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Federal Deposit
Insurance Corporation

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

Center for Financial Research

23rd Annual Derivatives Securities and Risk Management Conference
March 15-16, 2013

L. William Seidman Center - Hove Auditorium - 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

Friday, March 15, 2013
8:00-8:25am Registration & Continental Breakfast
8:25-8:30 Welcoming Remarks
8:3010:00 Credit Default Swap Markets

Valuation of Systematic Risk in the Cross-section of Credit Default Swap Spreads
Sebastian Lohr, Leibniz University of Hannover
Arndt ClauBen, Leibniz University of Hannover
Daniel Rosch, Leibniz University of Hannover
Harald Scheule, University of Technology, Sydney

Market Efficiency and Default Risk: Evidence from the CDS and Loan CDS Markets
Lawrence Kryzanowski, Concordia University
Stylianos Perrakis, Concordia University
Rui Zhong, Concordia University

Subprime Mortgage Defaults and Credit Default Swaps
Eric Arentsen, TCW Group Inc.
David C. Mauer, Texas A&M University
Brian Rosenlund, TCW Group Inc.
Harold H. Zhang, University of Texas at Dallas
Feng Zhao, University of Texas at Dallas

10:00-10:30-- Break --
10:30-12:00 Term Structure and Credit Risk

Estimating Shadow-Rate Term Structure Models with Near-Zero Yields
Jens H. E. Christensen, Federal Reserve Bank of San Francisco
Glenn D. Rudebusch, Federal Reserve Bank of San Francisco

A Revisit to the Equity-Credit Market Integration Anomaly
Jing-zhi Huang, Penn State University
Zhan Shi, Penn State University

The Impact of Quantitative Easing on the Term Structure of U.S. Interest Rates
Robert Jarrow, Cornell University
Hao Li, Cornell University

12:00-1:00 -- Lunch --
1:00-2:30 Selected Topics in Theory

Market-Triggered Contingent Capital: Equilibrium Price Dynamics
Paul Glasserman, Columbia University
Behzad Nouri, Columbia University

No Good Deals-No Bad Models
Nina Boyarchenko, Federal Reserve Bank of New York
Mario Cerrato, University of GlasgowB John Crosby, Grizzly Bear Capital
Stewart Hodges, City University, London

Incentive Compensation for Risk Managers when Effort is Unobservable
Paul Kupiec, Federal Deposit Insurance Corporation

2:30-2:45-- Break --
2:45-4:15

Credit and Contagion Risk

Active Risk Management and Banking Stability
Consuelo Silva Buston, CentER, European Banking Center and Tilburg University

How Likely is Contagion in Financial Networks?
Paul Glasserman, Columbia University
H. Peyton Young, University of Oxford

On Bounding Credit Event Risk Premia
Jennie Bai, Federal Reserve Bank of New York
Pierre Collin-Dufresne, Columbia University and NBER
Robert S. Goldstein, University of Minnesota and NBER
Jean Helwege, University of South Carolina

4:15-4:30-- Break --
4:30-6:00 FX and Commodity Markets

Variance Risk Premia in Commodity Markets
Marcel Prokopczuk, Zeppelin University
Chardin Wese Simen, ICMA Centre and University of Reading

Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets
Peter Christoffersen, University of Toronto, CBS and CREATES
Kris Jacobs, University of Houston and Tilburg University
Bingxin Li, University of Houston

The economic drivers of time-varying commodity market volatility
Marcel Prokopczuk, Zeppelin University
Lazaros Symeonidis, ICMA Centre, University of Reading

6:00-7:00 -- Reception --
Saturday, March 16, 2013
8:00-8:30 am -- Continental Breakfast --
8:3010:00 Volatility Risk

Volatility of Volatility and Tail Risk Premiums
Yang-Ho Park, Federal Reserve Board

The Importance of The Volatility Risk Premium for Volatility Forecasting
Marcel Prokopczuk, Zeppelin University
Chardin Wese Simen, ICMA Centre and University of Reading

The Impact of Computational Error on the Volatility Smile
Don M. Chance, Louisiana State University
Thomas A. Hanson, Kent State University
Weiping Li, Oklahoma State University
Jayaram Muthuswamy, Kent State University

10:00-10:30 -- Break --
10:30-12:00 Market Microstructure

Order Flow and Expected Option Returns
Dmitriy Muravyev, Boston College

Transaction Taxes in a Price Maker/Taker Market
Dale W.R. Rosenthal, University of Illinois at Chicago
Nordia D.M. Thomas, University of Wisconsin-La Crosse
Hefei Wang, University of Illinois at Chicago

Asymmetric Sneers & Forecasting Implied Volatility within an Ad Hoc Black-Scholes Framework
Youngsoo Choi, Hankuk University of Foreign Studies
Steven Jordan, University of Memphis
Wonchang Lee, Hi Investment & Securities Co., Ltd.

12:00 Adjourn box lunch available