Liquidité et interdépendances dans les systèmes d'échange Paris, 9 et 10 juin 2008

Conference agenda 

Actes de la conférence

Monday 9 June 2008
From 08:30Registration and coffee
09.00 - 09.15Opening Remarks by Gertrude Tumpel-Gugerell (ECB, Executive Board Member)
09.15 - 10.30Theme 1: Liquidity risk and liquidity management in global transfer systems

Chair: Yvon Lucas (Banque de France, Head of the Payment Systems and Market Infrastructures Department)

Dirk Schrade (Deutsche Bundesbank) slides
"Innovations in wholesale payment systems"

Frédéric Hervo, (Banque de France)   paper    slides
"Recent developments in intraday liquidity in payment and settlement systems"

Esmond Lee, (Hong Kong Monetary Authority)   paper    slides
"Liquidity and risk management in the RTGS system - the Hong Kong experience"
10.15 - 10.30Coffee break
10.30 - 12.45Theme 2: Collateralisation of central banks operations Chair: Daniela Russo(ECB, Deputy Director General, Payments and Market Infrastructure)

Mark Manning (Reserve Bank of Australia) and Matthew Willison, (Bank of England)   paper   slides
"Modelling the cross-border use of collateral in payment systems"

Jens Tapking (ECB) and Christian Ewerhar, (IEW, Zurich)   paper    slides
"Repo markets, Counterparty risk, and the 2007/2008 liquidity crisis"

Morten Bech (Federal Reserve Bank of New York)   paper   slides
Intraday Liquidity management: a tale of games banks play"

Discussant: Anne Wetherilt (Bank of England)  slides 

12.00 - 12.45Panel session: Collateral management: recent trends and developments
Chair: Daniela Russo (ECB, Deputy Director General, Payments and Market Infrastructure) slides 
Godfried De Vidts (ICAP, Director of European Affairs, and European Repo Council)
John Burke (LCH.Clearnet, Director, Fixed Income)
John Trundle (Euroclear group, Head of Risk Management


12.45 - 14.00Lunch
14.00 - 15.45Theme 3: Provision of liquidity by the central banks in times of liquidity crisis
Chair: Sylvie Matherat (Banque de France, Head of the Financial Stability Department)
Stephan Sauer (ECB) paper     slides
"Liquidity risk and monetary policy"
Pr Gerhard Illing and Jin Cao (University of Munich)  paper   slides
"Liquidity shortages and monetary policy"

Enisse Kharroubi and Edouard Vidon (Banque de France)  paper   slides
"Increasing returns in Interbank Liquidity markets"
Discussant: Nuno Cassola (ECB)  slides 
15.30 - 15.45Coffee break
15.45 - 17.30Theme 4: Modelling payment systems as a risk assessment tool

Chair: Jeff Stehm (Associate Director, Board of Governors of the Federal Reserve System)
Martina Glaser and Philipp Haene (Swiss National Bank)  paper   slides
"Liquidity effects of a participant-level operational disruption in SIC"

Ouarda Merrouche and Jochen Schanz (Bank of England)  paper   slides
"Banks' Intraday Liquidity Management during Operational Outages: Theory and Evidence from the UK Payment System"
Fabien Renault (Banque de France), Walter Beyeler (Sandia National Laboratories), Kimmo Soramäki (Helsinki University of Technology), Morten Bech (Federal Reserve Bank of New York)  and Robert Glass (Sandia National Laboratories)   paper   slides
"Performance and resilience to liquidity disruptions in interdependent RTGS payment systems"

David Mills and Samia Husain (Board of Governors of the Federal Reserve System)  paper   slides
"Interlinkages between payment and securities settlement systems"

Discussants: Johannes Lindner (ECB)  slides  and Douglas Conover (BIS)   slides 
17.30Close of day 1
19.30Dinner at the Aéro-Club of Paris

6, rue Galilée, 16th arrondissement
Tuesday 10 June 2008
09.00 - 10.15Theme 5: The increasing importance of system interdependencies

Chair: Denis Beau (Bank for International Settlements, Head of Secretariat of the CPSS)   slides 
Alain Raes (SWIFT, Head of the Europe, Middle East and Africa Region)   slides 
Gerard Hartsink (ABN AMRO, Senior Executive Vice President, and CLS Bank, Chair)   slides 
Marshall Millsap (JP Morgan Chase, Senior Vice President for Global Industry Issues)   slides 
Chairman's concluding remarks on system interdependencies
10.00 - 10.15Coffee break
10.15 - 11.15Theme 6: Interoperability or Integration: interdependencies in the EU and elsewhere

Chair: Daniela Russo (ECB, Deputy Director General, Payments and Market Infrastructure)
Alain Pochet (BPSS, Head of the Banking Operations for the Securities Division)   slides 
Diana Chan (EuroCCP, Chief Executive Officer)
Judith Hardt (FESE, Secretary General)   slides 
Kostantinos Tomaras (European Commission, Financial Market Infrastructure Unit)
11.15 - 12.30Theme 7: High-level panel session: which strategies should be adopted by the Central Banks and other public authorities to prevent liquidity crises?

Chair: Jean-Pierre Landau (Banque de France, Deputy Governor)
Charles Kahn (University of Illinois, Professor)
Claudio Borio (Head of Research and Policy Analysis at the BIS)    notes 
Franco Passacantando (Banca d'Italia, Managing Director)
James McAndrews (Federal Reserve Bank of New York, Senior Vice President)    slides
12.30Close of conference and lunch

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