European Finance Association

51st Annual Meeting

Bratislava, Slovakia | August 21-24, 2024

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Conference Agenda

Please note that all times are shown in the time zone of the conference. The current conference time is: 2nd June 2024, 04:37:28pm CEST

Session Overview

Session

FI 02: Frictions in the Treasury market

Time:

Thursday, 22/Aug/2024:

9:00am - 10:30am

Session Chair: Wenhao Li, USC Marshall School of Business

Location: Reduta | Choir Room (via courtyard, floor 2)

Presentations

ID: 1125

Dealer Capacity and US Treasury Market Functionality

Darrell Duffie¹, Michael Fleming², Frank Keane², Claire Nelson³, Or Shachar², Peter Van Tassel⁴

¹Stanford, United States of America; ²Federal Reserve Bank of New York; ³Princeton University; ⁴Unaffiliated

Discussant: Angelo Ranaldo (University of St.Gallen)

ID: 1470

The Central Bank's Balance Sheet and Treasury Market Disruptions

Adrien D'Avernas¹, Damon Petersen², Quentin Vandeweyer³

¹Stockholm School of Economics; ²MIT Sloan School of Management; ³University of Chicago Booth School of Business

Discussant: Benoit Nguyen (ECB)

ID: 2130

LTCM Redux? Hedge Fund Treasury Trading and Funding Fragility

Mathias Kruttli^1,3, Phillip Monin², Lubomir Petrasek², Sumudu Watugala¹

¹Indiana University - Kelley School of Business, United States of America; ²Federal Reserve Board of Governors, United States of America; ³Oxford-Man Institute of Quantitative Finance, University of Oxford, United Kingdom

Discussant: Eric Richert (University of Chicago)

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