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16th Annual Derivatives Securities and Risk Management Conference
A conference sponsored by
Cornell University’s Johnson Graduate School of Management
Federal Deposit Insurance Corporation Center for Financial Research
University of Houston’s Bauer College of Business

Speakers' Biographies
Order hard copy of conference papers

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Friday, April 7, 2006

7:30 – 8:15 Registration and Continental Breakfast
8:15 – 8:30 Opening Remarks
8:30– 10:00

SESSION ONE: CREDIT RISK I

Modeling the Term Structure of Defaultable Bonds under Recovery Risk
Lotfi Karoui, McGill University

Restructuring Risk in Credit Default Swaps: An Empirical Analysis
Antje Berndt, Carnegie Mellon University, Robert A. Jarrow – ChoongOh Kang, Cornell University

Joint Estimation of Default and Recovery Risk: A Simulation Study
Jens H. E. Christensen, Copenhagen Business School

10:000 – 10:30 --- Coffee Break ---
10:30 – 12:00

SESSION TWO: CREDIT RISK II

Are Longer Bankruptcies Really More Costly?
Daniel M. Covitz – Song Han – Beth Anne Wilson, Federal Reserve Board

Feedback Effects of Rating Downgrades
Andras Fulop, University of Toronto

The Pricing of Portfolio Credit Risk
Nikola Tarashev – Haibin Zhu, Bank for International Settlements

12:00 – 1:30 --- Lunch ---
1:30 – 3:00 SESSION THREE: EMPIRICAL STUDIES I

Is Systematic Risk Priced in Options?
Jin-Chuan Duan – Jason Wei, University of Toronto

An Empirical Comparison of Affine and Non-Affine Models for Equity Index Options
Peter Christoffersen – Kris Jacobs – Karim Mimouni, McGill University

Nonparametric Interest Rate Cap Pricing and Implications for the “Unspanned Stochastic Volatility” Puzzle
Tao L. Wu, State University of New York at Buffalo

3:00 – 3:30 --- Coffee Break ---
3:30 – 5:00 SESSION FOUR: EMPIRICAL STUDIES II

Specification Analysis of Structural Models Using Term Structure of CDS Spreads and Equity Volatility from High Frequency Data
Jing-zhi Huang, Penn State University, Hao Zhou, Federal Reserve Board

Liquidity, Liquidity, Spillover, and Credit Default Swap Spreads
Dragon Y. Tang, Kennesaw State University, Hong Yan, University of Texas at Austin
and SEC

The Information Content of Option-Implied Volatility for Credit Default Swap Valuation
Charles Cao – Zhaodong Zhong , Pennsylvania State University, Fan Yu, University of California Irvine

5:00 – 6:30 --- Reception ---

Saturday, April 8, 2006

7:30 – 8:15 --- Continental Breakfast ---
8:159:45

SESSION FIVE: ISSUES IN PRICING I

Estimating Preferences Toward Risk: Evidence from Dow Jones
Douglas W. Blackburn – Andrey D. Ukhov, Indiana University

Information-Based Asset Pricing
Dorje C. Brody, Imperial College, Lane P. Hughston – Andrea Macrina, King’s College

General Equilibrium with Stochastic Volatility and Jumps
Nicole Branger, University of Southern Denmark, Christian Schlag – Eva Schneider, Goethe Universit

9:45 – 10:00 --- Coffee Break ---
10:00 – 12:00 SESSION SIX: ISSUES IN PRICING II

A Dynamic Programming Procedure for Pricing CDS and CDS Options
Hatem B. Ameur, HEC Montreal, Damiano Brigo, Banca IMI, Eymen Errais, Stanford University

A General Characterization of the Early Exercise Premium
João P. V. Nunes, CEMAF/ISCTE

Pricing an Option on a Non-Decreasing Asset Value: An Application to Movie Revenue
Don M. Chance – Eric Hillebrand – Jimmy E. Hilliard, Louisiana State University

A Simple Model for Time-Varying Expected Returns on the S&P 500 Index
James S. Doran, Florida State University, Ehud I. Ronn, University of Texas at Austin, Robert S. Goldberg, Adelphi University

12:00 – 12:15 Closing Remarks


Last Updated 08/15/2006 cfr@fdic.gov