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.
09:00â€12:30 Presentation: “Credit risk transfer: Implications for financial stabilityâ€
Keynote: Darrell Duffie, Stanford University
Presentation: “Deciphering the 2007â€2008 liquidity and credit crunchâ€
Keynote: Markus Brunnermeier, Princeton University
Coffee.
Presentation: “Corporate Governance of Creditors.â€
Keynote: David Skeel, University of Pennsylvania Law School
12:30â€13:30 Lunch.
13:30â€17:00 Presentation: “Liquidity components of credit spreadsâ€
Keynote: David Lando, Copenhagen Business School
Coffee.
Presentation: “The impact of the liquidity crunch on investingâ€
Presenter: Pierre Collinâ€Dufresne, Columbia University
Presentation: “What now? Lessons and effects of the recent credit crisis.â€
Presenter: Anthony Santomero, McKinsey & Co
17:00 Concluding remarks.
Academic Conference Program, Tuesday August 26
08:30 Coffee.
09:00â€09:45 “The Alchemy of CDO Credit Ratingsâ€.
Presenter: Effi Benmelech (Harvard University)
Discussant: Amit Seru (University of Chicago)
09:45â€10:30 “Did Securitization Lead to Lax Screening? Evidence From Subprime Loans 2001â€2006â€.
Presenter: Vikrant Vig (LBS)
Discussant: Chris James (University of Florida)
10:30â€11:00 Coffee.
11:00â€11:45 “Credit Rating Shopping, Preâ€Evaluation and the Equilibrium Structure of Ratingsâ€
Presenter: Chester Spatt (Carnegie Mellon University):
Discussant: Francesco Sangiorgi (ºÚÁÏÍø)
11:45â€12:30 “Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Marketâ€.
Presenter: Frank de Jong (Tilburg University)
Discussant: Mikhail Chernov (London Business School)
12:30â€13:30 Lunch.
13:30â€14:15 “Credit Spreads and Real Activityâ€.
Presenter: Philippe Mueller (Columbia Business School):
Discussant: Joost Driessen (University of Amsterdam)
14:15â€14:30 Coffee
14:30â€15:15 “Creditor Control and Conflict in Chapter 11â€.
Presenter: Kenneth Ayotte (Northwestern University)
Discussant: Oren Sussman (Oxford University)
15:15â€16:00 “Financial Intermediary Leverage and Valueâ€atâ€Riskâ€
Presenter: Tobias Adrian (New York Fed)
Discussant: Albert ʺPeteʺ Kyle (University of Maryland)