CONFERENCE ON LIQUIDITY | Chicago, October 30, 2009
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PROGRAM
| Time | Speaker | Title (click for paper) |
|---|---|---|
| 8:30 am | Registration and Breakfast | |
| 9:15am | David Lando | |
| 10:00am | Tobias Adrian and Paul Glasserman | CoVaR Risk Horizon and Rebalancing Horizon in Portfolio Risk Measurement |
| 10:50am | Refreshment Break | |
| 11:15am | David Bates, Mikhail Chernov,Viktor Todorov |
U.S. Stock Market Crash Risk, 1926-2006 Disasters implied by equity index options Tails, Fears and Risk Premia |
| 12:30pm | Lunch | |
| 1:45pm | Christian Gourieroux | |
| 2:30pm | Jorg Rocholl, Albert Menkveld | The Price of Liquidity: Bank Characteristics and Market Conditions Price Pressures |
| 3:20pm | Afternoon Break | |
| 3:45pm | Bernd Schwaab, Peter Christoffersen , Li Xu | Macro, Industry, and Frailty effects in Defaults during the 2008 Credit, Crisis: A variance decomposition, Exploring Dynamic Default Dependence, A Markov Chain Monte Carlo Analysis of Credit Spread Models |