Introduction

Mortgage Loss Severities: What Keeps Them So High?

Authors:

Xudong An (FR-PHL)

Larry Cordell (FR-PHL)

Discussant:

Paul Goldsmith-Pinkham (Yale)

Measuring Risks in Hedge Funds: Evaluation & Usefulness of Exposure Data in Form PF

Authors:

Phillip J. Monin (Treasury)

Matthew Pritsker (FR-BOS)

Stathis Tompaidis (UT Austin)

Discussant:

Nicole M. Boyson (Northeastern)

Break / Refreshments

How Safe are Central Counterparties in Derivative Markets?

Authors:

Mark Paddrik (Treasury)

H. Peyton Young (LSE, Oxford, and Treasury)

Discussant:

Rod Garratt (UCSB)

Swing Pricing for Mutual Funds: Breaking the Feedback Loop between Firesales and Runs

Authors:

Agostino Capponi (Columbia)

Paul Glasserman (Columbia)

Marko Weber (Columbia)

Discussant:

Fernando Duarte (FR-NY)

Lunch

Speaker:

Beverly Hirtle, Executive VP and Director of Research, FR-NY

Model Secrecy and Stress Tests

Authors:

Yaron Leitner (FR-PHL)

Basil Williams (NYU)

Discussant:

Dong Beom Choi (FR-NY)

Taking Regulation Seriously: Fire Sales under Solvency and Liquidity Constraints

Authors:

Jamie Coen (LSE)

Caterina Lepore (Bank of England)

Eric Schaanning (RiskLab, ETH Zurich and Norges Bank)

Discussant:

Thomas Eisenbach (FR-NY)

Break / Refreshments

Stressed Banks

Authors:

Diane Pierret (University of Lausanne and Swiss Finance Institute)

Roberto Steri (University of Lausanne and Swiss Finance Institute)

Discussant:

Daniel Green (HBS)

Modeling Your Stress Away

Authors:

Friederike Niepmann (FRB)

Viktors Stebunovs (FRB)

Discussant:

Emily Williams (HBS)