CONFERENCE ON
Credit Risk and Credit Derivatives
Credit Risk and Credit Derivatives
March 22-23, 2007 Federal Reserve Board, Washington, D.C. Skip to content
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CONFERENCE ON
Credit Risk and Credit Derivatives March 22-23, 2007 Federal Reserve Board, Washington, D.C. Skip to content
Program |
| 8:45-9:20 | Breakfast and Coffee | |
| 9:20-9:30 | Welcoming Remarks | |
| 9:30-10:20 | On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle | |
| Authors: |
Pierre Collin-Dufresne (presenter),
University of California at Berkeley |
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| Discussant: | Hong Yan, University of South Carolina | |
| 10:20-10:50 | Coffee Break | |
| 10:50-11:40 | Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Market | |
| Authors: | Jan Ericsson (presenter),
McGill University Joel Reneby, Stockholm School of Economics Hao Wang, McGill University |
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| Discussant: | Jean Helwege, Pennsylvania State University | |
| 11:40-12:30 | The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market | |
| Authors: | Haibin Zhu (presenter),
Bank for International Settlements Nikola Tarashev, Bank for International Settlements |
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| Discussant: | Nikunj Kapadia, University of Massachusetts at Amherst | |
| 12:45-1:30 | Lunch | |
| 1:30-2:00 | Lunch Address | |
| 2:00-2:50 | Specification Analysis of Structural Credit Risk Models (315 KB PDF) | |
| Authors: | Hao Zhou, (presenter), Federal Reserve Board Jingzhi Huang, Pennsylvania State University |
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| Discussant: | ||
| 2:50-3:10 | Coffee Break | |
| 3:10-4:00 | In Search of Distress Risk (396 KB PDF) | |
| Authors: | Jens Hilscher (presenter), Brandeis University John Y. Campbell, Harvard University Jan Szilagyi, Duquesne Capital Management LLC |
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| Discussant: | Lu Zhang, University of Michigan | |
| 4:05-4:50 | The Risk-Adjusted Cost of Financial Distress (679 KB PDF) | |
| Authors: | Heitor Almeida (presenter),
New York University Thomas Philippon, New York University |
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| Discussant | Michael Gordy, Federal Reserve Board | |
| 6:00-8:00 | Conference Dinner | |
| 8:45-9:30 | Breakfast and Coffee | |
| 9:30-10:20 | The Bank as Grim Reaper: Debt Composition and Recoveries on Defaulted Debt | |
| Authors: | Michael Gordy (presenter),
Federal Reserve Board Mark Carey, Federal Reserve Board |
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| Discussant: | Suresh M. Sundaresan, Columbia University | |
| 10:20-10:50 | Coffee Break | |
| 10:50-11:40 | Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (593 KB PDF) | |
| Authors: | Jun Pan, (presenter), MIT Kenneth Singleton, Stanford University |
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| Discussant: | Antje Berndt, Carnegie Mellon University | |
| 11:40-12:30 | Sovereign CDS and Bond Spreads in Emerging Markets | |
| Authors: | John Ammer (presenter),
Federal Reserve Board Fang Cai, Federal Reserve Board |
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| Discussant: | Jingzhi Huang, Pennsylvania State University | |
| 12:45-1:30 | Lunch and Conference Adjourns | |
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