PARTICIPATION BY INVITATION ONLY!
Programme
08.30 – 09.00 Registration
09.00 – 09.05 Opening remarks by Herman van Dijk (DSF-TI)

09.05 – 10.45     Session one – Chair: Dirk Schoenmaker (DSF-TI)
Systemic Risk Diagnostics  by Bernd Schwaab (European Central Bank); Andre Lucas (DSF-TI); Siem Jan Koopman (VU University Amsterdam)
Discussant: Michael Dempster (Cambridge)
Bubbles and Crises in Open Economies by Henri Buchsteiner (Cambridge) and Kirill Zavodov (Cambridge)
Discussant: Penn-Wharton preliminary

10.45 Coffee break
 
11.00 – 12.30     Session two – Chair: Frank Diebold (Penn-Wharton)
Earnings Announcements and Risk Premia by Pavel Savor (Wharton Finance)
Discussant: Ludovic Phalippou (DSF-TI), preliminary
A Tale of Two Treasuries by Krista Schwarz (Wharton Finance)
Discussant: Alessandro Beber (DSF-TI), preliminary
12.30 – 14.00 Lunch
 
14.00 – 15.30     Session three – Chair: John Eatwell (Cambridge)
Exponential Conditional Volatility Model by Andrew Harvey (Cambridge)
Discussant: Andre Lucas or Dick van Dijk (DSF-TI)
Risk Diversification, Hedge Funds and Systemic Risk by Casper de Vries
Discussant: (Penn-Wharton) preliminary
15.30 Tea break
 
16.00 – 17.00  Panel discussion: Financial Stability: The Policy Research Agenda
Chairman Panel: Jeroen Kremers (Head of Global Country Risk, RBS Group)
Members: Dick Herring (Penn-Wharton), John Eatwell (Cambridge), Dirk Schoenmaker (DSF-TI), Sweder van Wijnbergen (DSF-TI).
17.00 Drinks
 
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Format: Once a year, a one day meeting with three sessions with 2 papers from each group that are discussed by members of the other two groups and a possible luncheon panel discussion on a policy issue. The seminar is limited in the number of participants .

Executive committee: Frank Diebold (Wharton/Penn), Herman van Dijk (DSF-TI), John Eatwell (Cambridge Finance). Dick Herring (Wharton/Penn) and Dirk Schoenmaker (DSF-TI).

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