Indices of Riskiness: Management and Regulatory Implications
November 14, 2013 – November 15, 2013
Federal Reserve Bank of Atlanta
The Center for Financial Innovation and Stability (Federal Reserve Bank of Atlanta) and the Center for the Economic Analysis of Risk (Georgia State University), together with Department of Banking and Finance (University of Zurich) are organizing the conference “Indices of Riskiness: Management and Regulatory Implications”, to be held at the Federal Reserve Bank of Atlanta on the 14th and 15th of November 2013.
The aim of the conference is to bring together mathematicians, economists, statisticians, banking professionals and regulators in order to discuss the development and application of financial risk measures for regulatory and managerial purposes. The problem faced by supervisors and managers is not merely one of identifying the model that minimizes forecast errors. Those whose risk would be constrained by these models have an incentive to exploit model flaws to minimize the shadow costs of the constraints. Moreover, these regulatees and subordinates will almost always have superior insight into the true return distributions of different portfolio positions. This conference will consider how to constrain risk taking, especially in an environment subject to such gaming of the model.Conference Website