The Federal Reserve Board eagle logo links to home page

 Credit Risk and Credit Derivatives

March 22-23, 2007   Federal Reserve Board, Washington, D.C.


 Thursday, March 22
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

Pierre Collin-Dufresne (presenter), University of California at Berkeley
Long Chen, Michigan State University
Robert S. Goldstein, University of Minnesota

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
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
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

Ren-Raw Chen, Rutgers University

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
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
Discussant Michael Gordy, Federal Reserve Board
6:00-8:00 Conference Dinner


Friday, March 23
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
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
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
Discussant: Jingzhi Huang, Pennsylvania State University
12:45-1:30 Lunch and Conference Adjourns

Back to top