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Speakers' Biographies
Agenda

Andras Fulop
Andras Fulop is a Ph.D student in Finance at the Rotman School of Management, University of Toronto, expecting to graduate in 2006. He also holds an M.A. (Economics) from the University of Toronto and an M.Sc (Economics) from the Budapest University of Economic Sciences. His current research focuses on developing and estimating structural credit risk models. His research interests include derivative pricing models and financial econometrics.

Andrea Macrina
Andrea Macrina holds a BSc in Physics and Mathematics and an MSc in Physics from the University of Bern, Switzerland. His research interests in financial modelling lie in the areas of credit, equity, and insurance.
At present he is in the process of completing his PhD studies in Financial Mathematics at King's College London. Since September 2005 he has been an Adjunct Lecturer in the Department of Mathematics, King's College London, where he has been teaching MSc courses in Risk Neutral Valuation and in Credit Risk Management. He has presented his research work on several occasions at academic seminars and international conferences. Andrea Macrina is fond of languages, and he is happy to have conversations in Italian, German, French, and English. More information can be found at his website, http://www.mth.kcl.ac.uk/finmath/andm.html.

Andrey D. Ukhov
Andrey D. Ukhov is an Assistant Professor of Finance at Kelley School of Business at Indiana University. He joined the faculty in 2003 after receiving Ph.D. in financial economics from Yale University. His research is in theoretical and empirical asset pricing, including derivatives pricing. He studies the role that preferences toward risk play in determining the price of risk in the economy.

ChoongOh Kang
ChoongOh Kang is a PhD candidate in Economics at Cornell University with concentration in the field of Finance. His research interests lie in the areas of derivatives and risk management with focus on credit risk and credit derivatives. His current research investigates the price for exposure to restructuring risk in credit default swaps. He received a B.S. (Mathematics) and a B.A. (Economics) from Seoul National University.

Christoffersen
Christoffersen is an associate professor of finance at the Desautels Faculty of Management at McGill University. He is also a research fellow at CIRANO and CIREQ. Prior to joining McGill, he worked at the International Monetary Fund where he did research and surveillance work on emerging financial markets. His current research interests include risk management, option valuation with volatility dynamics, and financial forecasting. He has published his research in a wide range of finance and economics journals including the Journal of Econometrics, the International Economic Review, the Review of Economics and Statistics, the Journal of Financial Economics and Management Science.

Don M. Chance
Don M. Chance holds the William H. Wright, Jr. Endowed Chair for Financial Services at the E. J. Ourso College of Business at Louisiana State University. He was formerly the First Union Professor of Financial Risk Management at the Pamplin College of Business at Virginia Tech, and prior to his academic career he worked for a large southeastern bank. Professor Chance has had articles published in leading academic and practitioner journals and has authored three books on derivatives. He is often quoted in the media on matters related to derivatives and risk management as well as financial markets and the economy in general. He consults for companies, organizations, and law firms and has extensive instructional experience in professional training programs. In addition to the paper to be presented at this conference, his other current research is focused on executive stock options.

Dragon Tang
Dragon Tang is an assistant professor of finance at Kennesaw State University. His research interest include credit risk, liquidity, mutual funds, and Bayesian methods in finance. He received a B.S. in physics from Jilin Univeristy in 1997, a M.S. in physics from Texas A&M University in 2000, and a Ph.D. in finance from University of Texas at Austin in 2005.

Eric Hillebrand
Eric Hillebrand (Ph.D., University of Bremen, Germany) is assistant professor at the Department of Economics at Louisiana State University. Prior to that, he was visiting researcher at the Department of Mathematics at Stanford University. His research interests are time series econometrics, in particular volatility models and structural breaks. He has published in the Journal of Econometrics and Advances in Econometrics.

Eymen Errais
Eymen Errais is a PhD candidate in Management Science & Engineering at Stanford University. He holds masters both in Operations Research and in Financial Engineering. He has previously worked in the areas of stochastic modeling, dynamic programming, parameters estimation and Monte Carlo simulations applied to Finance. He works closely with Kay Giesecke, Damiano Brigo and Darrell Duffie in his current research focus of pricing and hedging credit derivatives. His work has been sponsored by several companies and organizations such as Moody's Corp, American Express Corp and Institut de Finance Mathématique (IFM2). Eymen who is fluent in five languages has held seminars and talks worldwide.

Haibin Zhu
Haibin Zhu received his PhD in economics at Duke University. He joined the Bank for International Settlements after graduate school in 2001 and has always worked in the Research Group of the Monetary and Economic Department. He also worked at the IMF in 1998 as a summer intern and the Federal Reserve Bank of St Louis in 2000 as a visiting scholar. Research focuses on banking theory, credit derivatives and financial stability issues.

Hao Zhou
Hao Zhou joined the Federal Reserve Board in 2000 as an economist working in the Risk Analysis section, after receiving his PhD degree in economics from Duke University. Before coming to the United States, he had studied in Peking University in China and worked as a policy analyst for the Development Research Center of the State Council. His current official duty involves examining banks' risk management model and advising the Board of Governors on financial market risk. His research agenda focus on financial market volatility, term structure of interest rate, and credit risk modeling. He has published in Journal of Econometrics, Journal of Finance, Journal of Business and Economic Statistics, Journal of Computational Finance, and Journal of Financial Econometrics.

Jens Christensen
Jens Christensen is a PhD candidate in finance at the Copenhagen Business School. He holds an MSc in economics from the University of Copenhagen. His research interests include credit risk modeling, credit risk management, and interest rate term structure modeling. His past research on ratings transition probabilities has been published in The Journal of Banking and Finance, for which he serves as a referee as well. Currently, he is examining the joint estimation of market-implied default and recovery risk.

Jin-Chuan Duan
Jin-Chuan Duan currently holds the Manulife Chair in Financial Services at the Joseph L. Rotman School of Management, University of Toronto. He taught previously at McGill University and Hong Kong University of Science and Technology. Duan has a Ph.D. in finance from the University of Wisconsin-Madison. His current research focuses on (1) developing and testing GARCH-based option pricing models, (2) studying structural credit risk models, and (3) devising financial econometric techniques for general state-space models.

Jingzhi Huang
Jingzhi Huang is currently an associate professor of finance at the Smeal College of Business, Penn State University. He has also taught at the Stern School of Business, New York University. His research interests include derivatives markets, credit risk, and fixed-income markets. His papers have been published in The Review of Financial Studies, Journal of Finance, Journal of Economic Dynamics and Control, Economic Theory, Journal of Derivatives, and Review of Quantitative Finance and Accounting. He received a B.S. in theoretical physics from the University of Science and Technology of China, a Ph.D. in physics from Auburn University, and a Ph.D. in finance from New York University.

Jimmy E. Hilliard
Jimmy E. Hilliard, Ph.D, University of Tennessee holds the C. Flores Endowed Chair Professor of MBA Studies at Louisiana State University. He has formerly held the C. Herman and Mary Virginia Terry Chair of Business Administration at the University of Georgia and the Clayton Homes Chair of Excellence at the University of Tennessee. His research interests include investment management, international financial markets, the pricing of options and futures, and managing foreign exchange, commodity and interest rate risk. Professor Hilliard has published extensively in top business journals including the Journal of Finance, The Journal of Financial and Quantitative Analysis, The Journal of Business, and Management Science. As a complement to his research interests, he has taught and lectured in the Netherlands, Austria, France, Slovakia, Poland, Bulgaria, and Moldova. He is past president of the Southern Finance Association and past director of the Financial Management Association. Professor Hilliard has also directed and lectured in Executive Education programs on financial risk management and international markets. Specialties: Managing foreign exchange interest rate risk and commodity risk, Options and Futures, Investments, International Finance, International Markets, Numerical Methods in Finance.

Joćo Pedro Nunes
Joćo Pedro Nunes is an Associate Professor of Finance at the ISCTE Business School (Portugal) and President of CEMAF/ISCTE (a Portuguese research center in Finance). He holds a MSc in Economics (1994, ISEG, Portugal) and a PhD in Finance (2000, Warwick, UK). His current research interests include term structure modeling, option pricing, exotic options and structured products.

Karoui
Karoui - I received a B.A (Business) from HEC Business School in Carthage (Tunisia) and an MSc in Financial Engineering from HEC Montreal (Canada). I am currently pursuing a PhD at McGill University. My research interests lie in the area of fixed income markets with a particular focus on credit risk and term structure estimation techniques. In my current research, I investigate the impact of recovery rates on risky bonds and Credit Default Swaps. My job market paper provides a theoretical framework for pricing defaultable securities when recovery rates are stochastic.
I taught 'Business Statistics' and 'Optimization' in the Management Science department at HEC Montreal. I also served as a referee for Computers and Operations Research.

Nicole Branger
Nicole Branger is Associate Professor of Finance at the University of Southern Denmark in Odense. From 2001 to 2005, she worked as Assistant Professor at Goethe-University in Frankfurt am Main and spent some months at the Copenhagen Business School and the Owen Graduate School of Management, Vanderbilt University. She holds a PhD in finance from the University of Karlsruhe. Nicole Branger has published in the Review of Finance and in the Journal of Economic Dynamics and Control. Her research interests include derivatives, model risk, asset allocation, and asset pricing. In her current work, she investigates the implications of investor heterogeneity on asset prices, and she considers the impact of model risk on hedging strategies and on optimal investment strategies.

Professor Yu
Professor Yu joined the Merage School of Business after receiving his PhD in Economics from Cornell University in 1999. Prior to his career as a financial economist he had studied physics at Nanjing, McMaster and Harvard Universities. Recently he has worked on the modeling of correlated defaults and the default risk premium, the role of imperfect accounting information in the valuation of corporate bonds and exchange-traded stock options, the pricing of credit default swaps, and the risk and return of fixed income arbitrage strategies such as capital structure arbitrage. His work has appeared in top-tier finance journals such as the Journal of Finance, the Journal of Financial Economics, and Mathematical Finance. At the Merage School, he has taught the derivatives and investments electives in the full-time, part-time, and executive MBA programs, as well as an advanced course on options for exchange students from the Korean Advanced Institute of Science and Technology.

Song Han
Song Han is an economist at the Research and Statistics Division of the Federal Reserve Board. My research focuses on credit risk, bankruptcy law, corporate bond liquidity, and credit market regulation. Prior to joining the Board, I taught at the University of Rochester. I received my Ph.D in Ecnomics from the University of Chicago. I won the 2001 Royal Economic Society Prize.



Last Updated 05/22/2006 cfr@fdic.gov