"Liquidity, Credit and Risk"
Radisson SAS Hotel, Bordeaux, France
Papers
Key Note Address
Kenneth J. Singleton
Liquidity and Credit Default Swap Spreads
Dragon Yongjun Tang, Hong Yan
Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
Joost Driessen
Liquidity Risk and Correlation Risk: a Clinical Study of the General Motors and Ford Downgrade of May 2005
Yili Zhang* and Viral V. Acharya, London Business School and CEPR
Tutorial on ‘Realized Volatility’
Francis X. Diebold, J.M. Cohen Professor of Economics, Finance and Statistics, Wharton School, University of Pennsylvania
Dispersion in Analysts' Earnings Forecasts and Credit Rating
Tarun Chordia *, Goizueta Business School, Emory University and Doron Avramov, Gergana Jostova en Alexander Philipov
WINE AS AN INVESTMENT IN THE WAKE OF GLOBALIZATIO
Kym Anderson, University of Adelaide
Tranching and Rating
Ser-Huang Poon *, Manchester Business School, University of Manchester and Michael J. Brennan and Julia Hein
Jump and Cojump Risk in Subprime Home Equity Derivatives
Bruce Mizrach, Department of Economics, Rutgers University
The Divergence of Liquidity Commonality in the Cross-Section of Stocks
Ronnie Sadka *, Boston College, Avraham Kamara University of Washington, Xiaoxia Lou, University of Delaware