Securities Markets

Trends, Risks, and Policies

8:45am
Registration of Participants and Welcome Coffee

9:15am
Welcome Addresses
Gianmario Verona Rector, Bocconi University
Carmine Di Noia Commissioner, CONSOB
Steffen Kern  Chief Economist, ESMA — European Securities and Markets Authority

10:00am
First Session
Systemic Risk and Contagion in Financial Markets

Chair
Massimo Guidolin BAFFI CAREFIN, Bocconi University

Common Asset Holdings and Systemic Vulnerability Across Multiple Types of Financial Institutions
Paolo Barucca (S) London Institute for Mathematical Sciences
Tahir Mahmood Bank of England
Laura Silvestri Bank of England — Discussant
Stefano Rossi Bocconi University

Collateral Unchained: Rehypothecation Networks, Complexity, and Systemic Effects
Mauro Napoletano (S) OFCE, Sciences Po, Paris
Paolo Barucca London Institute for Mathematical Sciences
Stefano Battiston University of Zurich
Duc Thi Luu OFCE, Sciences Po, Paris — Discussant
Caterina Lucarelli Politechnic University of Marches

Structural Changes in Corporate Bond Underpricing
Florian Nagler (S) Bocconi University
Giorgio Ottonello Vienna Graduate School of Finance — Discussant
Giovanni Petrella Catholic University of the Holy Heart, Milan

11:30am
Coffee Break

11:45am
Second Session
Market Architecture, Price Discovery, Investment Financing

Chair
Luca Giordano CONSOB

Informed Trading in the Stock Market and Option Price Discovery
Vyacheslva Fos (S) Carroll School of Management, Boston College
Pierre Collin-Dufresne École Polytechnique Fédérale de Lausanne
Dmitry Muravyev Carroll School of Management, Boston College — Discussant
Giiovanna Nicodano Collegio Carlo Alberto, University of Turin

Model Uncertainty, Ambiguity Aversion, and Market Participation
Chong Huang (S) University of California, Irvine
David Hirshleifer University of California, Irvine
Siew Hong Teoh University of California, Irvine — Discussant
Federico Severino Institute of Finance, University of Italian Switzerland

The Bond Pricing Implications of Rating-Based Requirements
Stanislava Nikolova (S) University of Nebraska-Lincoln
Scott Murray Georgia State University — Discussant
Brunella Bruno Bocconi University

1:15pm
Light Lunch


2:15pm
Third Session
OTC Market Functioning

Chair
Claudia Guagliano ESMA — European Securities and Markets Authority

Discriminatory Pricing of Over-The-Counter FX Derivatives
Peter Hoffman (S) European Central Bank
Harald Hau University of Geneve
Sam Langfield European Central Bank
Yannick Timmer Trinity College Dublin
Martin Haferkorn ESMA, European Securities and Markets Authority — Discussant

OTC Premia
Angelo Ranaldo (S) University of St. Gallen, Swiss Finance Institute
Gino Cenedese Bank of England
Michalis Vasios Bank of England — Discussant
Paolo Colla Bocconi University

The Liquidity and Welfare Implications of the Securities Lending Market for European Treasuries
Zsuzsa R. Huszár (S) National University of Singapore
Zorka Simon Goethe University Frankfurt — Discussant
Giuseppe Cappelletti European Central Bank

For Information
BAFFI CAREFIN -— Center for Applied Research on International Markets, Banking, Finance and Regulation
Tel. +39 025836.5306
bafficarefin@unibocconi.it