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Systemic Risk and Prudential Policy Course


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Four-day intensive course in Barcelona. Designed for economists, supervisors, policymakers and lawyers. Course directors: Prof. Xavier Freixas (UPF and Barcelona GSE) and Prof. José-Luis Peydró (UPF and Barcelona GSE).

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Systemic Risk and Prudential Policy Course

  1. 1. The Barcelona Graduate School ofPARTICIPATION FEE Economics is one of the leading schools in postgraduate economic education promotingRegular Fee: 2000 € cutting-edge research and world-classFee for Barcelona GSE Alumni (Master international graduate programs in economics.Programs): 1000 € It was founded in 2006 by four academic institutions (Universitat Pompeu Fabra, UniversitatFor additional discounts and early–bird registration Autònoma de Barcelona, CSIC and CREI) whosefee, visit the course website. world-wide reputations, faculty, and resources underpin the School and its activities. The Barcelona GSE offers professionally- and INTENSIVE COURSE ONAPPLICATION AND DEADLINES academically-orientated master degreesRegistration opens in February 2012 in Economics. Our students are trained to understand the complex economic and financial processes of an increasingly global society. SYSTEMIC RISKEarly-bird registration and payment deadline AND The Master program offer for 2012/13 is:April 9, 2012Registration and payment deadlineMay 2, 2012 PRUDENTIALCourse website: May 16 –19, 2012Contact The Barcelona GSE also offers intensive, targeted short courses for researchers, professionals and graduate students. The courses offer for 2012/13 is:Barcelona Graduate School of EconomicsRamon Trias Fargas 25-27,08005 93 542 1222
  2. 2. KEY BENEFITS: TO UNDERSTAND… COURSE SCHEDULE: What is – and what is not – systemic risk, and the determinants and implications of systemic risk Session Time Professor Build–up and crashes of asset and real estate Wednesday, 16 May bubbles, and credit bubbles, crunches and real Registration 14:00 - 14:30 effects of systemic risk Participant Introductions and Presentations of the Barcelona GSE 14:30 - 15:00 Introduction to systemic risk and crises 15:00 - 16:00Mercè Rodoreda Building, Pervasive incentives versus psychological Financial globalization 16:00 - 17:00site of the Barcelona Graduate School of Economics dimensions to excessive risk–taking Asset Bubbles 17:30 - 19:30 J.Ventura Thursday, 17 May Contagion and liquidity models of systemic risk Real Estate Bubbles 9:30 - 11:00 Micro and macro prudential policy and their Pervasive incentives 11:30 - 12:30 differences Behavioural/psychological biases 12:30 - 13:30 N. Gennaioli Credit bubbles and crunches 15:00 - 17:00 Positive and negative aspects of the proposed Monetary Policy and financial stability 17:30 - 18:30COURSE OVERVIEW regulation (Basel III, Dobb–Frank, Vickers report, Friday, 18 May ESRB, EU directives, EBA…) and other possible Contagion: classical approach and liquidity models 9:00 - 11:00 X. FreixasThe objective of the course is to present policy prudential tools Measurement and modelling systemic risk 11:30 - 13:30 Ch. Brownleesstate of the art research on systemic risk Measurement and modelling systemic risk 15:00 - 16:00 Ch. Brownleesand to illustrate its implications for micro and Systemic risk measurement, modelling and Case studies on Financial Crises 16:30 - 18:30macro prudential regulation. The course will quantitative models for risk management Saturday, 19 Maybegin with the definition, characterization and (including: CoVaR, MES, Stress Testing) and the Systemic Risk and Regulation policy 9:00 - 11:00 X. Freixasanalysis of the determinants of systemic risk. predictive ability of the systemic risk measures and Systemic Risk and Regulation policy 11:30 - 13:30 X. FreixasThe main models proposed in the literature early warning signalswill be explained, highlighting their strengths Differences and similarities between previousand weaknesses. Special attention will be crises and the current one FACULTY:devoted to illustrate the practical regulatorypolicy implications along with the main Xavier Freixas (UPF and Barcelona GSE), course director José García–Montalvo (UPF)empirical findings. Xavier Freixas is Professor at UPF and Barcelona GSE Research José García-Montalvo is Professor at UPF and guest professorThe course will also cover the empirical Association and chairman of Global Association of Riskquantitative techniques proposed in the THE COURSE IS ADDRESSED TO: and more than 90 publications including American Economicliterature for the measurement and prediction Review and Review of Economics and Statistics. Prof. The ideal participants for this course are Economists, of the Bank of England and joint executive director of FEDEA. Montalvo is also the director of the Center for Research on theof systemic risk. The discussion will focus on Economies of the Mediterranean (CREMed) and has been athe logic behind the various methodologies the New York Fed, the World Bank, the IADB, and MEDD.rather than technical aspects, emphasizing Central banks Member at CatalunyaBank and the leading specialist on realthe ability to provide useful early warning estate in Spain.signals. Commercial banks José–Luis Peydró (UPF and Barcelona GSE), course director Nicola Gennaioli (CREI, UPF and Barcelona GSE) Financial intermediaries Nicola Gennaioli is Senior Researcher at CREI, Professor at UPF, Fellow at IESE business school, and Barcelona GSE AffiliatedThe last part of the course will provide a and Barcelona GSE Research Professor. In 2009-2010 he wascritical summary of the prudential regulation Regulatory and supervisory agenciesinitiatives for systemic risk, highlighting the Financial services as the Federal Reserve Board, New York Fed, IMF, ECB, BIS,limitations of current microprudential policy, and Economics, Finance, Political Economy and Economicthe potential of the new macroprudential International and multilateral organisations in the Financial Stability Department of Bank of Spain, a Visitingapproach, and the costs and benefits of the Scholar in the IMF and has a leave of absence from the ECB. international journals such as Quarterly Journal of Economics, Public Institutions experience of the aes in this area. Journal of Political Economy, American Economic Review,proposed policy measures. Christian Brownlees (UPF and Barcelona GSE) Journal of Financial Economics, Review of Financial Studies, Christian Brownlees is Assistant Professor at UPF and Journal of the European Economic Association and Journal of Economic Growth. Research Fellow at NYU Stern until 2011. Prof. Brownlees has been working extensively in the field of Systemic Risk. Jaume Ventura (CREI, UPF and Barcelona GSE) COURSE DIRECTORS Jaume Ventura is a Senior Researcher at CREI, Professor at Prof. Xavier Freixas The Dodd-Frank Act and the New Architecture of Global Finance (edited by Acharya, Cooley, Richardson and Walter) director of the International Macroeconomics Program of and has been working on research projects concerning the CEPR. Prior to joining CREI and UPF, he was a tenuredCourse website: dynamic models for systemic risk measurement with Nobel laureate Robert Engle. of Chicago and INSEAD. Ventura has worked full-time for the experience of the aes in this area. World Bank, and acted as a consultant for the Inter-AmericanContact email: Development Bank. Prof. Ventura is one of the world economists on the interaction between asset bubbles and macroeconomics.