Moody's Corporation & NYU - Inaugural Credit Risk Conference

BIOS

Viral Acharya

Edward I. Altman

Richard Cantor

Pierre Collin-Dufresne

Darrell Duffie

Robert F. Engle

Stephen Figlewski

Robert L. Geske

Michael Gordy

Darryll Hendricks

abstracts & papers

Understanding the Recovery Rates on Defaulted Securities Viral V. Acharya, Sreedhar T. Bharath and Anand Srinivasan	ABSTRACT \| PAPER

Credit Ratings and Stock Liquidity Elizabeth R. Odders-White Mark J. Ready	ABSTRACT \| PAPER

Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market Francis A. Longstaff, Sanjay Mithal and Eric Neis	ABSTRACT \| PAPER

An Empirical Analysis of the Dynamic Relationship Between Investment-Grade Bonds and Credit Default Swaps Roberto Blanco, Simon Brennan, and Ian W Marsh	ABSTRACT \| PAPER

Correlated Defaults and the Valuation of Defaultable Securities Fan Yu	ABSTRACT \| PAPER

Loan Pricing Under Basel Capital Requirements Rafael Repullo and Javier Suarez	ABSTRACT \| PAPER

Multi-Period Corporate Failure Prediction with Stochastic Covariates Darrell Duffie and Ke Wang	ABSTRACT \| PAPER

Structural Models of Credit Risk are Useful: Evidence from Hedge Ratios on Corporate Bonds Stephen M. Schaefer and Ilya A. Strebulaev	ABSTRACT \| PAPER

The Distribution of Loan Portfolio Value Oldrich A. Vasicek	PAPER

CONFERENCE PRESENTATIONS

All presentations have been moved to the Conference Presentations page.