Course overview The objective of the course is to present state of the art research on systemic risk and to illustrate its implications for micro and macro prudential regulation. The course will begin with the definition, characterization and analysis of the determinants of systemic risk. The main models proposed in the literature will be explained, highlighting their strengths and weaknesses. Special attention will be devoted to illustrate the practical regulatory policy implications along with the main empirical findings. The course will also cover the empirical quantitative techniques proposed in the literature for the measurement and prediction of systemic risk. The discussion will focus on the logic behind the various methodologies rather than technical aspects, emphasizing the ability to provide useful early warning signals. The last part of the course will provide a critical summary of the prudential regulation initiatives for systemic risk, highlighting the limitations of current microprudential policy, the potential of the new macroprudential approach, and the costs and benefits of the proposed policy measures. Key benefits: to understand...
- What is – and what is not – systemic risk, and the determinants and implications of systemic risk
- Build-up and crashes of asset and real estate bubbles, and credit bubbles, crunches and real effects of systemic risk
- Pervasive incentives versus psychological dimensions to excessive risk-taking
- Contagion and liquidity models of systemic risk
- Micro and macro prudential policy and their differences
- Positive and negative aspects of the proposed regulation (Basel III, Dobb-Frank, Vickers report, ESRB, EU directives, EBA…) and other possible policy prudential tools
- Systemic risk measurement, modelling and quantitative models for risk management (including: CoVaR, MES, Stress Testing) and the predictive ability of the systemic risk measures and early warning signals
- Differences and similarities between previous crises and the current one
Course Schedule | Session | Time | Professor | | Wednesday, 16 May 2012 | | Registration | 14:00-14:30
| | | Participant introductions and presentation of the Barcelona GSE | 14:30-15:00 | | Introduction to Systemic Risk and Crises
| 15:00-16:00
| José-Luis Peydró | Financial Globalization
| 16:00-17:00 | José-Luis Peydró | Coffee break
| Asset Bubbles
| 17:30-19:30 | Jaume Ventura | | Welcome dinner | | Thursday, 17 May 2012 | Real Estate Bubbles
| 9:30-11:00 | José García-Montalvo | Coffee break
| Pervasive Incentives
| 11:30-12:30 | José García-Montalvo | Behavioral/Psychological Biases
| 12:30-13:30 | Nicola Gennaioli | Lunch
| Credit Bubbles and Crunches
| 15:00-17:00 | José-Luis Peydró | Coffee break
| Monetary Policy and Financial Stability
| 17:30-18:30 | José-Luis Peydró | | Friday, 18 May 2012 | | Contagion: Classical Approach and Liquidity Models | 9:00-11:00 | Xavier Freixas | Coffee break
| Measurement and Modelling Systemic Risk
| 11:30-13:30 | Christian Brownlees
| Lunch
| | Measurement and Modelling Systemic Risk | 15:00-16:00 | Christian Brownlees | Case Studies on Financial Crises
| 16:00-18:00 | Xavier Freixas José-Luis Peydró | Saturday, 19 May 2012
| Systemic Risk and Regulation Policy
| 9:00-11:00 | Xavier Freixas | Coffee break
| | Systemic Risk and Regulation Policy | 11:30-13:30 | Xavier Freixas |
Faculty | Xavier Freixas (UPF and Barcelona GSE), course director Xavier Freixas is Professor at Universitat Pompeu Fabra and Barcelona GSE Research Professor. He is former president of the European Finance Association and chairman of Global Association of Risk Professionals (GARP) Risk Based Regulation Program. He has previously been Deutsche Bank Professor of European Financial Integration at Oxford University, Houblon Norman Senior Fellow of the Bank of England and joint executive director of FEDEA, and a professor at Toulouse University.
He has been a consultant for the European Investment Bank, the New York Fed, the World Bank, the Inter-American Development Bank, and MEDD.
He is currently consultant for the European Central Bank on macro-prudential policy. Prof. Freixas’ Microeconomics of Banking (joint with Jean-Charles Rochet and edited by MIT Press) is the standard reference textbook for Banking research worldwide. He is a leading expert on systemic risk. |  | José-Luis Peydró (UPF and Barcelona GSE), course director José-Luis Peydró is Associate Professor at Universitat Pompeu Fabra, Research Fellow at IESE business school, and Barcelona GSE Affiliated Professor. His research on Banking and Systemic Risk has been published in the top journals in Economics and in Finance, featured in the Wall Street Journal and New York Times blogs, and cited by Board Members of the Federal Reserve, ECB and IMF. Prof. Peydró has presented his research on Systemic Risk in universities as Harvard and MIT and in policy organizations as the Federal Reserve Board, New York Fed, IMF, ECB, BIS, Bundesbank, and Bank of England, and has written a survey chapter on Systemic Risk in Banking edited by Oxford University Press. José-Luis is currently an Advisor in the Financial Stability Department of Bank of Spain, a Visiting Scholar in the IMF and has a leave of absence from the ECB. José-Luis has a PhD in Finance from INSEAD. |  | Christian Brownlees (UPF and Barcelona GSE) Christian Brownlees is Assistant Professor at Universitat Pompeu Fabra and Barcelona GSE Affiliated Professor. He received his undergraduate degree in Economics and Quantitative Methods and PhD in Statistics from Università di Firenze. He was a Post-Doc Research Fellow at NYU Stern until 2011. Prof. Brownlees has been working extensively in the field of Systemic Risk. He has published a book chapter in Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance (edited by Acharya, Cooley, Richardson and Walter) and has been working on research projects concerning dynamic models for systemic risk measurement with the Nobel laureate Robert Engle. |  | José García-Montalvo (UPF) José García-Montalvo is Professor at Universitat Pompeu Fabra and guest professor at Barcelona GSE. He has a PhD in Economics from Harvard University. He has been the Director of the Department of Economics and Business at the Universitat Pompeu Fabra, consultant for the OECD, the Interamerican Development Bank and the World Bank. He has written eleven books and more than 90 publications including American Economic Review and Review of Economics and Statistics. Prof. Montalvo is
also the director of the Center
for Research on the Economies of the Mediterranean (CREMed) and has been a visiting Professor at Harvard University. He is currently a Board Member at CatalunyaBank and the leading specialist on real estate in Spain. |  | Nicola Gennaioli (CREI, UPF and Barcelona GSE) Nicola Gennaioli is Senior Researcher at CREI, Professor at Universitat Pompeu Fabra, and Barcelona GSE Research Professor. He obtained his PhD from Harvard University in 2004. From 2004-2007 he was assistant professor at IIES, Stockholm University, while in 2009-2010 he was a postdoctoral fellow at Harvard University. In 2009 he received an ERC starting grant. His fields of expertise are Psychology and Economics, Finance, Political Economy and Economic Development. He has published several articles in major international journals such as Quarterly Journal of Economics, Journal of Political Economy, American Economic Review, Journal of Financial Economics, Review of Financial Studies, Journal of the European Economic Association and Journal of Economic Growth. He is associate editor for the Review of Economic Studies, the Economic Journal, the Journal of the European Economic Association, and the Journal of Development Economics. |  | Jaume Ventura (CREI, UPF and Barcelona GSE) Jaume Ventura is a Senior Researcher at CREI, Professor at Universitat Pompeu Fabra, and Barcelona GSE Affiliated Professor. He is a former director of the International Macroeconomics Program of the CEPR. He received his PhD from Harvard in 1995. Prior to joining CREI and UPF, he was a tenured associate professor at MIT, where he won both the Undergraduate and the Graduate Economics Association ‘Best Teacher’ Award. He has also taught at the University of Chicago and INSEAD. Ventura has worked full-time for the World Bank, and acted as a consultant for the Inter-American Development Bank. Prof. Ventura is one of the world leading economists on the interaction between asset bubbles and macroeconomics. |
FeesCovers the tuition of all sessions, education materials, welcome dinner on May 16, all coffee breaks, and lunch breaks on May 17 and 18. Category
| Fee (until 02 May 2012) | Early-bird Registration (until 09 Apr 2012) | Regular Fee | 2,000 € | 1,600 € | Multiple Applicants More than one applicant from the same company | 1st Applicant: 2,000 € 2nd Applicant: 1,800 € 3rd Applicant: 1,600 € (and following applicants) | 1st Applicant: 1,600 € 2nd Applicant: 1,500 € 3rd Applicant: 1,400 € (and following applicants) | Barcelona GSE Alumni Graduates of Barcelona GSE master programs | 1,000 € | 800 € |
Special discounts are not cumulative. Cancellation Policy - Cancellations until 02 May: Complete Refund, except for 200 € to cover administration expenses
- Cancellations between 02 and 09 May: 50% of the registration fee charged
- Cancellations after 09 May: Full fee charged (no refund)
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