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Quantifying the "Too Big to Fail" Subsidy Workshop

November 18–19, 2013
Federal Reserve Bank of Minneapolis

Quantifying the "Too Big to Fail" Subsidy Workshop
Monday, November 18
12:30 p.m.

Welcome and Conference Overview
Ron Feldman, EVP Supervision, Regulation and Credit and Senior Policy Advisor
Federal Reserve Bank of Minneapolis
12:40-1:45 p.m.

Keynote Address: Darrell Duffie [Presentation]
Dean Witter Distinguished Professor of Finance
Stanford University Graduate School of Business
1:45-2:15 p.m.

Session 1: Quantifying the TBTF Subsidy via Credit Rating Uplift [Presentation]
Quantifying Structural Subsidy Values for Systemically Important Financial Institutions
Kenichi Ueda, International Monetary Fund

2:15-2:35 p.m.

2:35-2:55 p.m.

2:55-3:15 p.m.

Discussant 1: Philip Strahan, Boston College [Presentation]
Discussant 2: Michael Foley, Moody’s Investors Service [Presentation]
Q & A
3:15-3:30 p.m.

Break
3:30-4:00 p.m.

Session 2: Quantifying the TBTF Subsidy via Structural/Option Pricing Models [Presentation]
The Value of Implicit Guarantees
Zoe Tsesmelidakis, University of Oxford
Oxford-Man Institute of Quantitative Finance

4:00-4:20 p.m.


4:20-4:40 p.m.

4:40-5:00 p.m.

Discussant 1: Robert McDonald, Kellogg School of Management, Northwestern University [Presentation]
Discussant 2: Joseph Noss, Bank of England [Presentation]
Q & A
5:00-5:45 p.m.

Reception
5:45-7:45 p.m.

Dinner and President’s Remarks:
Too Big to Fail: The Role of Metrics
Narayana Kocherlakota, President
Federal Reserve Bank of Minneapolis

Tuesday, November 19
7:45-8:15 a.m.

Continental Breakfast
8:15-8:30 a.m.

Overview of Day 2
Ron Feldman, Federal Reserve Bank of Minneapolis
8:30-9:00 a.m.

Session 3a: Quantifying the TBTF Subsidy via Price Regressions [Presentation]
The End of Market Discipline? Investor Expectations of Implicit State Guarantees
Deniz Anginer, World Bank and Virginia Tech

9:00-9:20 a.m.

9:20-9:40 a.m.
9:40-10:00 a.m.

Discussant 1: Andrew Atkeson, UCLA [Presentation]
Discussant 2: Bryan Kelly, University of Chicago
Q & A
10:00-10:15 a.m.

Break
10:15-10:45 a.m.

Session 3b: Quantifying the TBTF Subsidy via Price Regressions [Presentation]
Deposit Rate Advantages at the Largest Banks
Stefan Jacewitz, Federal Deposit Insurance Corporation

10:45-11:05 a.m.
11:05-11:25 a.m.

11:25-11:45 a.m.

Discussant 1: Don Morgan, Federal Reserve Bank of New York [Presentation]
Discussant 2: V.V. Chari, University of Minnesota and Federal Reserve Bank of Minneapolis [Presentation]
Q & A
11:45-12:00 p.m.

Wrap Up
Ron Feldman, Federal Reserve Bank of Minneapolis