CFS Research Conference
11.12.2008 - 12.12.2008

Risk Transfer: Challenges for Financial Institutions and Markets


Luigi Guiso, European University Institute and CEPR

Frank Heid, Deutsche Bundesbank

Jan Pieter Krahnen, Goethe University Frankfurt, CFS and CEPR

Thilo Liebig, Deutsche Bundesbank

Dimitri Vayanos, London School of Economics and CEPR

Christian Wilde, Goethe University Frankfurt and CFS


The CFS, CEPR, and the Deutsche Bundesbank are organizing a joint conference on risk transfer.The conference will provide a forum for discussing current issues and future challenges in risk transfer markets and for presenting state-of-the-art research in this field.


The scientific committee evaluated papers in the  following areas: Incentive effects of risk transfer on financial institutions; The allocation of risk in the financial system through risk transfer instruments; Risk transfer and its implication for contagion risk / systemic risk; Causes and implications of the recent financial market turmoil; Lessons learned: Regulatory aspects and issues; Accounting issues: (Un)fair value in distressed markets?; Pricing of instruments for risk transfer: including market liquidity and information problems.

Scientific Committee

Franklin Allen, University of Pennsylvania, Wharton School
Mark Carey, Federal Reserve Board
Gabriella Chiesa, University of Bologna
Günter Franke, University of Konstanz
Gary Gorton, University of Pennsylvania, Wharton School
Iftekhar Hasan, Rennselaer Polytechnic Institute
Christian Laux, Goethe University Frankfurt
Andreas Pfingsten, University of Münster
Wolf Wagner, Tilburg University


Thursday, 11 December 2008

11:30 - 12:00 <b>Registration<br /></b>
12:00 - 13:00 <b>Light Lunch<br /></b>
13:00 - 13:10 <b>Opening Remarks<br /></b><br /><i>Jan Pieter Krahnen,</i> Goethe University Frankfurt, CFS and CEPR<br /><i>Thilo Liebig,</i></b> Deutsche Bundesbank<br />
13:10 - 14:00 <b>Keynote Speech<br /></b><br /><i> Douglas Gale,</a></i> New York University<br />
14:00 - 14:15 <b>Coffee Break</b>
<b>Session 1<b> <b>Incentive Structures in CRT markets<br /></b><br />Chair: <br /><i>Christian Laux, </i>Goethe University Frankfurt<br />
14:15 - 15:00 <b>Incentives and Tranche Retention in Securitisation: A Screening Model<br /><br /></b><i>Ingo Fender, </i> Bank for International Settlements<br /></i><i><b>Janet Mitchell,</b> </i> National Bank of Belgium and CEPR<br /><br />Discussant:<br /><i>Ulrike Neyer, </i>University of Düsseldorf<br />
15:00 - 15:45 <b>Counterparty Risk in Financial Contracts: Should the Insured Worry about the Insurer?</b><br /><br /><i><b>James R. Thompson,</b></i> University of Waterloo<br /><br />Discussant:<br /><i>Thilo Pausch, </i>Duetsche Bundesbank<br />
15:45 - 16:30 <b>The Paradox of Liquid Loans</b><br /><br /><i>Nada Mora,</i> Bank of England<br /> <i><b>Rhiannon Sowerbutts,</b></i> University Pompeu Fabra<br /><br />Discussant:<br /><i>Wolf Wagner, </i>Tilburg University<br />
16:30 - 16:45 <b>Coffee Break</b>
<b>Session 2<b> <b>Market Structure and the Allocation of Risk through CRT Instruments<br /></b><br />Chair: <br /><i>Wolf Wagner,</i> Tilburg University<br />
16:45 - 17:30 <b>Laying off Credit Risk: Loan Sales versus Credit Default Swaps<br /><br /></b><i>Christine Parlour, </i>University of California, Berkeley<br /> <i><b>Andrew Winton,</b></i> University of Minnesota<br /> <br /> Discussant:<br /><i>Francesca Rinaldi, </i>University of Manchester<br />
17:30 - 18:15 <b>Credit Risk Transfer in Banking Markets with Hard and Soft Information</b><br /><br /><i>Hendrik Hakenes, </i>University of Hannover and MPI Bonn<br /><b><i>Isabel Schnabel,</b> </i>University of Mainz, CEPR and MPI Bonn<br /> <br />Discussant:<br /><i>Christian Laux, </i>Goethe University Frankfurt<br />
19:00 - approx 22:30 <b>Reception and Conference Dinner<br />Dinner Speech</b><br /><br /> <b><i>Axel Weber, </b></i>President of the Deutsche Bundesbank<br />

Friday, 12 December 2008

8:30 - 9:20 <b>Keynote Speech<br /></b><br /><i> William Perraudin,</a></i> Imperial College London<br />
9:20 - 9:30 <b>Coffee Break</b>
<b>Session 3<b> <b>Credit Risk Transfer and Financial Stability<br /><br /></b>Chair:<br /><i>Thilo Liebig, </i> Deutsche Bundesbank<br />
9:30 - 10:15 <b>Firm Default and Aggregate Fluctuations</b><br /><br /></b><i>Tor Jacobson, </i>Sveriges Riksbank<br /><i>Rikard Kindell, </i>Svenska Handelsbanken<br /><i>Jesper Lindé, </i>Sveriges Riksbank and CEPR<br /><i><b>Kasper Roszbank, </b></i>Sveriges Riksbank<br /><br />Discussant:<br /><i>Xavier Freixas, </i>Universitat Pompeu Fabra<br />
10:15 - 11:00 <b>Sturm und Drang in Money Market Funds: When Money Market Funds cease to be narrow</b><br /><br /></b><i><b>Stephan Jank, </b></i>University of Tübingen<br /><i>Michael Wedow,</i> European Central Bank<br /><br />Discussant:<br /><i>Iman van Lelyveld, </i>Bank of England<br />
11:00 - 11:45 <b>Systemic Risk-Taking: Accelerator Effects, Externalities and Regulatory Responses</b><br /><br /></b><i><b>Anton Korinek, </b></i>University of Maryland<br /><br />Discussant:<br /><i>Christoph Memmel, </i>Deutsche Bundesbank<br />
11:45 - 13:15 <b>Lunch Break</b>
<b>Session 4<b> <b>Pricing and Informational Content of CRT Instruments<br /><br /></b>Chair: <br /><i>Xavier Freixas, </i>University Pompeu Fabra<br />
13:45 - 14:00 <b>The Pricing of Subprime Mortage Risk in Good Times and Bad: Evidence from the ABX.HE Indices</b><br /><br /><i><b>Ingo Fender, </b></i>Bank of International Settlements<br /><i>Martin Scheicher, </i>European Central Bank<br /><br />Discussant:<br /><i>Michael Wedow,</i> European Central Bank<br />
14:00 - 14:45 <b>Credit Derivatives, Corporate News, and Credit Ratings</b><br /><br /><b><i>Lars Norden, </b></i>University of Mannheim<br /><br />Discussant:<br :><i>Andreas Pfingsten, </i>University of Münster<br />
14:45 - 15:00 <b>Coffee Break</b>
15:00 - 16:30 <b>Panel Discussion<br /><br /></b>Chair:<br /> <i>Jan Pieter Krahnen,</i> Goethe University, CFS and CEPR<br /><br /><i>Charles Goodhart,</i> London School of Economics<br /><i>Roman Inderst, </i>Goethe University Frankfurt<br /><i>Thomas Köntgen, </i>Eurohypo AG<br /><i>Hans-Helmut Kotz,</i> Deutsche Bundesbank<br />
16:30 <b>Close of Conference</b><br />

Papers and presentations


The conference will be held at the  

Regional Office of the Deutsche Bundesbank

Taunusanlage 5

60329 Frankfurt am Main

Conference Fee

There is a conference fee of €200.

For academics, central bankers and journalists the fee is waived.


A €50 surcharge applies for participiants registering after 20 November 2008


The conference fee covers the conference participation, the background materials, the refreshments during the coffee breaks, the lunches for both days and the official dinner on Thursday 11 December 2008.


The organisers want to inform you that the registration to the conference is closed.


If you are still interested in attending the confernce, please send an email to Francesca Gradi to be insert in the waiting list.

You will be informed, as soon as a seat is available.


For any organisational assistance please contact:


Margit Rodewald

Deutsche Bundesbank

Conferences, 70-4

Wilhelm-Epstein-Strasse 14

D - 60431 Frankfurt/Main




Francesca Gradi

House of Finance


Grüneburgplatz 1, HPF H5

D - 60323 Frankfurt/Main