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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

 8:00-9:00
Check-in and breakfast
 9:00-9:15
Welcome and Introductory remarks
 9:15-10:00
Keynote Speaker, Bob Kopprasch, Citi / The Yield Book
 10:00- 10:30
Rick Rieder, BlackRock
10:30-11:00
Break
11:00-12:15
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
12:30-1:45
Lunch
Speaker: Jared Gross, PIMCO
2:00-3:15
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
3:15-3:45
Break
3:45-4:30
Speaker: Tom Klaffky, Citi / The Yield Book
4:30-4:40
Presentation of the Arthur Warga Best Paper Award 2013
4:40-5:00
Wrap-up
5:30-7:00
Cocktails and presentation of the Arthur Warga Best Paper Award 2013

Day 2 Agenda

8:00-8:30
Continental breakfast
8:30-12:30
Academic paper presentations and discussion
8:30-10:15
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)

10:15-10:45
Break
10:45-12:30
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 fixedincomepaper@moore.sc.edu. Papers will be reviewed and authors will be notified of the program committee's decision no later than February 15, 2013.