IX International "Tor Vergata" Conference on Banking and Finance
Risk and Regulation in the Global Financial Market

Facoltà di Economia Ed. B - 2 piano - Aula Consiglio
Roma 15 - 17 Novembre 2000

PRELIMINARY PROGRAM

Wednesday, 15 November, 2000

9:00 - Opening Remarks

Capital Market Integration, Microstructure and Performance

9:20-11:00

  1. James LOTHIAN (Fordham University of New York)
    Changes in the Degree of International Financial Integration
  2. Yusif SIMAAN (Fordham University of New York)
    Daniel G. WEAVER (Baruch College of New York)
    David K. WHITCOMB (Rutgers University - New Jersey)
    The quotation behaviour of ECNs and Nasdaq market makers.
  3. Iftekhar HASAN(University of New York)
    Technology Cost and Stock Exchanges: Global Perspectives
  4. Gerald P. DWYER, Jr. (Federal Reserve Bank of Atlanta - University of Georgia)
    The Distribution of Stock Returns in New Industries.

General Discussion

11.00-11.30 Coffee Break

Credit Risk and Management I

11.30 -13.10

  1. Roman KRAUSSL (Center of Financial Studies - Frankfurt)
    Sovereign ratings and their impact on recent financial crises.
  2. Jean M. BOUROCHE (CRIF)
    Risk Managment and IRS soliutions
  3. Alessandro CARRETTA (University of Rome "Tor Vergata")
    Franco FIORDELISI (University of Rome "Tor Vergata")
    Competition and Regulation among banking and non banking credit institutions: empirical evidence for Italy
  4. Roberto VIOLI (Banca d'Italia)
    Wolfgang SCHULTE (Deutshe Bundesbank)
    Credit and Liquidity risk interactions in bond cash and futures markets: some evidence for the euro-area.

General Discussion

Parallel Session

Capital Market Performance: Global Perspective

11.30-13.10

  1. Peter L. SWAN (University of Sidney)
    Joakim WESTERHOLM (Swedish School of Economics and Business Administration)
    The impact of Transaction Costs on Turnover and Asset Prices, the cases of Sweden's and Finland's Security Transaction Tax Reductions.
  2. Tom BERGLUND (Swedish School of Economics and Business Administration)
    Mohammed A. KHAIL (Swedish School of Economics and Business Administration)
    The impact of the EMU on international portfolio investments.
  3. Christian SCHLAG (Goethe University of Frankfurt)
    Anja WODRICH (Center of Financial Studies - Frankfurt)
    Has there always been underpricing and long-run underperformance? - IPOs in Germany before world war I.
  4. Michele BAGELLA (University of Rome "Tor Vergata")
    Leonardo BECCHETTI (University of Rome "Tor Vergata")
    Fabrizio ADRIANI (University of Rome "Tor Vergata")
    Observed and "fundamental" price earnings. Is there a dragging anchor for high-tech stocks?

13.10-14.30 Lunch

Regulation and Policy Issues

14.30 - 16.00

  1. Patrick HONOHAN
    Perverse effects of a ratings-related capital adequacy System.
  2. John J. SEATER (North Carolina State University)
    Optimal bank regulation and monetary policy.
  3. Alistair MILNE (City University Business School of London)
    Bank Capital Regulation as an Incentive Mechanism: Implications for Portfolio Choice
  4. Robert E. KRAINER (University of Wisconsin-Madison)
    Banking in a theory of the business cycle: a model and critique of the Basle accord on risk based capital requirements for banks.

Parallel Session

Credit Risk and Management II

13.30 - 16.00

  1. Winnie P.H. POON
    Unsolicited credit ratings - do they reflect downward bias or selectivity bias
  2. Stefano CAIAZZA (University of Rome"TorVergata")
    The comparative performance of credit scoring models
  3. Larry D. WALL (Federal Reserve Bank of Atlanta)
    Milind M. SHRIKHANDE (Georgia Istitutute of Technology and Federal Reserve Bank of Atalanta)
    Credit Derivatives as Tools to Hadge or Insure Credit Risk
  4. Leonardo BECCHETTI (University of Rome "Tor Vergata")
    Jaime H. SIERRA (University of Rome "Tor Vergata")
    Bankruptcy risk and productive efficiency in manufacturing firms.

16.00 - 16.15 Coffee Break

Special session on money laundering

14.15 - 16.00

  1. Giuseppe MARESCA (Ministero del Tesoro)
    Legal and illegal Capital movements: issues and regulation
  2. Umberto FILOTTO (University of Rome "Tor Vergata")
    Donato MASCIANDARO (Centro "Paolo Baffi", Università Bocconi")
    Money Laundering Regulation and Bank complain Costs in a Principle Agent Approach: Theory and Italian Case.
  3. Michele BAGELLA (University of Rome "Tor Vergata")
    Leonardo BECCHETTI (University of Rome "Tor Vergata")
    Massimo LO CICERO (University of Rome "Tor Vergata")
    Money Laundering, FATF Recommendations and the rate of accomplishment in Andean Countries
  4. Luigi DONATO
    Alessandro PORTOLANO
    The dark side of regulatory arbitrage - a look at the dynamics of competition among off-shore centers.
  5. Antimo VERDE
    ……………………………………………………………………….
  6. Andrea CASTALDO
    …………………………………………………………………………

Thursday 16 November

Financial Crisis, Bank Runs and Credit Issues

9.00 - 11.00

  1. Margarita SAMARTIN (Carlos III University of Madrid)
    On the Optimality of Bank Runs.
  2. Yehning CHEN (National Taiwan University)
    Collateral, credit enhancement and the lenders' incentives to resolve financial distress.
  3. Giancarlo MARINI (University of Rome "Tor Vergata")
    G. PIERSANTI
    Fiscal deficits and currency crises
  4. Jurg BLUM (Swiss National Bank of Zurich)
    The Limits of Market Discipline in Reducing Banks'

Parallel Session

SMF Access to External Finance: Theoretical Issues and Empirical Findings.

9.00 - 11.00

  1. Peter BREUER (International Monetary Fund - Washington)
    Measuring Off-Balance Sheet Leverage.
  2. Michele MORETTO (University of Padova and Fondazione ENI Enrico Mattei)
    Roberto TAMBORINI (University of Trento)
    Liquidity, firm value, and long-term bank relationships.
  3. DOMINIK EGLI (Swiss National Bank and University of Bern)
    STEVEN ONGENA (CENTER, TILBURG UNIVERSITY)
    DAVID.C. SMITH (BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM)
    Bank Relationship as Staged Financing
  4. Luìsa. A. FARINHA (Bank of Portugal)
    João A. C. SANTOS (Federal Reserve Bank of New York)
    Switching from single to multiple bank lending relationships: determinants and implications.

11.05-11.35 Coffee Break

Risk Structure and Consolidation in Banking

11.40 - 13.30

  1. Atul GUPTA (Bentley College)
    Lalatendu MISRA (University of Texas at San Antonio)
    Ownership Structure and Gain in Financial Mergers
  2. John L. TEALL
    Shareholder Wealth, Risk-Taking and Governance in Banking
  3. S. KUMBHAKAR
    A. LOZANO
    Deregulation, Markups and Productivity in the Spanish Banking Industry.
  4. Juha TARKKA (Central Bank of Finland)
    Pricing of Transaction Services.

Parallel Session

Financial Insitutions and Markets in New Europe

11.40 -13.30

  1. Gianmatteo C. PIAZZA (Banca d'Italia)
    Il turnover dei vertici bancari: prime evidenze sulla seconda metà degli anni 90
  2. Cristiano ZAZZARO (FITD)
    Credit Ratings and European Experience
  3. Angelo BAGLIONI (Catholic University of Milan)
    R. HAMAUI (Catholic University and Banca Commerciale Italiana of Milan)
    The Choice Among Alternative Payment Systems: European Experience
  4. Marcello MESSORI (University of Rome "Tor Vergata")
    Giovanni FERRI (The World Bank - Washington and University of Bari)
    Donato MASCIANDARO (Centro "Paolo Baffi", Università Bocconi)
    Corporate governance and performance in local banks

13.10-14.10 Lunch

Regulatory Horizons I
(Special Session in collaboration with the Three Continents Conference on "Financial System in the Third Millennium: perspective and problem).

1.2. PAPERS FROM MILLENNIUM


Friday, 17 November

Financial Institutions and Merkets in New Europe

9:00-11:00

  1. Fabrizio CORICELLI
    Alex CUCKIERMANN
    Alberto DALMAZZO (University of Siena)
    Monetary institutions, monopolistic competition, unionised labour markets and economic performance
  2. Giorgio DI GIORGIO (University of Rome "La Sapienza ")
    Carmine DI NOIA (CONSOB, Market Division - Rome)
    Laura PIATTI ( Reale Mutua Assicurazioni, Life Insurance and Pension Funds Dept. - Turin)
    Financial Market Regulation: The Case of Italy and Proposal for the Euro Area
  3. Andrea BRASILI (Banca Intesa)
    Bruno SITZIA ( University of Milan "Bocconi")
    Risk related non linearities in exchange rates: the case of the 5 CEEC
  4. Angelo PORTA (University "Bocconi" of Milan)
    ……………………………………………………………………………
  5. Clas WIHLBORG
    ……………………………………………………………………………

Parallel Session

Financial market securities

9:00-11:00

  1. Robert J. WALDMAN (University of Rome "Tor Vergata")
    Dollar denominated debt and the value of collateral.
  2. Paolo ZAFFARONI (Banca d'Italia)
    Estimation of inflation risk premia for fixed income securities
  3. André DORSMAN (University Nyenrode - Free University Amsterdam)
    The options exchange in 1998: A wrong approach to a crisis.
  4. Emilio BARUCCI (University of Pisa)
    Roberto RENÒ (Scuola Normale Superiore of Pisa and INFM of Palermo)
    A Note on Volatilty Estimate- Forecast with Garch models.

11.05-11.35 Coffee Break

Moral hazard, financial fragility and growth

11.35 - 13.30

  1. Fabrizio MATTESINI (University of Rome "Tor Vergata")
    Moral hazard , ciclo economico overlapping generations
  2. Marco LOSSANI (Catholic University of Milan)
    P. TIRELLI (University of Milan "Bicocca")
    Financial Instability in the transition economies: Lessons from EAST (Asia) for EAST (Europe).
  3. Mariassunta GIANNETTI (SITE - Stockholm School of Economics)
    Do Better Institutions Mitigate Agency Problems: Evidence from Corporate Finance Choices.
  4. Bruno AMABLE (University of Lille II)
    Jean B. CHATELAIN (Bank of France)
    Olivier DE BANDT (Bank of France)
    Optimal Capacity in the Banking Sector and Economic Growth.

Parallel Session

Financial markets in emerging economies

11.35 - 13. 30

  1. Domenica TROPEANO ( University of Macerata)
    Business Sector Debt, Capital Markets Expansion and Liberalization in South Korea: Evidence From National Accounts Data
  2. Silvia MARCHESI (University of Warwick)
    Adoption of an IMF Programme and Debt Rescheduling. An empirical analysis.
  3. Graham BIRD (University of Surrey)
    Ramkishen S. RAJAN (University of Adelaide)
    Resolving the interest rate premium puzzle: capital inflows and bank intermediation in emerging economies
  4. Marcella MULINO (UNIVERSITY OF L'AQUILA)
    Determinants of Capital Flight from Russia

13.30 -14.30 Lunch

  1. Yakob Amihud and Kose John of NYU
  2. Spiros BOUGHEAS (University of Nottingham)
    Internal vs External Financing of R&D.
  3. Roberto ARIOSTO (Politecnico di Milano)
    Giancarlo GIUDICI (University of Bergamo)
    Stefano PAEARI (Politecnico di Milano)
    What Drives the Initial Market Performance of Italian IPOs? An Empirical Investigation on Underpricing and Price Support.
  4. Nidal. R. SABRI (Birzeit University - Palestine)
    Introducing cross listings of stocks among Euro-Arab (mediterranean) markets.
  5. Fatma W. BEN M'RAD (University IX Dauphine of Paris)
    Financial Development and Economic Growth: Time-Series Evidence from South Mediterranean Countries.