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