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Financial risk, market complexity and regulation

International workshop at Collegium Budapest

Starts: Oct 08, 2009 09:00

Ends: Oct 10, 2009 13:30

The present financial crisis has put the complexity and collective phenomena of markets into focus. While there is a fervent activity around preparing a new European and global system of regulation, we feel a number of important theoretical developments of the past few years that may be highly relevant for any future regulation may not have reached the threshold of attention of regulators or practitioners. In order to discuss some of these issues, review and possibly coordinate the various research efforts, and to promote contacts between academic research groups, industry and regulation, we decided to convene a small but distinguished group of people from all three sides. By this meeting we hope to promote the dialog between the three parties, obtain guidance from regulators and practitioners concerning what they perceive as the most pressing problems in finance, while on the other hand to raise their awareness of the existence of results that we believe are important for the theoretical foundations of the new regulatory system.

Participation is by invitation only.

The workshop is sponsored by NKTH, the National Office for Research and Technology, and by MNB, the National Bank of Hungary.

Programme

Thursday, October 8

9:00 - 9.30: Registration, opening (A. Sors, I. Kondor, Collegium Budapest)

9:30 - 10:30: M. Summer (National Bank of Austria): The economics of bank restructuring and recapitalisation

10:30 - 11:00: J. Langsam (Morgan Stanley, New York): The value proposition for a U.S. National Insitute of Finance

11:00 - 11:30: Coffee break

11:30 - 12:30: J. Király (National Bank of Hungary): No (more) free lunch: lessons and consequences of the financial crisis

12:30 - 13:30: Á. Farkas (Hungarian Financial Supervisory Authority): Integrated financial supervision in Hungary after the financial crisis

13:30 - 14:30: Lunch

14:30 - 15:30: M. Marsili (ICTP, Trieste): Spiraling toward complete markets: financial complexity and instability

15:30 - 16:30: I. Kondor (Collegium Budapest): Risk measures and estimation error.

16:30 - 17: 00: Coffee break

17:00 - 18:00: G. Caldarelli (La Sapienza, Roma): The bank credit network and the problem of forecasting financial crises

18:00 - 19:00: F. Abergel (Ecole Central, Paris): Risk measurement and risk management of derivative products

Friday, October 9

9:00 - 10:00: G. Barone-Adesi (University of Lugano): Seven pillars of wisdom

10:00 - 11: 00: M. Gordy (Federal Reserve, Washington): First, Do No Harm: A Hippocratic Approach to Procyclicality in Basel II

11:00 - 11:30: Coffee break

11:30 - 12:30: M. Tiesset (Commission Bancaire, Banque de France): The case for stress testing: lessons from the crisis

12:30 - 13:30: M. Buchanan (freelance science author, Nature columnist): Finance and collective instability

13:30 - 14:30: Lunch

14:30 - 15:30: D. Sornette (ETH, Zürich): The Normality of Financial Crises; Prediction of Crises and Risk Management

15:30 - 16:30: Dr. Philipp Hartmann (ECB, Frankfurt): Systemic risk and the crisis - Experiences, analytical challenges and the new macro-prudential policy orientation

16:30 - 17:00: Coffee break

17:00 - 18:00: J. Danielsson (LSE, London): Complexity, catch up and the potential for measuring systemic risk

18:00 - 19:00: L. Pietronero (La Sapienza, Roma): Agents in the Global Network: Self-organization and Instabilities

20:00: Social dinner

Saturday, October 10

9:00 - 10:00: S. Battiston (ETH, Zürich): Liaisons dangeureuses: risk diversification may lead to higher systemic risk.

10:00 - 11: 00: D. Helbing (ETH, Zürich): Globalization, greed, and their impact on the rise and fall of socio-economic systems

11:00 - 11:30: Coffee break


11:30 - 12:30: S. Cleary (Parmenides Foundation, Munich): Restoring balance: a global imperative

12:30 - 13:30: Lunch

Closing of workshop

Szentháromság u. 2
H-1014 Budapest
Tel: +36 1 224 8300
Fax: +36 1 224 8310

info@colbud.hu