New Directions for Understanding Systemic Risk - FEDERAL RESERVE BANK of NEW YORK

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Event

New Directions for Understanding Systemic Risk

May 18, 2006

Could advanced tools for modeling complex interactions in the natural sciences and engineering be applied to the study of systemic risk in financial markets and institutions? To explore that question, the National Academy of Sciences and the Federal Reserve Bank of New York will sponsor a major dialogue among leading scientists, economists, and central bankers on new approaches to analyzing systemic risks in the financial sector. The conference will consider whether new ideas can be derived from the mathematical tools and techniques that scientists and engineers are developing to study systemic collapse in interactive systems in nature and engineering. This event is expected to launch an ongoing dialogue on the potential gains from sharing methodological advances in the study of risk.

Event Details

Agenda

Systemic Risk and the Financial System
Presentation Slides
- Darryll Hendricks, UBS

Systemic Risk: Relevance, Risk Management Challenges and Open Questions
- Thomas Daula, Morgan Stanley

Systemic Risk: The Events of 1998 from an Industry Perspective
- D. Wilson Ervin, Credit Suisse

Wealth Transfers and Portfolio Constraints
- Roberto Rigobon, Massachusetts Institute of Technology

Risk and Liquidity in a System Context
Presentation Slides
- Hyun Song Shin, Princeton University

Market Liquidity and Funding Liquidity
Presentation Slides
- Markus K. Brunnermeier, Princeton University

The Evolving Nature of the Financial System: Financial Crises and the Role of the Central Bank
- Keynote speaker:
  Donald L. Kohn, Governor
  Board of Governors of the Federal Reserve System

Risk Assessment and Management for National Interdependent Infrastructure and Economic Systems
- Yacov Haimes, University of Virginia

Modeling, Estimation and Control of Complex Interactive Systems: Toward Self-healing National Infrastructures

Massoud Amin, University of Minnesota

Presentation on Systemic Dynamics in the Federal Funds Market

An Ecological Perspective on Systemic Risk
- Simon Levin, Princeton University

The Topology of Interbank Payment Flows
Presentation Slides
- Morten Bech, Federal Reserve Bank of New York
  Walter E. Beyeler, Sandia National Laboratories
  Robert J. Glass, Sandia National Laboratories

Concluding Comments on the FRBNY-NAS Conference on New Directions in Understanding Systemic Risk
- Vincent Reinhart, Board of Governors of the Federal Reserve System

Date
May 18-19

Location
Federal Reserve Bank of New York
33 Liberty Street
12th Floor Conference Center
New York City

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