June 21, 2024

Thematic Program on Quantitative Finance:
Foundations and Applications January - June, 2010

May 17-18, 2010
Industrial-Academic Forum on Systemic Stability and Liquidity
222 College Street, Toronto (map)

Organizers: M. Gordy and M. Reesor
Supported by

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This forum will gather together academics, practitioners and regulators interested in systemic risk and liquidity. Over this two-day event, a series of ten talks by well-known
academics presenting their latest research is planned. The afternoon of May 17 will feature a panel discussion on "Taming the Beast: Reforming our Financial System to Address Systemic Risk" with panelists drawn from investment banking, risk management systems consulting, and regulatory institutions. After statements from panelists, we anticipate lively audience participation and intra-panel debate.

Invited Speakers (talk titles and abstracts)

Viral Acharya (NYU Stern)
Rama Cont (Columbia University IEOR)
Jon Danielsson (London School of Economics)
Erkko Etula (Federal Reserve Bank of New York)
Kay Giesecke (Stanford MSE)

Itay Goldstein (Wharton)
Jennifer Huang (University of Texas at Austin)
Frank Milne (Queen's University)
Wei Xiong (Princeton University)
Hao Zhou (Federal Reserve Board)

Tentative Forum Schedule

Monday May 17
8:50 - 9:00 Welcome and Introduction
Fields Director Ed Bierstone & Organizers
9:00 - 9:50 Wei Xiong (Princeton)
Heterogeneous Beliefs and Short-term Credit Booms
9:50 - 10:40 Jennifer Huang (University of Texas at Austin)
Optimal Liquidity Policy
10:40 - 11:00 Coffee Break
11:00 - 11:50 Rama Cont (Columbia)
Measuring Contagion and Systemic Risk
11:50 - 1:30 Lunch Break
1:30 - 2:20 Hao Zhou (Federal Reserve Board)
Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis
2:20 - 3:10 Kay Giesecke (Stanford MSE)
Systemic Risk: What Defaults Are Telling Us
3:10 - 3:30 Coffee Break
3:30 - 5:00 Panel Discussion
Aaron Brown (AQR Capital Management)
Michael Gordy (Federal Reserve Board)
Joseph Langsam (Morgan Stanley)
David Rowe (SunGard Data Systems Inc.)
5:00 - 5:45 Reception - cash bar
Fields Atrium
Tuesday May 18
9:00 - 9:50 Frank Milne (Queens)
General Approaches for Modelling Liquidity Effects in Asset Markets and their Application to Risk Management Systems
9:50 - 10:40 Viral Acharya (NYU)
Measuring Systemic Risk
10:40 - 11:00 Coffee Break
11:00 - 11:50 Itay Goldstein (Wharton)
Self-Fulfilling Credit Market Freezes
11:50 - 1:30 Lunch Break
1:30 - 2:20 Jon Danielsson (London School of Economics)
Risk Appetite and Endogenous Risk
2:20 - 3:10 Erkko Etula (Federal Reserve Bank of New York)
Risk Appetite and Exchange Rates
  Coffee Break



Confirmed Participants

Full Name University/Affiliation
Acharya, Viral Leonard N. Stern School of Business
Barseghyan, Hayk TD Bank Financial Group
Brown, Aaron AQR Capital Management
Chan, Paul TD Securities
Cont, Rama Columbia University
Danielsson, Jon The London School of Economics and Political Science
de Prisco, Ben Algorithmics
Etula, Erkko Federal Reserve Bank of New York
Fahim, Arash Ecole Polytechnique
Gagne, Steph TD Bank Financial Group
Gapeev, Pavel London School of Economics
Giesecke, Kay Stanford University
Goldstein, Itay The Wharton School, University of Pennsylvania
Gordy, Michael US Federal Reserve Board
Grasselli, Matheus McMaster University
Guo, Weiwei University of Toronto
Haghani, Shermineh York University
Halaj, Grzegorz ALM in Bank Pekao (UniCredit Group)
Huang, Jennifer University of Texas at Austin
Huang, Lijuan BMO
Hurd, Tom McMaster University
Ismail, Omneia McMaster University
Jackson, Ken University of Toronto
Langsam, Joseph Morgan Stanley
Liu, Xuezhi University of Western Ontario
Lowery, Craig TD Bank Financial Group
Lu, Yun TD Bank Financial Group
Marshall, James University of Western Ontario
Mendis, Jiva Algorithmics Incorporated
Metzler, Adam University of Western Ontario
Milne, Frank Queen's University
Minca, Andreea Paris 6 University
Peng, Xianhua Fields Institute and York University
Reesor, Mark University of Western Ontario
Reynolds, Diane Algorithmics
Rowe, David SunGard
Salisbury, Thomas York University
Samavi, Samaneh University of Western Ontario
Saunders, David University of Waterloo
Silla, Sebastiano Polytechnic University of Marche
Skoczylas, Voytek TD Bank Financial Group
Touzi, Nizar Ecole Polytechnique
Walton, Adrian University of Western Ontario
Xiong, Wei Princeton University
Zerbs, Michael Algorithmics Inc.
Zhou, Hao The Federal Reserve Board
Zhou, Zhuowei McMaster University


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