Labex ReFi Summer School Conference Program v34c 02/09/2016 11:15:58 ET Document de travail

LABEX REFI and

SUMMER SCHOOL ON A COMPARATIVE OF AMERICAN AND EUROPEAN FINANCIAL REGULATION New York City, September 7, 8 and 9, 2016

CONFERENCE ON QUANTITATIVE METHODS FOR FINANCIAL REGULATION Stony Brook: September 10 and 11, 2016

Website and Registration

http://financialregulation2016.com http://caer2016.weebly.com/registration-form.html

Main venue: Stony Brook Manhattan, 387 Park Avenue South (entrance on 27th Street), 3rd Floor, New York, NY 10016

Contact: [email protected] Tel: +1 (631) 632 9125

Sponsoring opportunities: [email protected]

www.financialregulation2016.com 1/11

Labex ReFi Summer School Conference Program v34c 02/09/2016 11:15:58 ET Document de travail

SUMMER SCHOOL A COMPARATIVE OF AMERICAN AND EUROPEAN FINANCIAL REGULATION New York City September 7, 8 and 9, 2016 Organizing Committee

- Prof. (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 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 www.financialregulation2016.com 2/11

Labex ReFi Summer School Conference Program v34c 02/09/2016 11:15:58 ET Document de travail

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

www.financialregulation2016.com 3/11

Labex ReFi Summer School Conference Program v34c 02/09/2016 11:15:58 ET Document de travail

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?

www.financialregulation2016.com 4/11

Labex ReFi Summer School Conference Program v34c 02/09/2016 11:15:58 ET Document de travail

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.

www.financialregulation2016.com 5/11

Labex ReFi Summer School Conference Program v34c 02/09/2016 11:15:58 ET Document de travail

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 3. Stoyan Stoyanov (Stony Brook University) Moment based coherent approximations of tail risk measures

www.financialregulation2016.com 6/11

Labex ReFi Summer School Conference Program v34c 02/09/2016 11:15:58 ET Document de travail

Session II: Crisis Anticipation Room: Chair: TBA

1. Matheus Grasselli (McMaster University) Understanding Financial Crises - a statistical perspective 2. Youngna Choi (Montclair State University) Tracking Financial Instability Contagion: from Bubbles to Crises 3. 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 2. Stephane Thomas (Paris I Panthéon-Sorbonne University, LabEx ReFi) Trading Book and Credit Risk: Bending the Binds? 3. Salim Dehmej (LabEx Refi) Macroprudential Policy in a Monetary Union

Session IV: TBA Room: Chair: TBA

1. ThierryBollier (J.P. Morgan) Economic Capital Buffers 2. William Ziemba (Sauder School of Business, University of British Columbia) Predicting stock markets crashes 3. 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. 2. Zari Rachev (Stony Brook University) 3. 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 www.financialregulation2016.com 7/11

Labex ReFi Summer School Conference Program v34c 02/09/2016 11:15:58 ET Document de travail

Session II: Margining Room: Chair: TBA

1. Yann Coatanlem (Citigroup) Mandatory Margining Modeling Tradeoffs 2. Rostislav Protassov (Independent Consultant) Practical Considerations in Calculating Margin 3. 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 2. Rama Cont (Imperial College) 3. 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 2. Marian Gidea (Yeshiva University) Critical Transitions in Finance 3. 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

www.financialregulation2016.com 8/11

Labex ReFi Summer School Conference Program v34c 02/09/2016 11:15:58 ET Document de travail

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 2. Harvey Stein (Bloomberg) Fixing Risk Neutral Risk Measures 3. 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 ? 2. Olivier Frankel (International Swaps and Derivatives Association) 3. 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

www.financialregulation2016.com 9/11

Labex ReFi Summer School Conference Program v34c 02/09/2016 11:15:58 ET Document de travail

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 2. Harry Mendell (Mendell Technology) Quantifying Behavior 3. Alexander Melnikov (University of Alberta) Conditional Value at Risk: hedging, estimation and related applications

Session II: Systemic Risk Room: Chair: TBA

1. Peter Carr ( 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. 3. 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 www.financialregulation2016.com 10/11

Labex ReFi Summer School Conference Program v34c 02/09/2016 11:15:58 ET Document de travail

6:00 pm Cocktail

7:30 pm Transfer to JFK airport or Manhattan

www.financialregulation2016.com 11/11