Wednesday, May 19th

7:30
Registration & Continental Breakfast
8:15

OPENING REMARKS
John Rutherfurd, Jr. - Chairman and Chief Executive Officer, Moody’s Corporation
Edward I. Altman - Director of the Credit and Debt Markets Research Program at the Salomon Center
8:40 THE INFORMATION CONTENT OF DEBT AND EQUITY PRICES
moderated by Hayne Leland, University of California, Berkeley

(i) Structural Models of Credit Risk Are Useful:
Evidence from Hedge Ratios on Corporate Bonds,
Stephen Schaefer, London Business School
Discussed by Pierre Collin-Dufresne, University of California, Berkeley

(ii) Credit Ratings and Stock Liquidity, Elizabeth Odders-White,
University of Wisconsin
Discussed by Jeremy Stein, Harvard University
10:20 Refreshment Break
10:40 PERSPECTIVES ON KEY RESEARCH CHALLENGES IN CREDIT MARKETS
Kenneth J. Singleton, Stanford University
Stephen Kealhofer, co-founder Moody’s KMV
11:50

Lunch
Keynote Address:

Robert C. Merton – 1997 NOBEL LAUREATE, Harvard University,
A Retrospective Look at 30 Years of the Merton Model
Introduction by Stephen Figlewski, Director of the Derivatives Research
Project at the Salomon Center
1:20 EXPECTED DEFAULT LOSS
moderated by Stuart Turnbull, University of Houston

(i) Multi-Period Corporate Failure Prediction with Stochastic
Covariates, Darrell Duffie, Stanford University
Discussed by Robert Geske, University of California, Los Angeles

(ii) Understanding the Recovery Rates on Defaulted Securities,
Viral Acharya, London Business School
Discussed by Roger M. Stein, Managing Director, Moody’s KMV
3:00 Refreshment break
3:20 PORTFOLIO CREDIT RISK MODELING
I. Overview by David Lando, Copenhagen Business School

(i) Correlated Defaults and the Valuation of Defaultable Securities, Fan Yu,
University of California, Irvine
Discussed by Philipp Schönbucher, ETH Zurich

II. PERSPECTIVES

(i) The Distribution of Loan Portfolio Value
Oldrich Vasicek, co-founder Moody’s KMV

(ii) Dynamic Conditional Correlation Models of Tail Dependence
Robert Engle - 2003 NOBEL LAUREATE, NYU Stern School of Business
5:30 Cocktail Reception
Thursday, May 20th

7:45		  
Continental Breakfast
8:15   THE IMPLICATIONS OF BASEL II

I. Overview by Michael Gordy, Federal Reserve Board of Governors

II. Loan Pricing under Basel Capital Requirements, Rafael Repullo, CEMFI
Discussed by Jean-Charles Rochet, Toulouse University

III. PERSPECTIVES
Objectives of Basel II and Implications for Credit Markets,
Darryll Hendricks, Federal Reserve Bank of New York
9:45   Refreshment Break
10:00   CREDIT DEFAULT SWAPS
moderated and discussed by John Hull and Alan White, University of Toronto

(i) An Empirical Analysis of the Dynamic Relationship Between
Investment Grade Bonds and Credit Default Swaps, Ian Marsh, Bank of England

(ii) Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, Francis Longstaff, University of California, Los Angeles
11:40   PERSPECTIVES: THE ROLE OF INTERNAL AND EXTERNAL RATINGS
IN THE CREDIT PROCESS
Edward I. Altman, NYU Stern School of Business
Richard Cantor, Managing Director, Moody’s Investors Service
12:50   Conference Close