the International Association of Financial Engineers (IAFE)
April 17–18, 2006
Federal Reserve Bank of Atlanta
Atlanta, Georgia
| Monday, April 17 | |
| 7:30 a.m. | Breakfast |
| 8:30 | Welcome Jack Guynn, President, Federal Reserve Bank of Atlanta |
| 8:35 | Speaker Roger Ferguson, Vice Chairman, Federal Reserve Board of Governors |
| 9:00 | Models of Financial System Risk Opening remarks Roger Ferguson, Vice Chairman, Federal Reserve Board of Governors |
| 9:10 | “Flight to Quality and Collective Risk Management” Ricardo Caballero, MIT Arvind Krishnamurthy, Northwestern University Presentation 
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| 9:40 | Discussant Rod Garratt, University of California, Santa Barbara |
| 10:00 | Break |
| “Carry Trades and Speculative Dynamics” Guillaume Plantin, Carnegie-Mellon University Hyun Song Shin, Princeton University Presentation
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| 11:00 | Discussant David Mordecai, Risk Economics Limited/IAFE |
| 11:20 | “Leaning Against the Wind” Pierre-Olivier Weill, New York University Presentation
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| 11:50 | Discussant Matthew Pritsker, Federal Reserve Board of Governors |
| Question and answer session | |
| 12:30 | Lunch |
| 1:00 | Speaker Roy Henriksson, Advanced Portfolio Management/IAFE |
| 1:30 | Break |
| 2:00 | Financial Institutions and Financial System Risk Opening remarks Randall Kroszner, Federal Reserve Board of Governors |
| 2:10 | “How Smart Are the Smart Guys? A Unique View from Hedge Fund Stock Holdings” John Griffin, University of Texas Jin Xu, University of Texas |
| 2:40 | Discussant Louis Scott, Morgan Stanley |
| 3:00 | “Monitoring Financial System Stability Using Fama-French Factors and Bond Market Data for Large Financial Institutions” Diana Hancock, Federal Reserve Board of Governors Wayne Passmore, Federal Reserve Board of Governors |
| 3:30 | Discussant William Lastrapes, University of Georgia |
| 4:00 | Break |
| 4:30 | “The Effect of Banking Crisis on Bank-Dependent Borrowers” Sudheer Chava, University of Houston Amiyatosh Purnanandam, University of Michigan Presentation
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| 5:00 | Discussant Tom Wilson, ING |
| 5:20 | Question and answer session |
| 5:30 | Reception |
| 6:30 | Dinner |
| 7:30 | Speaker Nigel Jenkinson, Director, Financial Stability, Bank of England |
| 8:00 | Adjournment |
| Tuesday, April 18 | |
| 7:30 a.m. | Continental breakfast |
| 8:00 | Speaker Emil Henry, Assistant Secretary for Financial Institutions, U.S. Treasury Department |
| 8:30 | “Three Decades of Financial Sector Risk” Joel Houston, University of Florida Kevin Stiroh, Federal Reserve Bank of New York Presentation
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| 9:00 | Discussant John Griffin, University of Texas |
| 9:20 | Question and answer session |
| 9:30 | Models of Strategic Liquidity Provision Opening remarks David Mordecai, Risk Economics Limited/IAFE |
| “Episodic Liquidity Crises: Cooperative and Predatory Trading” Bruce Carlin, Duke University Miguel Lobo, Duke University Vish Viswanathan, Duke University Presentation
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| 10:10 | Discussant Roy Henriksson, Advanced Portfolio Management/IAFE |
| 10:30 | Break |
| 11:00 | “Coordination Risk in Lending and the Capital Structure of Arbitrageurs” Mukarram Attari, Charles River Associates Antonio Mello, University of Wisconsin-Madison Martin Ruckes, University of Wisconsin- Madison Presentation
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| 11:30 | Discussant Andreas Lehnert, Federal Reserve Board of Governors |
| 11:50 | “Illiquidity in the Interbank Payment System Following Wide-Scale Disruptions” Morton Bech, Federal Reserve Bank of New York Rod Garrett, University of California, Santa Barbara Presentation
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| 12:20 p.m. | Discussant Ned Prescott, Federal Reserve Bank of Richmond |
| 12:40 | Question and answer session |
| 1:00 | Lunch |
| 2:00 | Financial Innovation, Mark-to-Market Accounting, and Financial Instability Opening remarks Kevin Warsh, Federal Reserve Board of Governors |
| 2:10 | “Financial Innovation, Macroeconomic Stability, and Systemic Crises” Sujit Kapadia, Bank of England Prasanna Gai, Bank of England Stephen Millard, Bank of England Ander Perez, London School of Economics Presentation
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| 2:40 | Discussant Karsten Jeske, Federal Reserve Bank of Atlanta |
| 3:00 | “Mark-to-Market Accounting and Cash-in-the-Market Pricing” Franklin Allen, University of Pennsylvania Elena Carletti, Center for Financial Studies University of Frankfurt Presentation
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| 3:30 | Discussant Daryll Hendricks, UBS |
| 3:50 | Question and answer session |
| 4:00 | Adjournment |
| Note: Seating for this conference is very limited. If you are not on the program but would like to attend, please contact Scott Frame by phone at (404) 498-8783 or e-mail at Scott.Frame@atl.frb.org. | |