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Volatility Institute, DTCC Host Conference: "Managing Counterparty & Systemic Risk Under Dodd-Frank"

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On Wednesday, November 17, 2010, more than 100 financial, academic and regulatory representatives participated in the conference, "Managing Counterparty and Systemic Risk Under Dodd-Frank," co-hosted by NYU Stern's Volatility Institute and the Depository Trust and Clearing Corporation (DTCC).

Three industry experts led the discussion: NYU Stern Nobel Laureate Professor Robert Engle, who recently developed The NYU Stern Systemic Risk Rankings; Darrell Duffie, Dean Witter Distinguished Professor of Finance at Stanford University; and Commissioner and Former Acting Chairman of the US Commodities Future Trading Commission Michael Dunn.

Read the conference press release

NYU Stern Nobel Laureate Professor Robert Engle presented on the systemic risks posed by central counterparties (CCPs) under Dodd-Frank. He warned conference attendees that some of the new measures under Dodd-Frank, such as requiring the use of CCPs for OTC derivatives transactions, may create new systemic risks while reducing old ones.
Stanford Professor Darrell Duffie's presentation, "Systemic Exposures: A 10-by-10-by-10 Approach," challenged the audience to think about managing systemic risk in a dramatically different fashion. According to Professor Duffie, the key—in headline form—is having a systemic risk regulator that is able to monitor the sizes and directions of flows of risk through the center of the financial system. The top 10 systemically important firms would report their gain or loss with each of their top 10 counterparties, for each of 10 key stress scenarios.

NYU Stern Nobel Laureate Professor Robert Engle

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Darrell Duffie, Dean Witter Distinguished Professor of Finance at Stanford University

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