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18th Annual Derivatives Securities and Risk Management Conference
April 11 – 12, 2008

L. William Seidman Center
Hove Auditorium, A3125
3501 North Fairfax Drive, Arlington, VA 22226

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 11, 2008
8:00am - 8:25am -- Registration & Continental Breakfast --

8:25am–8:30am

Welcoming Remarks

8:30am - 10:00am

Risk Premia


Higher-Moment Equity Risks and the Cross-Section of Hedge Fund Returns - PDF 286K
Vikas Agarwal, Georgia State University, Gurdip Bakshi, University of Maryland, Joop Huij, RSM Erasmus University
Presentation (PPT Help)

Inflation Risk Premium: Evidence from the TIPS Market - PDF 268K
Olesya V. Grishchenko - Jing-zhi Huang, Penn State University
Presentation - PDF 756K

Linking Credit Risk Premia to the Equity Premium - PDF 416K
Tobias Berg – Christoph Kaserer, Technische Universität München
Presentation (PPT Help)

10:00am - 10:30am

-- Coffee Break --

10:30am - 12:00pm

Risk Management


Corporate Hedging, Investment and Value - PDF 256K
Jose M. Berrospide
, Federal Reserve Board, Amiyatosh Purnanandam – Uday Rajan, University of Michigan
Presentation - PDF

Nested Simulation in Portfolio Risk Measurement - PDF 322K
Michael Gordy, Federal Reserve Board, Sandeep Juneja, Tata Institute of Fundamental Research
Presentation - PDF 298K

The Determinants of Operational Losses - PDF 353K
Anna Chernobai, Syracuse University, Philippe Jorion, University of California at Irvine, Fan Yu, Michigan State University Presentation - PDF 508K

12:00pm - 1:30pm

-- Lunch --

1:30pm - 3:00pm

Microstructure Issues


The Term Structure of Bond Market Liquidity
Ruslan Goyenko
, McGill University, Avanidhar Subrahmanyam, University of California at Los Angeles, Andrey Ukhov, Indiana University
Presentation (PPT Help)

Intra-Day Risk Premia in European Electricity Forward Markets - PDF
Ehud I. Ronn, University of Texas at Austin, Jens Wimschulte, University of Regensburg
Presentation - PDF 636K

3:00pm - 3:30pm

-- Break --

3:30pm - 5:00pm

Credit Risk I


Is Default Risk Negatively Related to Stock Returns? - PDF 347K
Sudheer Chava
, Texas A&M University, Amiyatosh Purnanandam, University of Michigan
Presentation - PDF 255K

Macroeconomic Variables, Pricing Kernels and Expected Default-Free and Defaultable Bond Returns - PDF 304K
Ai-ru (Meg) Cheng, University of California at Santa Cruz, Yuriy Kitsul, Georgia State University
Presentation - PDF

Credit Risk and Liquidity in Bond and CDS Markets - PDF 543K
Wolfgang Bühler – Monika Trapp, University of Mannheim
Presentation - PDF 320K

5:15pm - 6:30pm

Reception

Saturday, April 12, 2008

7:30am - 8:00am

-- Continental Breakfast --

8:00am – 9:30am

Options

Expected Returns, Risk Premia, and Volatility Surfaces Implicit in Option Market Prices - PDF 416K
António Câmara – Tim Krehbiel – Weiping Li, Oklahoma State University
Presentation - PDF
Tables - PDF

Estimation and Filtration of Time-changed Lévy Processes - PDF 1M David S. Bates, University of Iowa and the National Bureau of Economic Research
Presentation - PDF 980K

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options - PDF 795K
Peter Christoffersen – Kris Jacobs – Chayawat Ornthanalai, McGill University
Presentation (PPT Help)

9:30am - 10:00am

-- Coffee Break --

10:00am - 11:30am

Credit Risk II


A Structural Model for Sovereign Credit Risk - PDF 417K
Alexandre Jeanneret, University of Lausanne
Presentation - PDF 394K

Default Risk on Derivatives Exchanges: Evidence from Clearing-House Data - PDF Robert A. Jones, Simon Fraser University, Christophe Pérignon, HEC Paris
Presentation - PDF 394K

A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors - PDF 294K
Georges Dionne – Geneviève Gauthier – Khemais Hammami – Matheiu Maurice – Jean-Guy Simonato, HEC Montréal
Presentation - PDF 394K

--Adjournment – box lunch available --




Last Updated 04/28/2008 cfr@fdic.gov