Programme updated 16 September 2011. Conference material updated 23 September 2011.
 
Given the tremendous advances in financial risk measurement, why did risk management fail in large and complex financial institutions prior to the global financial crisis? Problems have been identified at least in 1) corporate governance as regards the position and true influence of risk management and in 2) risk measurement methodologies. Related to the first, compensation structures have a close connection with risk taking incentives and hence have a strong bearing on risk management. Methodological issues in turn are part of the larger question of what future emphases economic and financial modeling should take in the light of the crisis and the developments that led to it. The endogenous nature of risk will have to be taken more seriously in risk management. Better understanding and modeling of systemic risks have to be built. However, how much of systemic risks can be expected to be addressed by individual institutions and how much is left to institutions representing public interest is an important question. Overall, risk management may need to put more emphasis on economic theory dealing with market frictions and incompleteness. It should not only rely on financial engineering which is often based on the assumptions of perfect and complete markets with no problems of asymmetric information. Some of these aspects may be very difficult to translate into quantitatively reliable models. Therefore, risk management may have to be supplemented with a much stronger qualitative approach than has often been the case in the previous years.

Thursday 22 September 2011

8.30   Registration and coffee
9.00   Opening and welcome
    Catherine Lubochinsky, SUERF President, University Paris 2
Jouko Vilmunen, Head of Research, Bank of Finland
9.15 Session 1 Crisis diagnostics
  Chair Ernest Gnan, Oesterreichische Nationalbank & SUERF
  Paper
Presentation
Systemic risk diagnostics: coincident indicators and early warning signals
  Author(s) Bernd Schwaab, European Central Bank
Siem
Jan Koopman, Vrije Universiteit Amsterdam & Tinbergen Institute

André Lucas, Vrije Universiteit Amsterdam & Tinbergen Institute
  Comments Helinä Laakkonen, University of Helsinki
  Paper
Presentation
Market fragility and international crises
  Author(s) Dave Berger, Oregon State University
Kuntara Pukthuanthong, San Diego State University
  Comments Razvan Vlahu, De Nederlandsche Bank
10.45   Coffee break
11.15 Session 2 Regulation
  Chair Jukka Vesala, Financial Supervisory Authority, Finland
  Paper Presentation Incentives through the cycle: microfounded macroprudential regulation
  Author(s) Giovanni di Iasio, Banca d'Italia Mario Quagliariello, Banca d'Italia
  Comments Jukka Vesala, Financial Supervisory Authority, Finland
  Paper Presentation Capital regulation and tail risk
  Author(s) Enrico Perotti, University of Amsterdam & CEPR Lev Ratnovski, International Monetary Fund Razvan Vlahu, De Nederlandsche Bank
  Comments Urs Birchler, University of Zürich & SUERF
12.45   Lunch
14.15 Session 3 Corporate governance and pay structure
  Chair Philipp Hartmann, ECB & SUERF & CEPR
  Paper Presentation Risk management, corporate governance and bank performance in the financial crisis
  Author(s) Vincent Aebi, University of St Gallen
Gabriele Sabato, RBS Markus Schmid, University of Mannheim
  Comments Karolin Kirschenmann, Aalto University School of Economics
  Paper Presentation Bankers' pay structure and risk
  Author(s) John Thanassoulis, University of Oxford
  Comments Mikko Leppämäki, Aalto University School of Economics
15.45   Coffee break
16.00   2011 SUERF annual lecture
  Chair Philipp Hartmann, ECB & SUERF & CEPR
  Lecture Presentation Risk management: a supervisor's approach
    Gabriel Bernardino, Chairperson, EIOPA
17.00   End of first day's programme
19.00   Conference Dinner

Friday 23 September 2011

9.00   Keynote address
  Chair Seppo Honkapohja, Bank of Finland
  Presentation Bank regulation, credit ratings and systematic risk
    George G. Pennacchi, University of Illinois at Urbana-Champaign & JFI
10.00   Coffee break
10.30 Session 4  Counterparty risk
  Chair Seppo Honkapohja, Bank of Finland
  Paper Presentation Risk-sharing or risk-taking? Counterparty risk, incentives and margins
  Author(s)  Bruno Biais, Toulouse School of Economics
Florian Heider, European Central Bank
Marie Hoerova, European Central Bank
Comments​ Lauri Vilmi, Bank of Finland​
Paper Presentation​ Market structure, counterparty risk and systemic risk
Author(s)​ Dale Rosenthal, University of Illinois at Chicago​
Comments Karlo Kauko, Bank of Finland
12.00​ Lunch
13.30 Session 5 CDSs, hedge funds and systemic risk
  Chair Jouko Vilmunen, Bank of Finland
  Paper Presentation Hedge fund systemic risk, capital structure and performance
  Author(s) Juha Joenväärä, University of Oulu
  Comments Dale Rosenthal, University of Illinois at Chicago
  Paper Presentation Credit default swap spreads and systemic financial risk
  Author(s) Stefano Giglio, Harvard University
  Comments Philip Molyneux, Bangor University & SUERF
15.00   Keynote address
  Chair Jouko Vilmunen, Bankof Finland
  Presentation Governments as shadow banks: The looming threat to financial stability
    Viral Acharya, NYU Stern Business School & CEPR
16.00   Closing remarks Jouko Vilmunen, Head of Research, Bank of Finland
16.15   End of conference
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