University of Connecticut University of UC Title Fallback Connecticut

 

Overview 

 

The Masters of Science in Financial Risk Management (MSFRM) Program at the University of Connecticut will host the 3rd Annual Academic Conference on Risk Management at the Storrs Campus on May 12, 2017.  This conference brings together academic researchers at the frontier of risk management and investments.  This year's conference program includes empirical perspectives on the pricing of corporate credit risk, extraction of default probabilities from credit default swaps and equity option prices, security lending in times of stress, hedge fund activism, central bank communications and their impact on the yield curve, and the behavior of leverage ratios in a model with real frictions.

 

2017 Program

9:00 am                                      Welcome

9:15 am—9:55 am                    Emil Siriwardane, Harvard University

                                                        “Concentrated Capital Losses and the Pricing of Corporate Credit Risk”

9:55 am—10:10 am                  Discussant: Andrea Vedolin, London School of Economics

10:10 am—10:15 am                 Audience Q&A

 

10:15 am—10:55 am                Dirk Hackbarth, Boston University

                                                        "Corporate Investment and Financing Dynamics"

10:55 am—11:10 am                 Discussant: Missaka Warusawitharana, Federal Reserve Board

11:10 am—11:15 am                   Audience Q&A

 

11:15 am - 11:30 am                  Coffee/Tea/Water Break

 

11:30 am - 12:10 pm                 Lars-Alexander Kuehn, Carnegie Mellon 

                                                        “Credit and Option Risk Premia"

12:10 pm - 12:25 pm                Discussant: Emil Siriwardane, Harvard University

12:25 pm—12:30 pm                Audience Q&A

 

12:30 pm—1:30 pm                 Lunch & Remarks from Dean John Elliott

                                                          Dean’s Board Room, Room 321

 

1:30 pm—2:10 pm                    Stéphane Verani, Federal Reserve Board

                                                       “Securities Lending as Wholsale Funding: Evidence from the U.S. Life Insurance Industry”

2:10 pm - 2:25 pm                     Discussant: Andrew Metrick, Yale University

2:25 pm—2:30 pm                    Audience Q&A

 

2:30 pm— 3:10 pm                  Andrea Vedolin, London School of Economics

                                                       “Central Bank Communication and the Yield Curve”

3:10 pm— 3:25 pm                   Discussant: Ali Ozdagli,  Federal Reserve Bank of Boston

3:25 pm—3:30 pm                    Audience Q&A

 

3:30 pm—4:00 pm                 Coffee/Tea/Water Break

 

4:00 pm—4:40 pm                Simi Kedia,  Rutgers University

                                                      “Institutional Investors and Hedge Fund Activism

4:40 pm—4:55 pm                 Discussant: Nicole Boyson, Northeastern University

4:55 pm—5:00 pm                  Audience Q&A

 

 

Ing-Haw Chen and "The Expected Returns to Fear"
John Elliott, Dean of the UConn School of Business addresses the attendees of the Academic Risk Conference