Predicting Rare Events: Evaluating Systemic and Idiosyncratic Risk

Welcome and Introductory Remarks

Glenn Rudebusch, Federal Reserve Bank of San Francisco

Academic Keynote Address

Frank Diebold, University of Pennsylvania

Break

Session I. Tail Risk Dependence

“Stress-Testing U.S. Bank Holding Companies: A Dynamic Panel Quantile Regression Approach”
Presenter: Egon Zakrajšek, Board of Governors of the Federal Reserve System
Discussant: Kay Giesecke, Stanford University

“VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles”
Presenter: Simone Manganelli, European Central Bank
Discussant: Demian Pouzo, University of California, Berkeley

Lunch, Phoenix Conference Room, 4th Floor

Session II. Diversification in International and Commodity Markets

“Predictive Dynamics in Commodity Prices” (presentation)
Presenter: Allan Timmermann, University of California, San Diego
Discussant: Jan J. Groen, Federal Reserve Bank of New York

“Is the Potential for International Diversification Disappearing?” (presentation)
Presenter: Peter Christoffersen, University of Toronto
Discussant: Ross Valkanov, University of California, San Diego

Coffee Break

Session III. When Credit Bites Back

“Lessons from Economic History”
Presenter: Òscar Jordà, Federal Reserve Bank of San Francisco and University of California, Davis
(Please note this substitution for Professor Sugihara.)

Session IV. Networks in Finance

“Financial Network Systemic Risk Contributions”
Presenter: Nikolaus Hautsch, Humboldt University, Berlin
Discussant: Galina Hale, Federal Reserve Bank of San Francisco

“Conditional Probabilities and Contagion Measures for Euro Area Sovereign Risk” (presentation)
Presenter: Bernd Schwaab, European Central Bank
Discussant: Hanno Lustig, University of California, Los Angeles

Adjourn

Welcome

Policy Keynote Address

Til Schuermann, Oliver Wyman

Break

Session V. Networks in Science: Lessons for Economists II

“Computing Systemic Risks from Multiple Behavioral Networks: Animals and Banks in the Dawn of a Crisis”
Presenter: Fushing Hsieh, University of California, Davis

Session VI. Stress Testing

“Enhanced Stress Testing”
Presenter: Matt Pritsker, Federal Reserve Bank of Boston
Discussant: Mikael Juselius, Bank of International Settlements

“Improving Early Warning Indicators for Banking Crises – Satisfying Policy Requirements”
Presenter: Mathias Drehmann, Bank of International Settlements
Discussant: James Wilcox, University of California, Berkeley

Adjourn