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The Hong Kong Institute for Monetary Research (HKIMR) and the Bank for International Settlements (BIS)

Financial Stability: Towards a Macroprudential Approach

05 July 2010 (Monday) - 06 July 2010 (Tuesday)



Day one: Monday 5 July
08:30 - 08:45 Registration and coffee



08:45 – 09:00 Welcome remarks

Dong He (HKMA) and Frank Packer (BIS)

09:00 – 10:00 Keynote speech
“Fear of fire sales, illiquidity seeking, and credit freezes” by Douglas Diamond (University of Chicago)


con_paper_0_816_douglas-w-diamond_f.pdf
10:00 – 10:30 Coffee Break



Session 1 Systemic risk I

10:30 – 12:00 Chair: Frank Packer (BIS)

Paper 1: Systemic risk: what defaults are telling us
by Kay Giesecke (Stanford University) and Baeho Kim (Korea University Business School)

Discussant: Mike So (HKUST)

con_paper_0_820_paper-1_baeho-kim_15_f.pdf
Paper 2: Attributing systemic risk to individual institutions
by Nikola Tarashev (BIS), Claudio Borio (BIS) and Kostas Tsatsaronis (BIS)

Discussant: Seung-Hwan Lee (Bank of Korea)

12:00 – 13:30 Lunch



Session 2 Systemic risk II

13:30 – 15:00 Chair: Cho-Hoi Hui (HKMA)

Paper 3: Regulatory capital charges for too-connected-to-fail institutions: a practical proposal
by Jorge A Chan-Lau (IMF)

Discussant: Haibin Zhu (BIS)

con_paper_0_827_paper-3_jorge-a-chan-lau_f.pdf
Paper 4: Procyclicality of loan-loss provisioning and systemic risk in the Hong Kong banking system

by Eric Wong (HKMA), Tom Fong (HKMA) and Henry Choi (HKMA)

Discussant: Toyoichiou Shirota (BOJ)

Session 3 Boom-bust cycles

15:30 – 17:00 Chair: Haibin Zhu (BIS)

Paper 5: The seeds of a crisis: a theory of bank liquidity and risk-taking over the business cycle
by Viral Acharya (New York University) and Hassan Naqvi (National University of Singapore)

Discussant: Charles Leung (City University of Hong Kong)

con_paper_0_833_paper-5_hassan-naqvi_f.pdf
Paper 6: Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation?
by Vladimir Borgy (Banque de France), Laurent Clerc (Bank de France) and Jean-Paul Renne (Bank de France)

Discussant: Zhongyan Zhu (CUHK)

con_paper_0_835_paper-6_laurent-clerc_13.pdf
18:00 – 21:00 Conference dinner

End of day one

Day two: Tuesday 6 July
09:00 – 10:00 Keynote speech
Implementing a macroprudential framework: balancing boldness and realism
by Claudio Borio (BIS)

con_paper_0_841_claudio-borio.pdf
10:00 – 10:30 Coffee break

Session 4 New framework of prudential regulation

10:30 – 12:00 Chair: Dong He (HKMA)

Paper 7: Procyclicality of capital requirements in a general equilibrium model of liquidity dependence
by Francisco Covas (Federal Reserve Board) and Shigeru Fujita (Federal Reserve Bank of Philadelphia)

Discussant: Giorgio Valente (University of Leicester)

con_paper_0_845_paper-7_shigeru-fujita_f.pdf
Paper 8: Grafting macroprudential policies in a macroeconomic framework choice of optimal instruments and interaction with monetary policy
by Paolo Angelini (Bank of Italy), Stefano Neri (Bank of Italy) and Fabio Panetta (Bank of Italy)

Discussant: Don Nakornthab (Bank of Thailand)

con_paper_0_847_paper-8_stefano-neri_115.pdf
12:00 – 12:10 Concluding remarks

12:15 – 14:00 Lunch

14:00 – 15:30 Panel discussion


Moderator: Eli Remolona (Chief Representative, BIS Representative Office for Asia and the Pacific)

Arthur Yuen, Deputy Chief Executive, HKMA
con_paper_0_852_9-panelist_arthur-yuen.pdf
Lex Hoogduin, Executive Director, De Nederlandsche Bank (DNB)
con_paper_0_855_10-panelist-lex-hoogduin.pdf
Elbert Pattijn, Chief Risk Officer, DBS Bank Ltd
con_paper_0_853_11-panelist_elbert-pattijn.pdf
Mark Lawrence, Managing Director, Mark Lawrence Group and Co-chairman, Institute of International Finance Risk Management Working Group
con_paper_0_854_12-mark-lawrence.pdf
15:30 End of the conference



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