15th Mitsui Finance Symposium on Credit Risk: Implications for the Macro Economy and Financial Markets

Stephen M. Ross School of Business
University of Michigan
Ann Arbor, MI
May 30 – 31, 2008

Keynote Address: Douglas T. Breeden, Duke University

Friday, May 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 School)
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)

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)

PANEL DISCUSSION
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)

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)

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)

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 University)

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 University)
The Aggregate Demand for Treasury Debt
Arvind Krishnamurthy (Northwestern University) and Annette Vissing-Jorgensen (Northwestern University and NBER)
Discussant: Francisco Palomino (University of Michigan)