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The Second Joint Central Bank Research Conference on Risk Measurement and Systemic Risk Toward a Better Understanding of Market Dynamics during Periods of Stress

Research
 Conference

The Bank of Japan in collaboration with the Bank for International Settlements, the Bank of England, the Board of Governors of the Federal Reserve System, and the Federal Reserve Bank of New York held the conference on risk measurement and systemic risk on November 16-17, 1998 at the Bank of Japan in Tokyo. This conference was held as part of continuing efforts by central banks to conduct research into the robustness of financial systems and market mechanisms under stress. The organizers also intended to support the ongoing work of the Committee on the Global Financial System, a committee of the Governors of the G-10 central banks, which has as a key part of its mandate the monitoring of risk in global financial markets.

Staff from the Bank for International Settlements (Sean Craig), the Bank of England (Ian Michael), the Bank of Japan (Tokiko Shimizu), the Federal Reserve Bank of New York (John Kambhu), and the Board of Governors of the Federal Reserve System (Allen Frankel and Michael Gibson) were the principal organizers of the conference. In addition, important contributions to the administration of the conference were made by Yoshifumi Hisata, Shuji Kobayakawa, Naoko Maeda, Jun Muranaga, and Takashi Ui, and Kunio Okina and Mahito Uchida served as ongoing advisers to the organizers on questions related to the scope and objectives of the project.

The views set forth in this volume are those of the contributors and do not necessarily reflect the views of the Bank of Japan or of other members of its staff.

Conference Summary (English:86KB PDF, Japanese: 161KB PDF)

Monday, November 16

Opening Remarks: Kunio Okina, Director, Institute for Monetary and Economic Studies, BOJ (161KB PDF)

Session 1: Sources of Systemic Disruption and Contagion

Moderator: Motoshige Itoh, Univ. of Tokyo

Discussant: Jeffrey M. Lacker, FRB Richmond

Author

Title

Size

Oliver De Bandt,
Philipp Hartmann
What Is Systemic Risk Today?

247KB PDF

Dirk Schoenmaker Contagion Risk in Banking

101KB PDF

Yukinobu Kitamura,
Shuji Kobayakawa
Risk Accumulation, Contagion and the Rules for Bank Failure

290KB PDF

Session 2: Payment System Risks

Moderator: Hiroaki Shinoda, Fuji Bank

Discussant: William C. Hunter, FRB Chicago (26KB PDF)

Author

Title

Size

Hiroshi Fujiki,
Edward J. Green,
Akira Yamazaki
Sharing the Risk of Settlement Failure

93KB PDF

Claudio Impenna,
Paola Masi
Risks in Interlinked Settlement Systems: How to Measure the Impact of Settlement Delay in the Italian RTGS System (BIREL)

96KB PDF

Xavier Freixas,
Bruno Parigi,
Jean-Charles Rochet
Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank

108KB PDF

Luncheon Address: Yutaka Yamaguchi, Deputy Governor, BOJ (27KB PDF)

Session 3: Empirical Studies on Market Behavior

Moderator: Masaaki Shirakawa, BOJ

Author

Title

Size

Michael J. Fleming,
Eli M. Remolona
Price Formation and Liquidity in the U.S Treasury Market: The Response to Public Information

(abstract)
6KB PDF

Robert A. Connolly,
F. Albert Wang
Economic News and Stock Market Linkages: Evidence from the U.S., U.K., and Japan

168KB PDF

M. Ameziane Lasfer,
Arie Melnik,
Dylan Thomas,
Stock Price Reaction in Stressful Circumstances: An International Comparison

120KB PDF

Sandeep Patel,
Asani Sarkar
Crises in Developed and Emerging Stock Markets

134KB PDF

Shigeru Yoshifuji,
Hiroaki Demizu
A Study of Mechanism of Stress/shock Movements in Financial Markets

493KB PDF

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Tuesday, November 17

Session 4: Market Microstructure and Market Stability

Moderator: Megumi Suto, Chuo Univ.

Discussants: Michael J. Fleming, Asani Sarkar, both FRBNY, and Toshinori Takayama, MTEC

Author

Title

Size

Jun Muranaga,
Tokiko Shimizu
Effect of Trading Halt System on Market Functioning: Simulation Analysis of Market Behavior with Artificial Shutdown

1,634KB PDF

Michael A. Goldstein,
Joan E. Evans,
James M. Mahoney
Circuit Breakers, Volatility, and the U.S. Equity Markets: Evidence from NYSE Rule 80A

103KB PDF

Laura E. Kodres,
Matthew Pritsker
A Rational Expectations Model of Financial Contagion

(Link to FRB website)

Stephen Brown,
Onno W. Steenbeek
Price Discovery during Periods of Stress: Barings, the Kobe Quake and the Nikkei Futures Market
* For an updated version, please contact steenbeek@few.eur.nl

165KB PDF

Joe Ganley,
Giorgio Trebeschi
Equity Markets under Stress: Tests for Arbitrage Anomalies in the Stock-futures Basis

223KB PDF

Session 5: New Approaches to Risk Management

Moderator: Keishi Hotsuki, Bankers Trust

Author

Title

Size

Durrel Duffie,
Kenneth Singleton
Simulating Correlated Defaults

(abstract)
5KB PDF

Kenji Miyazaki,
Makoto Saito
On the Market Risk Involved in the Public Financial System in Japan: A Theoretical and Numerical Investigation

(abstract)
7KB PDF

Michael S. Gibson The Implications of Risk Management Information Systems for the Organization of Financial Firms

50KB PDF

Luncheon Address: Akira Watanabe, Regional Executive of Singapore, Bank of Tokyo-Mitsubishi(29KB PDF)

Session 6: Systemic Risk and Central Banks

Moderator: Hiroshi Nakaso, BOJ

Author

Title

Size

Arthur J. Rolnick,
Bruce D. Smith,
Warren E. Weber
The Suffolk Bank and the Panic of 1837: How a Private Bank Acted as a Lender-of-Last-Resort

110KB PDF

Tokiko Shimizu,
Takashi Ui
Contagious Expectation and Malfunctions of Markets: Some Lessons from Japanese Financial Institution Failures of 1997

165KB PDF

Marvin Goodfriend,
Jeffrey M. Lacker
Limited Commitment and Central Bank Lending

139KB PDF

Session 7: Panel Discussion

Moderator: Kenneth J. Singleton, Professor, Stanford Univ. (27KB PDF)

Panelists:

Ken P. Y. Cheng, Senior Manager, Hong Kong Monetary Authority

Allen B. Frankel, Chief, Division of International Finance, FRB (14KB PDF)

Takatoshi Ito, Professor, Hitotsubashi Univ. (27KB PDF)

Iwao Kuroda, Executive Director, BOJ (12KB PDF)

Robert B. Litterman, Managing Director, Goldman, Sachs & Co. (29KB PDF)

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