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Appendix A Conference Program NEW DIRECTIONS FOR UNDERSTANDING SYSTEMIC RISK Federal Reserve Bank of New York 33 Liberty Street, New York, New York May 18-19, 2006 Thursday, May 18 8:30 a.m.-8:45 a.m. Welcome and Overview of Conference Goals Speakers: Christine M. Cumming, First Vice President and Chief Operating Officer, Federal Reserve Bank of New York Charles Lucas, Member, Board on Mathematical Sciences and Their Applications, National Research Council Industry consolidation, global networking, terrorist threats, and heavy dependence on computing: these and other trends introduce the pos- sibility of new systemic risks, perhaps with increased ramifications. Ms. Cumming and Mr. Lucas will discuss the importance of understanding and managing systemic risk and set the stage for the conference as an opportunity for the central banking community to take a fresh look at systemic risk, aided by the insights of researchers who study similar risks in other complex systems. 79
80 NEW DIRECTIONS FOR UNDERSTANDING SYSTEMIC RISK 8:45 a.m.-9:45 a.m. Background on Systemic Risk in the Financial Sector Speakers: Darryll Hendricks, UBS Thomas Daula, Morgan Stanley D. Wilson Ervin, Credit Suisse 1 Three presentations will help to identify key issues relating to systemic risk in financial markets and institutions, describe the structure of finan- cial markets, and give historical examples of risks that concern central bankers and market practitioners. 10:00 a.m.-12:30 p.m. Presentations on Current Research Directions Speakers: Roberto Rigobon, Massachusetts Institute of Technology Hyun Song Shin, Princeton University Markus K. Brunnermeier, Princeton University Chair: Franklin Allen, Wharton School, University of Pennsylvania A panel of experts in systemic risk in the financial sector will present a cross section of current work in this area. The chair will raise discussion topics for the panel and serve as moderator during a question-and-answer session with the audience. 12:30 p.m.-1:45 p.m. Welcome and Keynote Speaker Welcome and Introduction: Timothy Geithner, President, Federal Reserve Bank of New York Keynote Speaker: Donald L. Kohn, Governor, Board of Governors of the Federal Reserve System 1:45 p.m.-4:00 p.m. Panel Discussion: Models of Systemic Phenomena in Other Complex Interactive Situations Panelists: Yacov Haimes, University of Virginia Massoud Amin, University of Minnesota Chair: Charles R. Taylor, Risk Management Association Two researchers who model systemic phenomena in nonfinancial systems will each make a presentation. The first explores concepts and methods for analyzing risk in complex engineered systems. The second outlines concepts and methods for modeling systems, infrastructure reliability, and catastrophic failures in complex networks such as power grids. The speakers will address the treatment of heavy-tailed events, the modeling of networks, and the identification of vulnerabilities. The session chair will compare and contrast the approaches with those typically applied in studies of systemic risk in the financial sector and then open the floor for discussion.
APPENDIX A 81 4:15 p.m.-5:30 p.m. Presentation on Systemic Dynamics in the Federal Funds Market Speakers: Darrell Duffie, Stanford University Adam Ashcraft, Federal Reserve Bank of New York The presenters will discuss preliminary results of a simulation of the sys- temic risk arising from settlement flows in the federal funds market. Friday, May 19 8:00 a.m.-10:15 a.m. Panel Discussion: Models of Risks Facing Complex Systems Panelists: Simon Levin, Princeton University Morten Bech, Federal Reserve Bank of New York Walter E. Beyeler, Sandia National Laboratories Robert J. Glass, Sandia National Laboratories Chair: George Sugihara, University of California at San Diego This session will present two talks about the risks facing complex systems. The first speaker will explore concepts and methods for analyzing behav- iors of ecosystems, especially as they adapt to or approach precipitous changes. The second talk, by a cross-disciplinary team of researchers, will present a pilot attempt to analyze critical nodes in the financial transac- tion system using tools and concepts that are not in common use in the central banking community. A discussion with conference participants will follow. 10:30 a.m.-12:00 p.m. Wrap-up Panel Discussion: What Has Been Learned? Panelists: Douglas Gale, New York University Robert Litzenberger, Azimuth Trust George Sugihara, University of California at San Diego Vincent Reinhart, Board of Governors of the Federal Reserve System Chair: Timothy Geithner, President, Federal Reserve Bank of New York Panelists from the fields of finance, economics, and science will share observations on the conference findings and offer thoughts for the road ahead. Conference participants will be invited to respond.
