Workshop on "The pricing of credit risk"

9–10 September 2004 | Basel, Switzerland

Programme
Opening remarks	William White, Bank for International Settlements
Paper 1	The credit risk component in corporate spreads and swap spreads 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 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 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 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 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 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 Joost Driessen, University of Amsterdam (joint with Martijn Cremers, Pascal Maenhout and David Weinbaum) Discussants Varqa Khadem, Lehman Brothers Garry Young, Bank of England