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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
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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
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| 10:000 – 10:30 |
--- Coffee Break ---
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| 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
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| 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
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| 3:00 – 3:30 |
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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
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| 5:00 – 6:30 |
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Reception --- |
Saturday, April 8, 2006
| 7:30 – 8:15 |
--- Continental Breakfast --- |
| 8:15– 9:45 |
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
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| 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
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