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Thematic Program on Quantitative
Finance:
Foundations and Applications January - June, 2010
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May 17-18, 2010
Industrial-Academic Forum on Systemic Stability and Liquidity
222 College Street, Toronto (map)
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| Organizers: M. Gordy and M. Reesor |
| Supported by |
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Mailing List : To receive
updates on the program please subscribe to our mailing list at www.fields.utoronto.ca/maillist
Overview
This forum will gather together academics, practitioners and regulators
interested in systemic risk and liquidity. Over this two-day event,
a series of ten talks by well-known
academics presenting their latest research is planned. The afternoon
of May 17 will feature a panel discussion on "Taming the Beast:
Reforming our Financial System to Address Systemic Risk" with
panelists drawn from investment banking, risk management systems
consulting, and regulatory institutions. After statements from panelists,
we anticipate lively audience participation and intra-panel debate.
Viral Acharya (NYU Stern)
Rama Cont (Columbia University IEOR)
Jon Danielsson (London School of Economics)
Erkko Etula (Federal Reserve Bank of New York)
Kay Giesecke (Stanford MSE)
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Itay Goldstein (Wharton)
Jennifer Huang (University of Texas at Austin)
Frank Milne (Queen's University)
Wei Xiong (Princeton University)
Hao Zhou (Federal Reserve Board) |
Tentative Forum Schedule
| Monday May 17 |
| 8:50 - 9:00 |
Welcome and Introduction
Fields Director Ed Bierstone & Organizers |
| 9:00 - 9:50 |
Wei Xiong (Princeton)
Heterogeneous Beliefs and Short-term Credit Booms |
| 9:50 - 10:40 |
Jennifer Huang (University of Texas at Austin)
Optimal Liquidity Policy |
| 10:40 - 11:00 |
Coffee Break |
| 11:00 - 11:50 |
Rama Cont (Columbia)
Measuring Contagion and Systemic Risk |
| 11:50 - 1:30 |
Lunch Break |
| 1:30 - 2:20 |
Hao Zhou (Federal Reserve Board)
Assessing the Systemic Risk of a Heterogeneous Portfolio
of Banks during the Recent Financial Crisis |
| 2:20 - 3:10 |
Kay Giesecke (Stanford MSE)
Systemic Risk: What Defaults Are Telling Us |
| 3:10 - 3:30 |
Coffee Break |
| 3:30 - 5:00 |
Panel Discussion
Aaron Brown (AQR Capital Management)
Michael Gordy (Federal Reserve Board)
Joseph Langsam (Morgan Stanley)
David Rowe (SunGard Data Systems Inc.) |
| 5:00 - 5:45 |
Reception - cash bar
Fields Atrium |
| Tuesday May 18 |
| 9:00 - 9:50 |
Frank Milne (Queens)
General Approaches for Modelling Liquidity Effects in Asset
Markets and their Application to Risk Management Systems |
| 9:50 - 10:40 |
Viral Acharya (NYU)
Measuring Systemic Risk |
| 10:40 - 11:00 |
Coffee Break |
| 11:00 - 11:50 |
Itay Goldstein (Wharton)
Self-Fulfilling Credit Market Freezes |
| 11:50 - 1:30 |
Lunch Break |
| 1:30 - 2:20 |
Jon Danielsson (London School of Economics)
Risk Appetite and Endogenous Risk |
| 2:20 - 3:10 |
Erkko Etula (Federal Reserve Bank of New York)
Risk Appetite and Exchange Rates |
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Coffee Break |
Confirmed Participants
| Full Name |
University/Affiliation |
| Acharya, Viral |
Leonard N. Stern School of Business |
| Barseghyan, Hayk |
TD Bank Financial Group |
| Brown, Aaron |
AQR Capital Management |
| Chan, Paul |
TD Securities |
| Cont, Rama |
Columbia University |
| Danielsson, Jon |
The London School of Economics and Political Science |
| de Prisco, Ben |
Algorithmics |
| Etula, Erkko |
Federal Reserve Bank of New York |
| Fahim, Arash |
Ecole Polytechnique |
| Gagne, Steph |
TD Bank Financial Group |
| Gapeev, Pavel |
London School of Economics |
| Giesecke, Kay |
Stanford University |
| Goldstein, Itay |
The Wharton School, University of Pennsylvania |
| Gordy, Michael |
US Federal Reserve Board |
| Grasselli, Matheus |
McMaster University |
| Guo, Weiwei |
University of Toronto |
| Haghani, Shermineh |
York University |
| Halaj, Grzegorz |
ALM in Bank Pekao (UniCredit Group) |
| Huang, Jennifer |
University of Texas at Austin |
| Huang, Lijuan |
BMO |
| Hurd, Tom |
McMaster University |
| Ismail, Omneia |
McMaster University |
| Jackson, Ken |
University of Toronto |
| Langsam, Joseph |
Morgan Stanley |
| Liu, Xuezhi |
University of Western Ontario |
| Lowery, Craig |
TD Bank Financial Group |
| Lu, Yun |
TD Bank Financial Group |
| Marshall, James |
University of Western Ontario |
| Mendis, Jiva |
Algorithmics Incorporated |
| Metzler, Adam |
University of Western Ontario |
| Milne, Frank |
Queen's University |
| Minca, Andreea |
Paris 6 University |
| Peng, Xianhua |
Fields Institute and York University |
| Reesor, Mark |
University of Western Ontario |
| Reynolds, Diane |
Algorithmics |
| Rowe, David |
SunGard |
| Salisbury, Thomas |
York University |
| Samavi, Samaneh |
University of Western Ontario |
| Saunders, David |
University of Waterloo |
| Silla, Sebastiano |
Polytechnic University of Marche |
| Skoczylas, Voytek |
TD Bank Financial Group |
| Touzi, Nizar |
Ecole Polytechnique |
| Walton, Adrian |
University of Western Ontario |
| Xiong, Wei |
Princeton University |
| Zerbs, Michael |
Algorithmics Inc. |
| Zhou, Hao |
The Federal Reserve Board |
| Zhou, Zhuowei |
McMaster University |
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