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SUMMER SCHOOL ON A COMPARATIVE OF AMERICAN AND EUROPEAN FINANCIAL REGULATION

Friday 02 September 2016

SUMMER SCHOOL A COMPARATIVE OF AMERICAN AND EUROPEAN FINANCIAL REGULATION

New York City September 7, 8 and 9, 2016

Organizing Committee

  • Prof. Raphael Douady (Chair,  Professor at Stony Brook Univ. ,Academic Director of Labex ReFi)
  • François-Gilles Le Theule (Executive  Director of Labex ReFi; Professor at  ESCP-Europe)
  • Michel Perez (Labex ReFi, President. MAPI LLC)
  • Gérard Hertig (Labex ReFi, Chairman of the International Advisory Board)
  • Marco Dell’Erba (LabEx Refi)

 

Tuesday, September the 6th Paramount Hotel, Time Square

4:30 pm             Arrival of Labex team (20 members plus family) at JFK from Paris in the afternoon Transfer from JFK airport to Paramount hotel and check-in

7:30 pm             Dinner, welcome remarks Georges Ugeux, CEO & Founder Galileo Advisors, Columbia University, former EVP of NYSE Overview of the (New) American and International Financial System

 

Wednesday, September the 7th

Session I: The Financial System and Global Governance

Stony Brook Manhattan

Chair: Pierre-Charles Pradier

8:15 am             Registration

8:30 am             Raphael Douady (Professor of Quantitative Finance SUNY, Scientific Director Labex ReFi) & Christian de Boissieu (Professor of Economics, Paris I Panthéon-Sorbonne University, President of the Scientific Committee Labex ReFi, AMF)

 Welcome Remarks

9:00 am             François-Gilles Le Theule (Executive Director, Labex ReFi) & Jonathan Halpern (Partner, Foley & Lardner LLP)

Decision Making Processes in Reforming Financial Regulations

9:50 am            Chip Poncy (Former US Department of Treasury)

US Financial Regulations and their international reach

10:40 am           Coffee Break

10:50 am           Fred Marcusa (Senior Partner, Kaye Scholer)

                          The Impact of US Elections on Financial Regulation

                         

11:50 am           Christian de Boissieu (Professor of Economics, Paris Sorbonne University, President of the Scientific Committee, Labex Refi,  Director of AMF)

The Unification of European Financial Markets and its Consequences

1:00 pm             Lunch

 

Session II: Basel III and Prudential Rules

Foley & Lardner 90 Park Av. New York NY 10016

Chair: Raphael Douady

2:15 pm             Jean-François Serval (Founder, Constantin & Associates)

Goals and effectiveness in a competitive worldwide financial environment

3:05 pm             Frédéric Siboulet (Managing Director, Deloitte)

                          Regulatory capital and Risk reporting

3:55 pm             Coffee Break

4:10 pm             Nicolas Dorgeret (European Parliament, ECON Committee)

The European agenda of the post-trading regulation: the entry into force of the bilateral margins for non-centrally cleared OTC derivatives

5:00 pm             Pierre-Charles Pradier (Professor of Economics, Paris I Panthéon-Sorbonne University,

LabEx ReFi)

Insurance Regulation: an EU/US Comparison

                         

5:50 pm             Cocktail Reception

Thursday, September the 8th

Session III: Supervision and Enforcement

Stony Brook Manhattan

Chair: Gerard Hertig

8:30 am             Alain Pietrancosta (Professor of Law, Paris I Panthéon-Sorbonne University, Labex Refi, European Banking Institute) & Robert Stern (Partner, Orrick LLP)

Insider Trading in Europe and in the United States

 

9:30 am             Michel Perez (President MAPI LLC, Consultant, PhD candidate, LabEx ReFi)

The American Deferred Prosecution Agreement (DPA) Procedure and its European Avatars

10:20 am           Coffee Break

10: 30 am          John P. Drohan III (Partner, Drohan Lee LLP, President ACI-FMA)
SEC New Rules & Perspectives

11:20 am           Jonathan Halpern (Partner, Foley & Lardner LLP)

                          The US Department of Justice: Enforcement Powers and Actions

12.10 am           Marco Dell’Erba (Post-Doctoral Fellow, Labex ReFi)

Distressed banks and short selling in Europe and the US

1:00 pm             Lunch

                          Session IV: Capital Markets and Supervision

                          Stony Brook Manhattan

Chair: Christian de Boissieu

1:50 pm             Federal Reserve Bank of New York

Market Interventions and Supervision

2:30 pm             Anastasia Sotiropoulou (Professor of Law, Saint-Étienne University)

Bank resolution: the European approach

 

3:20 pm             Coffee Break

 

3:30 pm             Nasser Saber, author of the book “Speculative Capital”

Derivatives & Swaps, Regulations and Practices

5:00 pm             Special Tour of 9/11 Memorial and Freedom Tower (TBC)

7:30 pm             Dinner for speakers and friends at Fraunces Tavern

Friday, September the 9th

 

Session V: Capital Markets & Supervision

Stony Brook Manhattan

Chair: Anastasia Sotiropoulou

 

8:30 am             Carole Basri (Adjunct Professor, Fordham Law)
Corporate Compliance

9:20 am             Marie-Anne Barbat-Layani (General Manager of the French Banking Association)

Global Banking and Local Regulations

 

10:10 am           Edouard-François de Lencquesaing (Chariman, European Institute of Financial Regulation, Labex ReFi)

                          The French contribution to the European CMU and US compatibilies

 

11:00 am           Coffee Break

Session VI: Accounting Principles & Norms

Stony Brook Manhattan

Chair: Irina Veryzhenko

 

11:20 am           Shyam Sunder (James L. Franks Professor of Economics, Accounting & Finance -Yale School of Management)

What is better financial reporting and how do we get there?

 

12:10 am           Jonathan Glover (James L. Dohr Professor of Accounting, Graduate School of Business - Columbia University)

Financial Engineering and the Arms Race Between Accounting Standard Setters and Preparers

1:00 pm             Lunch

Session VII: International Cooperation or Confrontation?

Stony Brook Manhattan

Chair: Alain Pietrancosta

2:10 pm             TBD

3:00 pm             Gerard Hertig (Professor of Law, ETH Zurich)

                          Tax Havens, Modern Banking and Information Exchanges

                         

3:50 pm             Coffee Break

 

4:00 pm             Elizabeth McCaul (Partner in Charge, Promontory)

What Do Regulators and Regulated Entities Expect in Practice?

4:50 pm             Round Table and Conclusions

François-Gilles Le Theule, Marie-Anne Barbat-Layani, John Drohan, Gerard Hertig, Elizabeth McCaul

Lessons Learned and to be Learned

  

***

5:45 pm             Buffet reception at the French Consulate of New York

                          Welcome address by H.E. Anne-Claire Legendre, Consul General of France in New York

8:00 pm             Transfer by chartered bus to Stony Brook, Long Island; check in at hotel.

 

 

CONFERENCE PROGRAMME

QUANTITATIVES METHODES APPLIED FOR FINANCIAL REGULATION

Stony Brook

September 10 and 11, 2016

 

Academic contribution related to Financial Regulation presented by professionals, academics and students.

Target: 40 attendants per session.

 

Organizing Committee

 

  • Prof. Raphael Douady (chair prof. Stony Brook Univ., Labex ReFi academic director)
  • François-Gilles Le Theule (Labex ReFi executive director, ESCP-Europe)
  • Fahmi Ben Abdelkader (LabEx ReFi)
  • Antoine Kornprobst (LabEx ReFi)
  • Eloge Miedi (LabEx Refi)
  • Shohruh Miryusupov (LabEx ReFi)

 

Saturday, September the 10th 

Stony Brook University, Stony Brook

8:00 am             Raphael Douady (Professor of Quantitative Finance SUNY, Scientific Director Labex ReFi)

                          Welcome & Registration

9:30 am             Gael Giraud (Paris I Panthéon-Sorbonne University, LabEx ReFi)

                          Plenary address #1

10:30 am           Parallel sessions: 45min each

Session I: CVA and Risk Models
Room:
Chair: TBA

  1. Shohruh Mirysupov (Paris I Panthéon-Sorbonne University, LabEx ReFi)
  2. Aaron Kim (Stony Brook University)

Fractional Levy Process and Option Pricing

  1. Stoyan Stoyanov (Stony Brook University)

Moment based coherent approximations of tail risk measures

 

Session II: Crisis Anticipation
Room:
Chair: TBA

  1. Matheus Grasselli (McMaster University)

Understanding Financial Crises - a statistical perspective 

  1. Youngna Choi (Montclair State University)

Tracking Financial Instability Contagion: from Bubbles to Crises

  1. Antoine Kornprobst (Paris I Panthéon-Sorbonne University, LabEx ReFi)

Winning Active Trading Strategies Based on Financial Crisis Indicators

Session III: TBA
Room:
Chair: TBA

  1. Gael Giraud (Paris I Panthéon-Sorbonne University, LabEx ReFi)

Can debt and global warming lead to a collapse? A stock-flow consistent approach

  1. Stephane Thomas (Paris I Panthéon-Sorbonne University, LabEx ReFi)

Trading Book and Credit Risk: Bending the Binds?

  1. Salim Dehmej (LabEx Refi)

Macroprudential Policy in a Monetary Union

Session IV: TBA
Room:
Chair: TBA

  1. ThierryBollier (J.P. Morgan)

Economic Capital Buffers

  1. William Ziemba (Sauder School of Business, University of British Columbia)

Predicting stock markets crashes

  1. Stephanie Ligot (Paris I Panthéon-Sorbonne University)

The challenges and implications of the Markets in Financial Instruments

Directive (MiFID) and of its revision (MiFID II, MiFIR) on the efficiency of

financial markets

 

 

1:00 pm             Lunch on premises

2:00 pm             Parallel sessions: 1 hour each

Session I: Risk Models
Room:
Chair: TBA

  1. Guillaume Gimonet (Independent Consultant)

Methods for Quantitative Trading Risk.

  1. Zari Rachev (Stony Brook University)
  2. Dominique Guégan (Emeritus Professor, University Paris1 Panthéon -Sorbonne, LabEx ReFi and Centre d'Economie de la Sobonne)

Financial Regulation: More Accurate Measurements for Control Enhancements and the Capture of the Intrinsic Uncertainty of the VaR

Session II: Margining
Room:
Chair: TBA

  1. Yann Coatanlem (Citigroup)

Mandatory Margining Modeling Tradeoffs

  1. Rostislav Protassov (Independent Consultant)

Practical Considerations in Calculating Margin

  1. Yukio Muromachi (Paris I Panthéon-Sorbonne University, LabEx Refi, Tokyo Metropolitan University)

Margin Valuation Adjustments Made Simpler

Session III: Risk Models
Room:
Chair: TBA

  1. Adil Addulali (Protege Partners)

The Bias Ratio: Measuring the Shape of Fraud

  1. Rama Cont (Imperial College)
  2. Angela Armakola (Paris I Panthéon-Sorbonne University, LabEx ReFi)

CCPs in distress: How to monitor and assess systemic risk?

Session IV:TBA
Room:
Chair: TBA

  1. Raphael Douady (Paris I Panthéon-Sorbonne University LabEx ReFi)

Anti-cyclical Capital Adequacy

  1. Marian Gidea (Yeshiva University)

Critical Transitions in Finance

  1. Cathy Wang (Federal Reserve Bank of  New York)

 

5:00 pm             Cocktail

7:00 pm             Gala Dinner at Hilton, networking between Stony Brook and LabEx ReFi members

 

Sunday, September the 11th 

Stony Brook University

 

8:45 am             TBA Commemoration of the September 11 attacks

9:00 am             Dilip Madan (University of Maryland)

                          Plenary address #2

10:00 am           Parallel sessions: 1 hour each

Session I: XVA
Room:
Chair: TBA

  1. Claudio Albanese (Global Valuation)

Regression sensitivities for VaR calculations in SIMM and FRTB

  1. Harvey Stein (Bloomberg)

Fixing Risk Neutral Risk Measures

  1. Eugene Neduv (Financial Network Analytics)

Correlation Networks and Market Dynamics

 

Session II: Systemic Risk
Room:
Chair: TBA

  1. Ricardo Perez-Marco (CNRS, Institut de Mathématiques de Jussieu, Paris, LabEx ReFi)

What is a blockchain ?

  1. Olivier Frankel (International Swaps and Derivatives Association)
  2. Thanos Vassiliakis

 

Session III: TBA
Room:
Chair: TBA

  1. Alexis Collomb (Conservatoire National des Arts et Métiers)
  2. Minh Trinh
  3. Brian Clark (Office of the Comptroller of the Currency U.S. Department of the Treasury)

 

Session IV: TBA
Room:
Chair: TBA

  1. Alla Gill  
  2. Sebastian Jaimungal
  3. Yuri Katz

 

 

1:00 pm             Lunch on premises

2:00 pm             Parallel sessions: 1 hour each

Session I: Credit and Counterparty Risk
Room:
Chair: TBA

  1. Richard Neuberg (Columbia University)

The Market Implied Probability of Government Intervention

  1. Harry Mendell (Mendell Technology)

Quantifying Behavior

  1. Alexander Melnikov (University of Alberta)

Conditional Value at Risk: hedging, estimation and related applications

 

Session II: Systemic Risk
Room:
Chair: TBA

  1. Peter Carr (New York University Tandon School of Engineering)
  2. Mark Syrkin (Federal Reserve Bank of New York)
  3. Bruno Dupire (Bloomberg)

 

Session III: Systemic Risk
Room:
Chair: TBA

  1. Stephane Crepey (University Evry Val d’Essonne)
  2. Marco Avellaneda (New York University Courant Institute of Mathematical Sciences)

On the perils of monetary intervention using currency derivatives: a case study of the Argentine Central Bank in 2015.

  1. Pavel Tsankov

Detecting Financial Fraud by Machine Learning

 

Session IV: TBA
Room:
Chair: TBA

  1. Jim Glimm (Stony Brook University)

Risk Management in High Frequency Trading

  

5:00 pm             Round table
Stathis Tompaidis (Office of Financial Research), Dilip Madan (University of Maryland), Matheus Grasselli (MacMaster University), Dominique Guegan (University Paris 1 – LabEx ReFi)
Systemic Risk and Dynamic Instabilities

6:00 pm             Cocktail

7:30 pm             Transfer to JFK airport or Manhattan