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Economic Research
Predicting Rare Events: Evaluating Systemic and Idiosyncratic Risk
Federal Reserve Bank of San Francisco
September 28-29, 2012

Motivated by global financial events of the recent past, the workshop will showcase the latest research on forecasting rare, but systemic, events as well as monitoring more idiosyncratic risks. Experts from the academic, regulatory, and practitioner communities will come together to discuss the interface between cutting-edge research methods and best-practice risk-management techniques.

Location: 1st Floor, Yellen Conference Center

Day 1 – Friday, September 28, 2012
8:45 a.m.

Welcome and Introductory Remarks

Glenn Rudebusch, Federal Reserve Bank of San Francisco
9:00 a.m.

Academic Keynote Address

Frank Diebold, University of Pennsylvania
10:00 a.m.

Break
10:20 a.m.

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
12:00 p.m.

Lunch, Phoenix Conference Room, 4th Floor
1:20 p.m.

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
3:00 p.m.

Coffee Break
3:20 p.m.

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.)
4:00 p.m.

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
5:30 p.m.

Adjourn

Day 2 – Saturday, September 29, 2012
8:45 a.m.

Welcome
9:00 a.m.

Policy Keynote Address

Til Schuermann, Oliver Wyman
10:00 a.m.

Break
10:20 a.m.

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
11:00 a.m.

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
12:40 p.m.

Adjourn

Visitor Information

Federal Reserve Bank of San Francisco
101 Market Street, San Francisco, CA 94105-1579
(between Main and Spear Streets)
+1.415.974.2000

Please use the Bank's main entrance on Market Street.

Public parking is available in the garage at 123 Mission Street (entrance on Main Street between Mission and Howard Streets, around $26) and in surface lots at Main and Howard Streets (around $15). There are also several parking garages on Spear Street between Market and Howard Streets (around $20 and up).

The Bank is a nonsmoking building.

Neighborhood information

Airport Transportation

From San Francisco Airport

Travel time is approximately 25 minutes from SFO to the downtown area. Taxi fare from the airport to the downtown area is approximately $45.

The door-to-door Super Shuttle ($16) departs every 10 to 15 minutes, 24 hours a day, from the upper level median strip or courtesy island of the North, Central, and South terminals at SFO.

BART trains leave SFO every 15 minutes and take approximately 35 minutes to reach the downtown area. From the International Terminal, enter SFO-International BART station, which is located on level 3 of the International Terminal. From the Domestic Terminal, follow the signs across the overpass and take the SFO-AirTrain to SFO-International BART station. Once on BART, exit at Embarcadero Station (one-way fare is $8.10.)

From Oakland Airport

From OAK, either take the AirBART shuttle (one-way fare is $3, payable in cash or BART ticket, EXACT CHANGE ONLY) to the Colliseum BART station and take any San Francisco bound train to the Embarcadero Station (one-way fare is $3.80 for BART plus $3.00 for AirBART), or take any shuttle from the airport to the bank. Shuttle fare is approximately $30-$35.

For questions, please contact Christel Magalong at (415) 974-3198.