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2013 Fixed Income Conference

Fixed Income Conference

April 19-20,2013

Courtyard by Marriott Charleston Historic District
125 Calhoun Street
Charleston, SC 29401

View speaker biographies and research papers.

Conference Program

Day 1 Agenda

Check-in and breakfast
Welcome and Introductory remarks
Keynote Speaker, Bob Kopprasch, Citi / The Yield Book
 10:00- 10:30
Rick Rieder, BlackRock
Concurrent panels:

Return Enhancement Strategies:  Watching the Fed

Moderator: Jean Helwege, Ph.D., Darla Moore School of Business
Chip Hunt, PrimeTRUST Advisors
Jim Narron, Federal Reserve Bank of New York
Esther Chance, Invesco

Return Enhancement Strategies:  Prospecting for Yield

Moderator: Steve Mann, Ph.D., Darla Moore School of Business
Jason Serrano, Oak Hill Advisors
Ian Morris, Blackstone
Jake Plunkett, Cadwyn Point Partners
Speaker: Jared Gross, PIMCO
Concurrent panels:

Sovereign Debt Threat

Moderator: Robin Grieves, Ph.D., Darla Moore School of Business
Marie Cavanaugh, Standard & Poor’s
Rich Gordon, Wells Fargo
Robert Smalley, UBS

Corporate Credit: The Siren Song of Compressed Spreads

Moderator: Eric Powers, Ph.D., Darla Moore School of Business
Ken Emery, Moody’s
Lee Brading, Wells Fargo
Mike Mutti, Stifel Nicolaus
Speaker: Tom Klaffky, Citi / The Yield Book
Presentation of the Arthur Warga Best Paper Award 2013
Cocktails and presentation of the Arthur Warga Best Paper Award 2013

Day 2 Agenda

Continental breakfast
Academic paper presentations and discussion
Concurrent presentations

Session 1: Risk Premia and Treasury Bonds

  • Olesya V. Grishchenko, Joel M. Vanden and Jianing Zhang, The Informational Content of the Embedded Deflation Option in TIPS. (Discussant: Philipp Illeditsch, Wharton)
  • Anh Le and Kenneth J. Singleton, The Structure of Risks in Equilibrium Affine Term Structures of Bond Yields. (Discussant: Albert Lee Chun, Copenhagen Business School)
  • Jay Huang and Zhan Shi, Understanding Term Premia on Real Bonds. (Discussant: Canlin Li, Federal Reserve Board)

Session 2: Demand Shocks in Fixed Income Markets

  • Robert Jarrow and Hao Li, The Impact of Quantitative Easing on the Term Structure of Interest Rates. (Discussant: Matt Pritsker, Boston Fed)
  • Robert Engel, Michael Fleming, Eric Ghysels and Giang Nguyen, Liquidity, Volatility and Flights to Safety in the US Treasury Market: Evidence from a New Class of Dynamic Order Book Models. (Discussant: Jean Helwege, South Carolina)
  • Jens Dick-Nielsen, Dealer Inventory and the Cost of Immediacy. (Discussant: Jennie Bai, New York Fed)

Concurrent presentations

Session 3: Pricing Credit Risk

  • Hitesh Doshi, Jan Ericcson, Kris Jacobs and Stuart Turnbull, On Pricing Credit Default Swaps with Observed Covariates. (Discussant: Madhu Kalimipalli, Wilfrid Laurier)
  • Dragon Tang and Hong Yan, What Moves CDS Spreads? (Discussant: Robert Jarrow, Cornell)
  • Hui Chen, Rui Cui, Zhiguo He and Konstantin Milbradt, Liquidity and Default of Corporate Bonds over the Business Cycle. (Discussant: Mads Stenbo Nielsen, Copenhagen Business School)

Session 4: The Relationship Between Corporate Bonds and Equity

  • Peter Feldhutter, Edith Hotchkiss and Oguzhan Karakas, The Impact of Creditor Control on Corporate Bond Pricing and Liquidity. (Discussant: Yaxin Duan, Federal Reserve Board)
  • Bing Han and Yi Zhou, Term Structure of Credit Default Swap Spreads and Cross Section of Stock Return. (Discussant: Marco Rossi, Notre Dame)
  • Jack Bao and Kewei Hou, Comovement of Bonds and Equities. (Discussant: Eric Powers, South Carolina)

Paper Submissions

Paper submission for the Fixed Income Conference closed January 15. For more information email Papers will be reviewed and authors will be notified of the program committee's decision no later than February 15, 2013.