moderator:
Mark Sniderman, Federal Reserve Bank of Cleveland
Panelists:
Robert Avery, Federal Housing Finance Agency Andreas Lehnert, Board of Governors of the Federal Reserve System Harry Mamaysky, Citigroup Mila Getmansky Sherman, University of Massachusetts Amherst