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 Feldhütter) |
| 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 |
RSS