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17th Annual Derivatives Securities and Risk Management Conference
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

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Friday, April 13, 2007

7:30 – 8:10 Registration and Continental Breakfast
8:10 – 8:15 Welcoming Remarks
8:15 – 10:15 Asset Pricing

Risk Aversion and Clientele Effects 338kb
Douglas W. Blackburn, Indiana University, William N. Goetzmann, Yale University, Andrey D. Ukhov, Indiana University

Asset Price Bubbles in Incomplete Markets 248kb
Robert Jarrow, Cornell University

Return Dynamics with Lévy Jumps: Evidence from Stock and Option Prices 666kb
Haitao Li, University of Michigan, Matin T. Wells, Cornell University, Cindy L. Yu, Iowa State University

Synchronization Risk and the NASDAQ Technology Bubble 265kb
Douglas W. Blackburn, Indiana University, Ruslan Y. Goyenko, McGill University, Andrey D. Ukhov, Indiana University

10:15– 10:45 --- Coffee Break ---
10:45 – 12:15

Options I

Can Liquidity Events Explain The Low-Short-Interest Puzzle? Implications From The Options Market 358kb
Jefferson Duarte – Xiaoxia Lou – Ronnie Sadka, University of Washington

Jump and Volatility Risk Premiums Implied by VIX 266kb
Jin-Chuan Duan, University of Toronto, Chung-Ying Yeh, National Taiwan University

Nonparametric Estimation of State-Price Densities Using Interest Rate Options 754kb
Haitao Li, University of Michigan, Feng Zhao, Rutgers University

12:15 – 1:15 --- Lunch ---

1:15 – 2:45 Empirical Credit Risk I

Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration
To view the most recent version of this paper go to: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=829124
Ashay Kadam, City University, Peter Lenk, University of Michigan

Macroeconomic News Announcements and Corporate Bond Credit Spreads 231kb
Jing-zhi Huang, Penn State University, Weipeng Kong, Bear Stearns

Is Firm Interdependence within Industries Important for Portfolio Credit Risk? 382kb
Kenneth Carling, IFAU and Dalarna University, Lars Rönnegård, Uppsala University, Kasper Roszbach, Sveriges Riksbank

2:45 – 3:00 --- Coffee Break ---
3:00 – 4:00

Empirical Credit Risk II

Modeling Expected Loss 263kb
S. Chava, Texas A&M, C. Stefanescu, London Business School, S. M. Turnbull, University of Houston

Joint validation of credit rating PDs under default correlation 761kb
Ricardo Schechtman, Central Bank of Brazil

4:00 – 4:15 --- Coffee Break ---
4:15 – 5:45

Risk Management

Modelling and Calibration Errors in Measures of Portfolio Credit Risk 252kb
Nikola Tarashev - Haibin Zhu, Bank for International Settlements

A Generalized Single Common Factor Model of Portfolio Credit Risk 313kb
Paul H. Kupiec, Federal Deposit Insurance Corporation

What Is a Good Risk Measure: Bridging the Gaps between Data, Coherent Risk Measures, and Insurance Risk Measures 320kb
C. C. Heyde – S. G. Kou – X. H. Peng, Columbia University

5:45 – 7:00 --- Reception ---

Saturday, April 14, 2007

8:30 – 9:00 --- Continental Breakfast ---
9:00 – 10:00 Empirical Treasury Issues

Affine Term Structure Models, Volatility and the Segmentation Hypothesis 492kb
Kris Jacobs – Lotfi Karoui, McGill University

Nondefault Bond Spread and Market Trading Liquidity 336kb
Song Han – Hao Zhou, Federal Reserve Board

10:00 – 10:30 --- Coffee Break ---
10:30 – 12:00

Options II

A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices 340kb
Claudio Albanese – Harry Lo, Imperial College London, Stathis Tompaidis, University of Texas at Austin

The Price of Protection: Derivatives, Default Risk, and Margining 288kb
Rajna Gibson – Carsten Murawski, University of Zurich

Recovering Probabilistic Information From Options Prices and the Underlying 303kb
Bruce Mizrach, Rutgers University

--- Adjournment ---



Last Updated 04/10/2007 cfr@fdic.gov