 |
| May 26th |
|
| 7:30-8:40am |
Registration and Breakfast |
|
| 8:40-9:00am |
Opening Remarks |
|
| 9:00-10:25am |
The Risk Premium Implied by Credit Spreads
Moderator and Discussant: Suresh Sundaresan,
Columbia University
Measuring Default Risk Premia from Default Swap Rates
and EDFs, Darrell Duffie, Stanford University
On the Relation Between Credit Spread Puzzles and the Equity Premium Puzzle, Pierre Collin-Dufresne, University of California at Berkeley
|
|
| 10:20-10:40am |
Coffee Break |
|
| 10:40-11:25am |
New Developments in the Credit Derivatives Market
Moderator: Stephen Schaefer, London Business School
Speaker: Klaus Toft, Goldman Sachs
|
|
| 11:25-12:45pm |
Transparency in Credit Markets
Moderator: Alan White, University of Toronto
Insider Trading and Liquidity Risk, Viral V. Acharya, London Business School:
Discussant: Greg Duffee, University of California at Berkeley
Corporate Bond Market Transparency and Transaction Costs, Michael S. Piwowar, United States Securities and Exchange Commission
Discussant: Lance Uggla, CEO of Markit Partners
|
|
| 12:45-2:15pm |
Lunch and Keynote Address:
Retrospective on Modeling of Credit Risk
Stephen Kealhofer, Moody's KMV
Introduced by Stephen Schaefer, London Business School
|
|
| 2:15-3:35pm |
Determinants of Corporate Bond Spreads
Moderator: Ian Cooper, London Business School
A Model of Swap Spreads and Corporate Bond Yields,
David Lando, Copenhagen Business School
Discussant: Alan White, University of Toronto
The Pricing of Unexpected Credit Losses, Eli Remolona, Bank for International Settlements
Discussant: Ton Vorst, Erasmus University
|
|
| 3:35-4:00pm |
Coffee Break |
|
| 4:00-5:40pm |
Modeling Default Correlation
Moderator: Gifford Fong, Gifford Fong Associates / The Journal of
Investment Management
Measuring Marginal Risk Contributions in Credit Portfolios, Paul Glasserman, Columbia University
Discussant: Philipp J. Schönbucher, ETH Zürich
The Valuation of Correlation-Dependent Credit
Derivatives Using a Structural Model, John Hull, University of Toronto
Discussant: Gifford Fong, Gifford Fong Associates / The Journal of
Investment Management
Common Failings: How Corporate Defaults are Correlated,
Nikunj Kapadia, University of Massachussets at Amherst
Discussant: Jean Helwege, University of Arizona |
|
| 6:00-7:30pm |
Cocktail Reception
London Business School, Dining Room
|
|
| May 27th |
|
| 8:00-9:00am |
Breakfast |
|
| 9:00-10:25am |
International Issues in Credit Markets
Moderator: Alan White, University of Toronto
Measuring the Quality and Consistency of Corporate
Ratings Across Regions, Richard Cantor, Moody's Investors Service
Discussant: Jeffrey Amato, Bank for International Settlements
Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany, and the UK, Julian Franks, London Business School
Discussant: Roger M. Stein, Moody's Investors Service
|
|
| 10:25-11:00am |
The Treatment of Structured Products in Basel II
Moderator: Michael Foley, Moody's Investors Service
Michael Gordy, Federal Reserve Board of Governors
|
|
| 11:00-11:25am |
Coffee Break |
|
| 11:25-12:45pm |
The Factors That Trigger Default
Moderator: Edward I. Altman, New York University
When Do Firms Default? A Study of the Default Boundary,
Sergei Davydenko, London Business School
Discussant: Hayne Leland, University of California at Berkeley
'Surprise' in Distress Announcements: Evidence from Equity and Bond Markets, Jeffrey R. Bohn, Moody's KMV
Discussant: Edward I. Altman, New York University
|
|
| 12:45pm |
Closing Remarks |
|
Scientific COMMITTEE
Viral Acharya, London Business School
Richard Cantor, Moody's Investors Service
John Hull, University of Toronto
David Lando, Copenhagen Business School
Stephen Schaefer, London Business School
Roger M. Stein, Moody's Investors Service
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