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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 |
| 8:30–10:00 |
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
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| 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
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| 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
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| 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
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| 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
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| 6:00-7:00 |
-- Reception -- |
| Saturday, March 16, 2013 |
| 8:00-8:30 am |
-- Continental Breakfast -- |
| 8:30–10:00 |
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
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| 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.
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| 12:00 |
Adjourn – box lunch available |
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