Federal Reserve

Risk Economics Participated in the Federal Reserve Day Ahead Conference on Financial Markets and Institutions

Risk Economics participated in the annual invitation-only event Federal Reserve Day Ahead Conference on Financial Markets and Institutions. David K.A. Mordecai served as the discussant for Stock or Options: Risk Choices or Compensation Design, by Mark Carey and Bo Sun, both of the Federal Reserve Board. Samantha Kappagoda also attended the conference. The event was held on January 6, 2011 and hosted at the Denver office of the Federal Reserve Bank of Kansas City.

The Federal Reserve System employs a large number of economists whose primary research interests relate to financial markets and financial institutions. The goals of the “Day Ahead” conference series are twofold: the presentation of papers by financial economists within the Federal Reserve System, and building ties with economists outside the System. The organizers view this conference as a mechanism to establish a stronger community of financial economists.

David K.A. Mordecai Presented at the Federal Reserve Bank of Atlanta Annual Financial Markets Conference

David K.A. Mordecai participated in the Federal Reserve Bank of Atlanta’s Annual Financial Markets Conference, entitled Credit Derivatives: Where’s the Risk? The event was held on May 14-16, 2007 in Sea Island, GA. Samantha Kappagoda also attended the conference.

David Mordecai was a discussant for the paper Credit Derivatives and Risk Management by Michael S. Gibson, of the Division of Research and Statistics, of the Federal Reserve System Board of Governors. The session was moderated by Frederic S. Mishkin, Member, Board of Governors of the Federal Reserve System, and the other discussant was John G. Macfarlane III, Chief Operating Officer, Tudor Investment Corporation.

This invitation-only conference discussed how the market for credit derivatives continues to expand and evolve, the many questions arise regarding the impact of these instruments on global financial markets such as how do credit derivatives affect the allocation and transmission of risk across the broader financial market?

This annual conference brought together academics, practitioners, regulators, and policymakers to analyze and assess the various types of risks — model, operational, and systemic — that may be involved in credit derivatives. This unique format integrated the perspectives of banks, hedge funds and other market participants, corporations, and supervisors of financial institutions and markets with the broader financial stability concerns of central banks and government agencies.

David K.A. Mordecai Participated in the Federal Reserve Bank of Richmond 2007 Credit Markets Symposium

David K.A. Mordecai was invited to participate in the Federal Reserve Bank of Richmond 2007 Credit Markets Symposium. David Mordecai joined a panel discussing Liquidity Risk in Credit Markets. The panel was moderated by Jeffrey Lacker, President of the Federal Reserve Bank of Richmond, and the other panelists were Jaime Caruana, International Monetary Fund (IMF) and Samuel Cole, Blue Mountain Capital Management. The symposium was held on March 23, 2007 at the Richmond, VA office of the Federal Reserve Bank of Richmond.

The symposium began with a market overview by two leading rating agencies on the credit derivatives and leveraged loan markets. A keynote speech by Governor Randall Kroszner discussed recent innovations and developments in the credit markets, which led into the first session about the economic impact of innovations in the credit markets. A panel of market participants discussed the effectiveness of credit risk markets in allocating risk. Another panel considered liquidity risk in the credit markets, which provided a segway into private-sector responses to potential market disruptions. The Federal Reserve Bank of New York President Timothy Geithner provided a closing keynote address including a compelling dialogue about the implications of recent credit markets innovations with Federal Reserve Bank of Richmond President Jeffrey Lacker.

The symposium was particularly timely considering recent events in the credit markets including the explosion of the leveraged loan market, and sub-prime mortgage market events. The discussions covered financial innovations including credit derivatives, the leveraged loan market, credit swaps, collateralized debt obligations, securitizations, structured credit products and contract structure; investment and risk management including loan hedging in a fair value option framework, credit risk management, credit portfolio management, sourcing and mitigation credit risk, bank balance sheet management, investment management; market structure, liquidity risk, and potential responses to market disruptions.

David K.A. Mordecai Spoke at the Federal Reserve Bank of Atlanta/IAFE Modern Financial Institutions, Financial Markets, and Systemic Risk Conference

David K.A. Mordecai was a discussant at the Federal Reserve Bank of Atlanta/IAFE Modern Financial Institutions, Financial Markets, and Systemic Risk Conference. David K.A. Mordecai was a discussant on Models of Financial System Risk and also provided opening remarks for a session on Models of Strategic Liquidity Provision. The conference took place on April 17-18, 2006 at the Federal Reserve Bank of Atlanta in Atlanta, GA.

In addition to David Mordecai, the other speakers included representatives from the Federal Reserve Bank of Atlanta, Federal Reserve Board of Governors, Bank of England and various academic institutions including Massachusetts Institute of Technology (MIT), Northwestern University, Carnegie-Mellon University, Princeton University, New York University (NYU) and London School of Economics.

The Federal Reserve Bank of Atlanta is part of the central bank of the United States. The Federal Reserve System consists of twelve Reserve Banks located around the country and the Board of Governors in Washington, D.C. The Atlanta Fed territory covers the Sixth Federal Reserve District, which includes Alabama, Florida, and Georgia, and portions of Louisiana, Mississippi, and Tennessee.

David K.A. Mordecai Presented at the Federal Reserve Bank of New York Liquidity Conference

David K.A. Mordecai presented Asset Prices and Liquidity in an Exchange Economy, a Practitioner’s View at the Liquidity Conference sponsored jointly by the Federal Reserve Bank of New York and the Bendheim Center for Finance, Princeton University. The conference took place on October 6-7, 2005 at the Federal Reserve Bank of New York in New York City. This conference aimed to bridge the gap between different liquidity concepts and to stimulate an exchange among researchers working on different aspects of liquidity. To highlight the practical relevance of the papers that were presented, a practitioner or regulator as well as an academic served as discussant for each paper.

The other panel participants were Ricardo Lagos, Federal Reserve Bank of Minneapolis and New York University, and Nobuhiro Kiyotaki, London School of Economics.

Dr. Mordecai is President and Co-Founder of Risk Economics, a New York City based advisory firm. Risk Economics specializes in the application of computational economics to the proprietary development and scalable implementation of robust modeling and data analytic frameworks for valuation, strategic and systemic risk analysis, and dynamic asset-liability management.

Risk Economics, Inc.

Federal Reserve