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.
09:00‐12:30 Presentation: “Credit risk transfer: Implications for financial stability”
Keynote: Darrell Duffie, Stanford University
Presentation: “Deciphering the 2007‐2008 liquidity and credit crunch”
Keynote: Markus Brunnermeier, Princeton University
Presentation: “Corporate Governance of Creditors.”
Keynote: David Skeel, University of Pennsylvania Law School
13:30‐17:00 Presentation: “Liquidity components of credit spreads”
Keynote: David Lando, Copenhagen Business School
Presentation: “The impact of the liquidity crunch on investing”
Presenter: Pierre Collin‐Dufresne, Columbia University
Presentation: “What now? Lessons and effects of the recent credit crisis.”
Presenter: Anthony Santomero, McKinsey & Co
17:00 Concluding remarks.
Academic Conference Program, Tuesday August 26
09:00‐09:45 “The Alchemy of CDO Credit Ratings”.
Presenter: Effi Benmelech (Harvard University)
Discussant: Amit Seru (University of Chicago)
09:45‐10:30 “Did Securitization Lead to Lax Screening? Evidence From Subprime Loans 2001‐2006”.
Presenter: Vikrant Vig (LBS)
Discussant: Chris James (University of Florida)
11:00‐11:45 “Credit Rating Shopping, Pre‐Evaluation and the Equilibrium Structure of Ratings”
Presenter: Chester Spatt (Carnegie Mellon University):
Discussant: Francesco Sangiorgi (Stockholm School of Economics)
11:45‐12:30 “Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market”.
Presenter: Frank de Jong (Tilburg University)
Discussant: Mikhail Chernov (London Business School)
13:30‐14:15 “Credit Spreads and Real Activity”.
Presenter: Philippe Mueller (Columbia Business School):
Discussant: Joost Driessen (University of Amsterdam)
14:30‐15:15 “Creditor Control and Conflict in Chapter 11”.
Presenter: Kenneth Ayotte (Northwestern University)
Discussant: Oren Sussman (Oxford University)
15:15‐16:00 “Financial Intermediary Leverage and Value‐at‐Risk”
Presenter: Tobias Adrian (New York Fed)
Discussant: Albert ʺPeteʺ Kyle (University of Maryland)