Moody's and NYU Stern - 5th Annual Credit Risk Conference

MAY 14th
7:30am	Registration & Continental Breakfast
8:30am	Welcome Remarks
8:45am	Credit & the Aggregate Economy Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure Presenter: Hui Chen, MIT Discussant: Pierre Collin-Dufresne, Goldman Sachs Asset Management Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions Presenter: Stephen Figlewski, NYU Stern School of Business Discussant: David Lando, Copenhagen Business School A 15-minute Q&A will follow the presentations.
10:00am	Break
10:15am	Liquidity Understanding Credit Spreads: The Effect of Time-series Variation in Liquidity Risk and Expected Loss Presenter: Viral Acharya, London Business School Discussant: Edith Hotchkiss, Boston College Hedging Credit: Equity Liquidity Matters Sanjiv Das, Santa Clara University Discussant: Edith Hotchkiss, Boston College A 15-minute Q&A will follow the presentations.
11:30am–1:00pm	Lunch
1:00pm	The Subprime Crisis Securitization and Screening: Evidence from Subprime Mortgage Backed Securities Presenter: Vikrant Vig, London Business School Discussant: Mitchell A. Petersen, Northwestern University The Consequences of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis Presenter: Amir Sufi, University of Chicago Discussant: Mitchell A. Petersen, Northwestern University A 15-minute Q&A will follow the presentations.
2:15 pm	Keynote Innovations in Credit Risk Transfer: Implications for Financial Stability Darrell Duffie, Stanford University A 15-minute Q&A will follow the presentation.
3:00pm	Break
3:30pm	CDO Pricing Overview of CDO Models Alan D. White, University of Toronto A 15-minute Q&A will follow the presentation.
4:15pm	Panel The Future of Securitization Moderator: Kenneth J. Singleton, Stanford University Panelists: Til Schuermann, Federal Reserve Bank of New York; Mark Adelson, Adelson & Jacob Consulting; Douglas J.Lucas, UBS A 15-minute Q&A will follow the presentation.
5:15–6:15pm	Reception




MAY 15th
8:30am	Topics in CDS Pricing How Sovereign is Sovereign Credit Risk? Presenter: Francis A. Longstaff, UCLA Discussant: Jean Helwege, Penn State Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005 Presenter: Stephen Schaefer, London Business School Discussant: John C. Hull, University of Toronto A 15-minute Q&A will follow the presentations.
9:45am	Panel The Current and Future Levels of Recovery Rates Presentations and discussion by Edward I. Altman, NYU Stern School of Business; Kenneth Emery, Moody’s Investors Service; Amit Arora, Bear Stearns A 15-minute Q&A will follow the presentations.
10:45am	Break
11:00 am	Keynote The Macroeconomy, Incentives and the Credit Crisis Presenter: Raghuram G. Rajan, University of Chicago A 15-minute Q&A will follow the presentation.
12:00pm	Closing remarks




Scientific Committee
Viral Acharya, London Business School Edward Altman, New York University Stern School of Business Richard Cantor, Managing Director, Moody's Investors Service John Hull, Global Financial Studies, Inc. and Joseph Rotman School of Management, University of Toronto David Lando, Department of Finance, Copenhagen Business School Matthew Richardson, New York University Stern School of Business Stephen Schaefer, London Business School Roger Stein, Managing Director, Moody's Investors Service Rangarajan K. Sundaram, New York University Stern School of Business