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Federal Deposit
Insurance Corporation

Each depositor insured to at least $250,000 per insured bank

Center for Financial Research

22nd Annual Derivatives Securities and Risk Management Conference
March 30 – 31, 2012

L. William Seidman Center
3501 Fairfax Drive
Hove Auditorium - A-3125
Arlington, Virginia

Sponsored by Federal Deposit Insurance Corporation's Center for Financial Research
Cornell University's Johnson Graduate School of Management
University of Houston's Bauer College of Business

8:00-8:25Registration & Breakfast

8:25–8:30

Welcoming Remarks

8:30–10:00

Systemic Risk

Derivatives Holdings and Systemic Risk in the U.S. Banking Sector
María Rodríguez Moreno, Universidad Carlos III de Madrid
Sergio Mayordomo, Comisión Nacional del Mercado de Valores (CNMV)
Juan Ignacio Peña, Universidad Carlos III de Madrid

Credit Risk Spillovers among Financial Institutions around the Global Credit Crisis:
Firm-Level Evidence
Jian Yang, University of Colorado, Denver
Yinggang Zhou, Chinese University of Hong Kong

CoCos, Bail-In, and Tail Risk
Nan Chen, Chinese University of Hong Kong
Paul Glasserman, Columbia University and Office of Financial Research
Behzad Nouri, Columbia University

10:00-10:30

-- Break --

10:30-12:00

Investor Order Flow and Asset Price Dynamics

New Evidence on the Financialization of Commodity Markets
Brian J. Henderson, George Washington University
Neil D. Pearson, University of Illinois at Urbana-Champaign
Li Wang, University of Illinois at Urbana-Champaign

Does Option Trading Convey Stock Price Information?
Jianfeng Hu, Baruch College and Risk Management Institute, National University of Singapore

On the (Mis) Use of Conditional Value-at-Risk and Spectral Risk Measures for Portfolio
Selection –A Comparison with Mean-Variance Analysis
Mario Brandtner, Friedrich Schiller University of Jena


12:00-1:30

-- Lunch --

1:30-3:00

Asset Pricing I  

Yes, U.S. Stocks are Getting Riskier
Gregory W. Brown, University of North Carolina at Chapel Hill
 William Waller, University of North Carolina at Chapel Hill

Internationally Correlated Jumps
Kuntara Pukthuanthong, San Diego State University
Richard Roll, University of California Los Angles

Pricing and Hedging Multi-Asset Derivatives in Contagious Markets
Peter Carr, Courant Institute, New York University
Thomas Kokholm, Aarhus University


3:00-3:30

-- Break --

3:30-5:00

Credit Spreads

Accounting Information Releases and CDS Spreads
Redouane Elkamhi, University of Toronto
Kris Jacobs, University of Houston and Tilburg University
Hugues Langlois, McGill University
Chayawat Ornthanalai, Georgia Institute of Technology

Are credit default swaps a sideshow? Evidence that information flows from equity to CDS
markets
Jens Hilscher, Brandeis University
Joshua M. Pollet, Michigan State University
Mungo Wilson, Oxford University

Short-Run Bond Risk Premia
Philippe Mueller, London School of Economics
Andrea Vedolin, London School of Economics
Hao Zhou, Federal Reserve Board

Economic Catastrophe Bonds: Inefficient Market or Inadequate Model?
Haitao Li, University of Michigan
Feng Zhao, University of Texas at Dallas

5:45-7:00

-- Reception --

Saturday, March 31, 2012

8:00-8:30 -- Breakfast--
8:30–10:00

Risk Management

Are Credit Ratings Still Relevant?
Sudheer Chava, Georgia Institute of Technology
Rohan Ganduri, Georgia Institute of Technology
Chayawat Ornthanalai, Georgia Institute of Technology

Fine-Tuning a Corporate Hedging Portfolio– The Case of an Airline Company
Mathias Gerner, University of Texas at Austin
Ehud I. Ronn, University of Texas at Austin

Using Cross-Entropy to Improve Copula-Based Measures of Credit Risk
Paul Kupiec, Federal Deposit Insurance Corporation

10:00-10:30

--- Break --

10:30-12:00

Asset Pricing II

Stochastic Time-Changes of Default Intensity Models:  Pricing and Estimation
Ovidiu Costin, Ohio State University
Michael B. Gordy, Federal Reserve Board
Min Huang, University of Chicago
Pawel Szerszen, Federal Reserve Board

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models
Nicole Branger, University of Münster
Paulo Rodrigues, Maastricht University
Christian Schlag, Goethe University

Sequential Parameter Learning and State Filtering of Jump-Diffusion Models: A New
Approach
Jing-zhi Huang, Penn State University
Li Xu, Stanford University


12:00-1:30

Adjourn – box lunch available