Back to HomepageThe Basel Committee on Banking Supervision organizes in cooperation with the the Centre for Economic Policy Research and the Journal of Financial Intermediation, the 2002 JFI Symposium
BASEL II: AN ECONOMIC ASSESSMENT
Bank for International Settlements, Basel, Switzerland
Friday, May 17, 2002
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8:00 AM |
Registration |
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8:30 AM |
Welcoming Remarks: Andrew Crockett |
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(Bank for International Settlements) |
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SESSION I: Urs Birchler, Chair (Basel Committee and Swiss National Bank) |
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| 8:45 AM | Patricia Jackson (Bank of England) |
| William Perraudin (Birkbeck College and CEPR) | |
| Victoria Saporta (Bank of England) | |
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"Regulatory and 'Economic' Solvency Standards for Internationally Active Banks" |
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Discussants: Arnoud W.A. Boot, Universiteit van Amsterdam |
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Giovanni Majnoni, World Bank |
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10:00 AM |
Jose A. Lopez (Federal Reserve Bank of San Francisco) |
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"The Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size" |
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Discussants: George Pennacchi, University of Illinois |
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Akira Leda, Bank of Japan |
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11:10 AM |
Break |
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11:40 AM |
Juan Ayuso (Banco de España) |
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Daniel Pérez (Banco de España) |
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| Jesús Saurina (Banco de España) | |
| "Are Capital Buffers Pro-Cyclical?" | |
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Discussants: George Sheldon, Universität Basel |
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Ed Ettin, Federal Reserve Board |
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1:00 PM |
Lunch |
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SESSION II: Anjan V. Thakor, Chair (University of Michigan and JFI) |
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2:20 PM |
Christian Ewerhart (Universität Mannheim) |
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"Banks, Internal Models, and the Problem of Adverse Selection" |
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Discussants: Sudipto Bhattacharya, London School of Economics |
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Bertrand Rime, Swiss National Bank |
| 3:30 PM | Paul Kupiec (International Monetary Fund) |
| "Is the New Basel Accord Incentive Compatible?" | |
| Discussants: Paola Sapienza, Northwestern University | |
| Klaas Knot, Nederlandsche Bank | |
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4:40 PM |
Break |
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5:00 PM |
Rafael Repullo (CEMFI, Madrid and CEPR) |
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"Capital Requirements, Market Power, and Risk-Taking in Banking" |
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| Discussants: Oved Yosha, Tel Aviv University | |
| Jürg Blum, Swiss National Bank | |
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7:00 PM |
Dinner, Basel Hilton Remarks by Danielle Nouy (Secretary General, Basel Secretariat) |
Saturday, May 18
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SESSION III: Claudio Borio, Chair (Bank for International Settlements) |
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| 9:00 AM | Jean Paul Décamps (Université de Toulouse) |
| Benoît Roger (Université de Toulouse) | |
| Jean-Charles Rochet (Université de Toulouse and CEPR) | |
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"The Three Pillars of Basel II: Optimizing the Mix in a Continuous-Time Model" |
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Discussants: Henri Pagès, Banque of France |
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João Santos, Federal Reserve Bank of New York |
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10:10 AM |
Thomas Dangl (Technische Universität Wien) |
| Alfred Lehar (Universität Wien) | |
| "Value-at-Risk vs. Building Block Regulation in Banking" | |
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Discussants: Rajna Gibson, Universität Zürich |
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Reint Gropp, European Central Bank |
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11:20 AM |
Break |
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11:40 AM |
Hans Gersbach (Universität Heidelberg) |
| "The Optimal Capital Structure of an Economy" | |
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Discussants: Javier Suarez, CEMFI, Madrid and CEPR |
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Erlend Nier, Bank of England |
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1:00 PM |
Lunch |
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SESSION IV: Ernst-Ludwig von Thadden, Chair (Université de Lausanne, CEPR and JFI) |
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2:00 PM |
Mark Carey (Federal Reserve Board) |
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"Some Evidence on the Consistency of Banks' Internal Credit Ratings" |
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Discussants: Xavier Freixas, Universitat Pompeu Fabra and CEPR |
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Philip Lowe, Bank for International Settlements |
| 3:10 PM | Stijn Claessens (Universiteit van Amsterdam and CEPR) |
| Geert Embrechts (Rabobank International) | |
| "Basel II, Sovereign Ratings and Transfer Risk: External versus Internal Ratings" | |
| Discussant: Juan Carlos Garcia, BBVA | |
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4:20 PM |
Break |
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4:40 PM |
James Barth (Auburn University) |
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Gerard Caprio, Jr. (World Bank) |
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| Ross Levine (University of Minnesota) | |
| "Bank Regulation and Supervision: What Works Best?" | |
| Discussants: Mitchell Petersen, Northwestern University | |
| Myron Kwast, Federal Reserve Board | |
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6:00 PM |
Adjourn |
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