The Changing Nature of Credit Markets
Credit markets have changed substantially over the last decade. Banks and other institutions securitize more of their loans, mortgages are offered as structured products and sold in tranches, and the opportunities to manage risks with derivatives are greater than ever.
The number of participants that use the markets for financing and speculation has increased, not the least through private equity and hedge funds. The advances have been fast and it is not clear that regulators, policy makers, and supervisory authorities know who are exposed to risks and how well markets function during periods of crisis. The recent turbulence in the credit markets have had impact in seemingly unrelated markets, affecting the global economy and resulting in severe losses for lending institutions and investors.
This conference aims to bring together leading academics with financial practitioners and policymakers to discuss research evidence on credit markets and its broader implications for practice and policy.
Open Conference Program, Monday August 25
08:30 Coffee and welcome.
09:00鈥12:30 Presentation: 鈥淐redit risk transfer: Implications for financial stability鈥
Keynote: Darrell Duffie, Stanford University
Presentation: 鈥淒eciphering the 2007鈥2008 liquidity and credit crunch鈥
Keynote: Markus Brunnermeier, Princeton University
Coffee.
Presentation: 鈥淐orporate Governance of Creditors.鈥
Keynote: David Skeel, University of Pennsylvania Law School
12:30鈥13:30 Lunch.
13:30鈥17:00 Presentation: 鈥淟iquidity components of credit spreads鈥
Keynote: David Lando, Copenhagen Business School
Coffee.
Presentation: 鈥淭he impact of the liquidity crunch on investing鈥
Presenter: Pierre Collin鈥怐ufresne, Columbia University
Presentation: 鈥淲hat now? Lessons and effects of the recent credit crisis.鈥
Presenter: Anthony Santomero, McKinsey & Co
17:00 Concluding remarks.
Academic Conference Program, Tuesday August 26
08:30 Coffee.
09:00鈥09:45 鈥淭he Alchemy of CDO Credit Ratings鈥.
Presenter: Effi Benmelech (Harvard University)
Discussant: Amit Seru (University of Chicago)
09:45鈥10:30 鈥淒id Securitization Lead to Lax Screening? Evidence From Subprime Loans 2001鈥2006鈥.
Presenter: Vikrant Vig (LBS)
Discussant: Chris James (University of Florida)
10:30鈥11:00 Coffee.
11:00鈥11:45 鈥淐redit Rating Shopping, Pre鈥怑valuation and the Equilibrium Structure of Ratings鈥
Presenter: Chester Spatt (Carnegie Mellon University):
Discussant: Francesco Sangiorgi (海角社区下载 School of Economics)
11:45鈥12:30 鈥淒erivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market鈥.
Presenter: Frank de Jong (Tilburg University)
Discussant: Mikhail Chernov (London Business School)
12:30鈥13:30 Lunch.
13:30鈥14:15 鈥淐redit Spreads and Real Activity鈥.
Presenter: Philippe Mueller (Columbia Business School):
Discussant: Joost Driessen (University of Amsterdam)
14:15鈥14:30 Coffee
14:30鈥15:15 鈥淐reditor Control and Conflict in Chapter 11鈥.
Presenter: Kenneth Ayotte (Northwestern University)
Discussant: Oren Sussman (Oxford University)
15:15鈥16:00 鈥淔inancial Intermediary Leverage and Value鈥恆t鈥怰isk鈥
Presenter: Tobias Adrian (New York Fed)
Discussant: Albert 屎Pete屎 Kyle (University of Maryland)