Basel, Switzerland, 9-10 September 2004
| Opening remarks (William
White, BIS) (PDF, 21 kb)
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Paper 1: The credit risk component in
corporate spreads and swap spreads
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| Authors: | David Lando, Copenhagen Business School (joint with Peter Feldhütter) |
| Discussants: |
Tony Rodrigues, Federal Reserve Bank of New York
Etienne Varloot, Citigroup |
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Paper 2: Default and recovery
implicit in the term structure of sovereign CDS spreads
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| Authors: | Ken Singleton, Stanford University (joint with Jun Pan) |
| Discussants: |
Naohiko Baba, Bank of Japan
Richard Cantor, Moody's |
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Paper 3: Valuation of a CDO and a
n-th to default CDS without Monte Carlo simulation
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| Authors: | John Hull, University of Toronto (joint with Alan White) |
| Discussants: |
Michael Gibson, Federal Reserve Board
Dominic O'Kane, Lehman Brothers |
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Paper 4: The pricing of
unexpected credit losses
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| Authors: | Jeffery Amato and Eli Remolona, Bank for International Settlements |
| Discussants: |
Jean Helwege, University of Arizona
Ken Singleton, Stanford University |
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Paper 5: Measuring default risk
premia from default swap rates and EDFs
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| Authors: | Darrell Duffie, Stanford University (joint with Antje Berndt, Rohan Douglas, Mark Ferguson and David Schranz) |
| Discussants: |
Peter Hordahl, European Central Bank
Frank Packer, Bank for International Settlements |
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Paper 6: On the relation between
credit spread puzzles and the equity premium puzzle
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| Authors: | Pierre Collin-Dufresne, UC Berkeley (joint with Long Chen and Bob Goldstein) |
| Discussants: |
Monika Piazzesi, University of Chicago
Jun Yang, Bank of Canada |
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Paper 7: Explaining the level
of credit spreads: option-implied jump risk premia in a firm value model
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| Authors: | Joost Driessen, University of Amsterdam (joint with Martijn Cremers, Pascal Maenhout and David Weinbaum) |
| Discussants: |
Varqa Khadem, Lehman Brothers
Garry Young, Bank of England |