MITSUI LIFE | Mitsui Life Symposium

Program Registration Travel Information Ross Papers Finance Dept Past Symposia

15TH MITSUI LIFE SYMPOSIUM "Credit Risk: Implications for the Macro Economy and Financial Markets" Stephen M. Ross School of Business University of Michigan Ann Arbor, MI May 29-31, 2008

Friday Morning, May 30 Ross – Room E0540
9:00-10:30	Session 1: Moral Hazard in Originations CHAIR: E. Han Kim, University of Michigan Did Securitization Lead to Lax Screening? Evidence from Subprime Loans 2001-2006 Benjamin J. Keys, University of Michigan; Tanmoy Mukherjee, Sorin Capital Management; Amit Seru, University of Chicago; and Vikrant Vig, London Business Discussant: Adam Ashcraft, Federal Reserve Bank NY The Consequences of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis Atif Mian, University of Chicago, and Amir Sufi, University of Chicago Discussant: Clemens Sialm, University of Texas Austin
10:45-12:15	Session 2: Mortgage Crisis and Subprime Lending CHAIR: Tyler Shumway, University of Michigan Stochastic House Appreciation and Optimal Subprime Lending Tomasz Piskorski, Columbia University and Alexei Tchistyi, NYU Stern Discussant: Hong Liu, Washington University Economic Catastrophe Bonds Josh Coval, Harvard University; Jakub Jurek, Harvard University; and Erik Stafford, Harvard University Discussant: Stanley E. Zin, Carnegie Mellon University
12:45-2:15 p.m.	PANEL DISCUSSION Ross, Room W0750 MODERATOR: Haitao Li, University of Michigan • "Now Wall Street has to work hard to get us the yield we need! : Some things that will blow up soon” Daniel Bergstresser, Harvard University ( formerly with Barclays Global Investors, London ) • “The impact of the liquidity crunch on quant investing “ Pierre Collin-Dufresne, Goldman Sachs (formerly with University of California Berkeley) • Subprime: Causes, Impacts, and Implications Hui Ou-yang, Lehman Brothers, Asia Pacific (formerly with Duke University)
2:30-4:00.p.m.	Session 3: Credit Risk in Corporate Finance CHAIR: Lu Zhang, University of Michigan Collateral Pricing Efraim Benmelech, Harvard University and Nittai Bergman, MIT Sloan Discussant: Amiyatosh Purnanandam, University of Michigan Rules versus Discretion in Capital Structure Decisions – The Case of Toggle Notes Antonio Mello, University of Wisconsin and Karan Bhanot, University of Texas Austin Discussant: Dirk Hackbarth, Washington University St. Louis
4:15-5:45	Session 4: Credit Risk Modeling CHAIR: Nejat Seyhun, University of Michigan Specification Analysis of Structural Credit Risk Models Jingzhi Huang, Penn State University and Hao Zhou, Federal Reserve Board Discussant: Ren-Raw Chen, Rutgers University The Information Content of Option-Implied Volatility for Credit Default Swap Valuation Charles Cao, Penn State University; Fan Yu, Michigan State University; and Zhaodong Zhong, Penn State University Discussant: Murray Carlson, University of British Columbia
7:00 p.m.	Dinner and keynote speech -- Rackham Keynote Address: Douglas T. Breeden, Duke University

Saturday, May 31, 2008 Ross – Room E0540
9:00-10:30	Session 5: Credit Risk in Asset Pricing CHAIR: Takaaki Wakasugi, Tokyo Keizai University Default Risk Premia and Asset Returns Antje Berndt, Carnegie Mellon University; Aziz A. Lookman, Carnegie Mellon University; and Iulian Obreja, University of Colorado Discussant: Erica Li, University of Michigan Time Varying Default Risk Premia in Corporate Bond Markets Jan Ericsson, McGill University, and Redouane Elkamhi, McGill University Discussant: J. Spencer Martin, Carnegie Mellon
10:45 -12:15	Session 6: Credit Risk in Macroeconomics CHAIR: M.P. Narayanan, University of Michigan Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure Hui Chen, MIT Sloan Discussant: Zhiguo He, Northwestern The Aggregate Demand for Treasury Debt Arvind Krishnamurthy, Northwestern and Annette Vissing-Jorgensen, Northwestern and NBER Discussant: Francisco Palomino, University of Michigan
12:15-1:30 p.m.	LUNCH Ross – Room W0750 Announcement of the 2008 Best Paper Award ($3000 Prize)