Predicting Rare Events: Evaluating Systemic and Idiosyncratic Risk


Friday, September 28, 2012 – Saturday, September 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.


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.


Day 2 – Saturday, September 29, 2012

8:45 a.m.


9:00 a.m.

Policy Keynote Address


Til Schuermann, Oliver Wyman

10:00 a.m.


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.