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)

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)

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)

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)

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)

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)

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)

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)

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
Lex Hoogduin, Executive Director, De Nederlandsche Bank (DNB)
Elbert Pattijn, Chief Risk Officer, DBS Bank Ltd
Mark Lawrence, Managing Director, Mark Lawrence Group and Co-chairman, Institute of International Finance Risk Management Working Group
15:30 End of the conference