Workshop on 'The pricing of credit risk'

Basel, Switzerland, 9-10 September 2004


Opening remarks (William White, BIS)  (PDF, 21 kb)
Paper 1: The credit risk component in corporate spreads and swap spreads
Authors: David Lando, Copenhagen Business School (joint with Peter Feldh├╝tter)
Discussants: Tony Rodrigues, Federal Reserve Bank of New York
Etienne Varloot, Citigroup
Paper 2: Default and recovery implicit in the term structure of sovereign CDS spreads
Authors: Ken Singleton, Stanford University (joint with Jun Pan)
Discussants: Naohiko Baba, Bank of Japan
Richard Cantor, Moody's
Paper 3: Valuation of a CDO and a n-th to default CDS without Monte Carlo simulation
Authors: John Hull, University of Toronto (joint with Alan White)
Discussants: Michael Gibson, Federal Reserve Board
Dominic O'Kane, Lehman Brothers
Paper 4: The pricing of unexpected credit losses
Authors: Jeffery Amato and Eli Remolona, Bank for International Settlements
Discussants: Jean Helwege, University of Arizona
Ken Singleton, Stanford University
Paper 5: Measuring default risk premia from default swap rates and EDFs
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
Paper 6: On the relation between credit spread puzzles and the equity premium puzzle
Authors: Pierre Collin-Dufresne, UC Berkeley (joint with Long Chen and Bob Goldstein)
Discussants: Monika Piazzesi, University of Chicago
Jun Yang, Bank of Canada
Paper 7: Explaining the level of credit spreads: option-implied jump risk premia in a firm value model
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