Friday 5 December 2008

What Went Wrong? Financial Engineering,
Financial Econometrics, and the Current Stress.

Organiser: Giovanni Urga

PROGRAMME
(Download Conference Programme) [pdf]

Room 3002
Presentations: 30 minutes
Open floor discussion:  10 minutes

8:30 - 9:00 Registration and Refreshments
9:00 - 9:15 Opening Address: Steven Haberman (Director and Deputy Dean, Cass, UK)

Session 1: Volatility and Jumps

Chair: Giovanni Urga (Cass, UK)

9:15 - 11:15
T.G. Andersen (Northwestern, USA)
“Jump Robust Volatility Estimation” (with Dobrislav Dobrev and Ernst Schaumburg)
[abstract]

S. Laurent (University of Namur and CORE, Belgium)
“Robust Estimation of the Periodicity in Intraday Volatility and Intraday Jump Detection” (with Kris Boudt and Christophe Croux).
[abstract]

H. Zhou (Federal Reserve Board, Washington, USA)
“Bond Risk Premia and Realized Jump Risk” (with Jonathan Wright).
[abstract]

11:15 - 11:30 Refreshments

Session 2: Options

Chair: Alec Chrystal (Cass, UK)

11:30 - 12.50
L. Benzoni (Federal Reserve Bank of Chicago, USA)
“Explaining Pre- and Post-1987 Crash Asset Prices Within a Unified General Equilibrium Framework” (with Pierre Collin-Dufresne and Robert S. Goldstein)
[abstract]

O. Bondarenko (University of Illinois at Chicago, USA)
"Nonparametric Test of Affine Option Models"
[abstract] 

 
12:50 - 14:00 Lunch

Session 3: Estimation and Testing (Risk and Return)

Chair: Enrique Sentana (CEMFI, Spain)

14:00 - 15:20
O. Linton (London School of Economics, UK)
“Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error” (with Anish Ghosh)
[abstract]

G. Urga (Cass Business School, London, UK)
“Testing for Instability in Factor Structure of Yield Curves” (With C. Kao and D. Philip)
[abstract] [paper]


15:20 - 15:30 Refreshments

Special Panel Session: What Went Wrong and the Current Stress

Chair: Bob Chirinko (UIC, USA)

15:30 - 17:45
F.Capie (Cass Business School and Bank of England,UK)
“Financial Crises and Their Solutions from the Past
[abstract] [watch the talk]

M. S. Sundaresan (Columbia University, USA)
“Credit Crunch, Actions of Central Banks & Treasury and Welfare Consequences”
[abstract] [watch the talk]

B. Hafeez (Deutsche Bank, Global Head of FX Strategy, London, UK)
“When the Fabric of Markets is Torn: Trading in a Non-normal World”
[abstract]

N. Jenkinson (Executive Director, Financial Stability, Bank of England, UK)
“Lowering Banks' Funding Risk: An Analytical and Policy Framework”
[abstract]

18:00 Conference Reception at the Bank of England Museum
(Welcome: Richard Gillingwater, Dean, Cass, UK)