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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)
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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
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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
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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
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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)
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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 --
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