May 16th 7:45-8:15am Continental Breakfast & Registration 8:15-8:45am Introductory Remarks Overview by Edward I. Altman, NYU Introduction to Conference Keynote by Raymond McDaniel, Chairman & CEO, Moody's Corporation 8:45-9:30am Credit Derivatives and the Economy Timothy F. Geithner, President, Federal Reserve Bank of NY Moderated by Thomas F. Cooley, Dean, Stern School of Business, NYU 9:30-9:45am Break 9:45-11:15am Liquidity and Credit Risk Overview by Viral V. Acharya, London Business School Liquidity Risk Premia in Corporate Bond Markets Joost Driessen, University of Amsterdam Discussed by Marti Subrahmanyam, NYU Liquidity Risk in the Corporate Bond Markets George Chacko, Harvard University Discussed by Lasse H. Pedersen, NYU 11:15-12:15pm Issues in Credit Markets Myron S. Scholes, Chairman, Oak Hill Platinum Partners Moderated by Roger M. Stein, Moody's Investors Service 12:15-1:15pm Lunch 1:15-2:30pm Equity Returns & Distress Default Risk, Shareholder Advantage, and Stock Returns Lorenzo Garlappi, University of Texas at Austin In Search of Distress Risk Jens Hilscher, Brandeis University Discussed by Kent D. Daniel, Northwestern University and Goldman Sachs 2:30-4:00pm Advances in Structural Models of Default Overview by Rangarajan K. Sundaram, NYU Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets Jan Ericsson, McGill University and SIFR Discussed by Stephen Schaefer, London Business School Forecasting Default with the KMV-Merton Model Tyler Shumway, University of Michigan Discussed by Jeffrey R. Bohn, Moody's KMV 4:00-4:15pm Break 4:15-5:50pm Recovery Rate Dynamics Overview by Edward I. Altman Measuring Systematic Risk in Recoveries on Defaulted Debt I: Firm-Level Ultimate LGDs Mark Carey, Federal Reserve Board Discussed by Richard Cantor, Moody's Investors Service & David Keisman, Moody's Investors Service Humpbacks in Credit Spreads Deepak Agrawal, Moody's KMV Discussed by Pierre Collin-Dufresne, UC Berkeley and Goldman Sachs 5:50pm Cocktail Reception May 17th 8:45-10:15am Credit Default Swaps: State of the Art Topic I: Credit Default Swaps Alan D. White, University of Toronto Topic II: Sovereign Credit Default Swaps M. Suresh Sundaresan, Columbia University Kenneth J. Singleton, Stanford University 10:15-10:30am Break 10:30-12:00pm Developments in CDO Pricing Overview by John C. Hull, University of Toronto An Empirical Analysis of the Pricing of Collateralized Debt Obligations Francis Longstaff, UCLA Discussed by David Lando, Copenhagen Business School (Visiting Princeton) Frailty Correlated Default Times Darrell Duffie, Stanford University Discussed by Bjorn Flesaker, Bloomberg L.P. 12:00pm Conference Close SCIENTIFIC COMMITTEE Viral Acharya, London Business School Edward Altman, NYU Stern School of Business Richard Cantor, Moody’s Investors Service Pierre Collin-Dufresne, Univ. of California, Berkeley Steven Figlewski, NYU Stern School of Business David Lando, Copenhagen Business School (Visiting Princeton) Matthew Richardson, NYU Stern School of Business Stephen Schaeffer, London Business School Kenneth Singleton, Stanford University Roger M. Stein, Moody’s Investors Service Marti Subrahmanyam, New York University Rangarajan Sundaram, NYU Stern School of Business Suresh Sundaresan, Columbia University