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Federal Deposit
Insurance Corporation

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

Center for Financial Research

20th Annual Derivatives Securities and Risk Management Conference
April 9 – 10, 2010

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, April 9, 2010

8:00-8:25Registration & Continental Breakfast

8:25–8:30

Welcoming Remarks

8:30–10:00Credit Risk I

The CDS/Bond Basis and the Cross Section of Corporate Bond Returns
Gi Hyun Kim, Haitao Li, University of Michigan and Weina Zhang, National University of Singapore

Realized Volatility, Liquidity, and Corporate Yield Spreads
Marco Rossi, Penn State University

Determinants of Bond Risk Premia
Jing-zhi Huang, Penn State University, and Zhan Shi, Penn State University

10:00-10:30

-- Coffee Break --

10:30-12:00

Issues in Equity Options


Risk Aversion, Volatility Risk Premium, and the Cross-Section of Stock Returns
Alper Corlu, Citigroup, Yawei Yang, and Yildiray Yildirim, Syracuse University

Idiosyncratic Volatility and Stock Returns: Does Option Trading Reduce Stock Market Mispricing?
Redouane Elkamhi, University of Iowa, Yong Lee, McGill University, and Tong Yao, University of Iowa

The Price Impact of Large Hedging Trades
Brian Henderson, George Washington University, and Neil Pearson, University of Illinois

12:00-1:30

-- Lunch --

1:30-3:00

Commodity Markets I


Determinants of Trading Profits of Individual Traders: Risk Premia or Information?
Michaël Dewally, Marquette University, Louis Ederington, University of Oklahoma, and Chitru Fernando, University of Oklahoma

Hedge Funds, Stress, and Cross-Market Linkages
Bahattin Büyüksahin, Commodity Futures Trading Commission, and Michel Robe, American University

Inventory Announcements, Jump Dynamics and Volatility in U.S. Energy Futures Markets
Johan Bjursell, Ronin Capital, LLC, James Gentle, George Mason University, and George Wang, George Mason University

3:00-3:30

-- Coffee Break --

3:30-5:00Issues in Equity Options II

On the Use of Options by Mutual Funds: Do They Know What They Are Doing?
Gjergji Cici, William and Mary, and Luis-Felipe Palacios, University of Pennsylvania

Option Returns and Individual Stock Volatility
Jie Cao, Chinese University of Hong Kong, and Bing Han, University of Texas at Austin

Market jump risk and the price structure of individual equity options
Redouane Elkamhi, University of Iowa, and Chayawat Ornthanalai, Georgia Institute of Technology

5:30-7:00
-- Reception --


Saturday, April 10, 2010



8:30-9:00-- Continental Breakfast --

9:00-10:00

Risk Management Issues


How Well Does the Vasicek Based AIRB Model Fit the Data?
Paul Kupiec, Federal Deposit Insurance Corporation

Valuing the Treasury's Capital Assistance Program
Paul Glasserman, Columbia University, and Zhenyu Wang, Federal Reserve Bank of New York

Credit Contagion and the Amplification of the Crisis of 2007 – 2009
Susan Shan, University of Hong Kong, Dragon Tang, University of Hong Kong, and Sarah Wang, University of Hong Kong

10:00-10:30-- Coffee Break --

10:30-12:00Credit Risk II

Credit ratings and credit Risk
Jens Hilscher, Brandeis University, and Mungo Wilson, Oxford University

Unobservable Systematic Risk Factor and Default Prediction
Min Qi, Office of the Comptroller of the Currency, Xiaofei Zhang, Office of the Comptroller of the Currency, and Xinlei Zhao, Office of the Comptroller of the Currency

Credit Default Swap Spreads and Variance Risk Premia
Hao Wang, Tsinghua University, Hao Zhou, Federal Reserve Board, and Yi Zhou, University of Oklahoma

12:00-- Adjournment – box lunch available --