*: Keli: Keli conference room located on the third floor of the Keli Building (克立楼) of Xiamen University.
**：D109, D309 and D310 are rooms in the D section of the Economics Building of Xiamen University.
International Symposium on Risk Management and Derivatives
July 4-6, 2009, Xiamen, China
July 4, 2009
8:00 -- 8:30 am Registration
8:30 -- 8:45 am Opening Remarks
Chair: Zongwu Cai, University of North Carolina at Charlotte and Xiamen University
[1] Yongmiao Hong, Cornell University and Director of WISE, Xiamen University
[2] Bill Sealey, Chair of Department of Finance, University of North Carolina at Charlotte
8:45 – 10:05 am Keynote Session I
Chair: Zongwu Cai, University of North Carolina at Charlotte and Xiamen University
[1] Eric Ghysels, University of North Carolina at Chapel Hill
“The High Frequency Data GARCH Process”
[2] Wolfgang Karl Haerdle, Humboldt University of Berlin
“CDO Pricing with Multifactor and Copulae Models”
Barbara Choros, Wolfgang Karl Haerdle, Ostap Okhrin, Humboldt University of Berlin
10:05 – 10:40 Photo-taken and Coffee Break
10:40 am --- 12:10 pm Session I
Session 1A: Option Markets
Chair: Richard Buttimer, University of North Carolina at Charlotte
[1] “Do Options Contribute to Price Discovery in Emerging Markets?”
Kam C. Chan, Western Kentucky University, Yuan-Chen Chang, National Chengchi University and Peter P. Lung, University of Texas at Arlington
[2] “A Random Walk down the Options Market”
George J. Jiang, University of Arizona and Yisong S. Tian, York University
[3] “The Adjustable Balance Mortgage: Reducing the Value of the Put”
Brent W. Ambrose, the Pennsylvania State University and Richard Buttimer, University of North Carolina at Charlotte
Session 1B: Financial Modeling
Chair: Yongmiao Hong, Cornell University and Xiamen University
[1] “International Market Links and Volatility Transmission”
Valentina Corradi, University of Warwick, Walter Distaso, Imperial College London and Marcelo Fernandes, Queen Mary University of London
[2] “Nonparametric Estimation of Individual Risk Behavior”
Melanie Schienle, Humboldt University of Berlin
[3] “Is the Drift of the Interest Rate Process Linear? A New Approach and Evidence”
Yongmiao Hong, Cornell University and Xiamen University, Yoon-Jin Lee, Indiana University and Zhaogang Song, Cornell University
Session 1C: Credit Default Swap
Chair: Hai Lin, Xiamen University
[1] “An Empirical Analysis of the Impact of the Credit Default Swap Index Market on Large Complex Financial Institutions”
Giovanni Calice and Christos Ioannidis, University of Bath
[2] “Hierarchical Archimedean Copula over Time Dependence with Application to the Credit Default Swaps”
Wolfgang Karl Haerdle, Ostap Okhrin, Humboldt University of Berlin and Yarema Okhrin, University of Bern
[3] “Liquidity Premia in the Credit Default Swap and Corporate Bond Markets”
Hai Lin, Xiamen University, Sheen Liu, Washington State University and Chunchi Wu, University of Missouri-Columbia
12:10 -- 2:00 pm Lunch
2:00 – 2:40 pm Keynote Session II
Chair: Weidong Tian, University of North Carolina at Charlotte
[1] Jiang Wang, Massachusetts Institute of Technology
“Liquidity of Corporate Bonds”
Jack Bao, MIT Sloan School of Management, Jun Pan, MIT Sloan School of Management and NBER and Jiang Wang, MIT Sloan School of Management, CCFR and NBER
2:50 – 3:50 pm Session II
Session 2A: Asset Pricing Model
Chair: Robert Kimmel, Ohio State University
[1] “Time-Varying Preferences and SAD: Evidence from an Asset Pricing Model”
Mark J. Kamstra, York University, Lisa A. Kramer, University of Toronto, Maurice D. Levi, University of British Columbia and Tan Wang, University of British Columbia
[2] “Asset Pricing Tests in Short Panels”
Robert Kimmel, Ohio State University
Session 2B: Risk Management
Chair: Giovanni Urga, Cass Business School and University of Bergamo
[1] “Bootstrap Partial Linear Quantile Regression and Confidence Bands”
Wolfgang Karl Haerdle, Humboldt University of Berlin, Yaacov Ritov, The Hebrew University of Jerusalem and Song Song, Humboldt University of Berlin
[2] “CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads”
Arturo Leccadito, University of Calabria and Cass Business School, Radu Tunaru, Cass Business School and Giovanni Urga, Cass Business School and University of Bergamo
Session 2C: Mathematical Finance
Chair: Valentina Corradi, University of Warwick
[1] “Asymptotic Analysis for Hedging Risk Under Estimated Strategy in Presence of Jumps”
Zhi Liu, Bingyi Jing and Xinbing Kong, Hong Kong University of Science Technology
[2] “A Martingale Approach for Testing Diffusion Models Based on Infinitesimal Operator”
Zhaogang Song, Cornell University
3:50 – 4:20 pm Coffee Break
4:20 – 5:50 pm Session 3
Session 3A: Credit Risk and Risk Management
Chair: Bill Sealey, University of North Carolina at Charlotte
[1] “Internal Capital Allocation and Firm Performance”
Ilan Guedj, Jennifer Huang, University of Texas at Austin and Johan Sulaeman, Southern Methodist University
[2] “Robust Portfolio Solutions to the Mean-Variance Portfolio Selection”
Yuying Li, University of Waterloo
[3] “Moral Hazard in an Insurance Market with a Guarantee Fund” (TBA)
Bill Sealey, University of North Carolina at Charlotte
Session 3B: Analysis of Risk
Chair: Yu Ren, Xiamen University
[1] “An Examination of Profit Ability and Risk-Taking Behavior in Futures Market”
Teng Yuan Cheng, National Cheng Kung University, Chao Hsien Lin, National Kaohsiung First University of Science and Technology and Chun I Lee, Loyola Marymount University
[2] “Analysis on Exchange Rate Pass-Through with Evidence from Northeast Asia”
Yifeng He, Wenge Liu, and Hu Zhang, Central University of Finance and Economics
[3] “Price Limits and Margin Requirement with Loss-Averse Investors”
Pin-Huang Chou, National Central University (Taiwan) and Mei-Chen Lin, National United University (Taiwan)
Session 3C: Corporate Management
Chair: Rong Chen, Xiamen University
[1] “Commodities in Dynamic Asset Allocation: Implications of Mean Reverting Commodity Prices”
Renxiang Dai, Tilburg University
[2] “Is Convertible Bond Offering a Backdoor Equity Offering?”
Jeremy Goh, Singapore Management University and Wei Xie, Xiamen University and Singapore Management University
[3] “Takeover, Agency Cost and Corporate Governance”
Tao-Hsien Dolly King, Weidong Tian, and Xinde Cinder Zhang, University of North Carolina at Charlotte
6:00 --- 8:30pm Dinner
July 5, 2009
8:30 – 9:50 am Keynote Session III
Chair: Richard Buttimer, University of North Carolina at Charlotte
[1] Bruce N. Lehmann, University of California at San Diego
“Arbitrage-Free Limit Order Markets and the Pricing of Order Flow Risk”
Bruce N. Lehmann, University of California at San Diego
[2] Steven Ott, University of North Carolina at Charlotte
“A Generalized Real Options Model of Land: Valuation, Expected Returns and Development”
Richard Buttimer, Steven P. Clark, and Steven H. Ott, University of North Carolina Charlotte
9:50 – 10:20 am Coffee Break
10:20 – 11:50 am Session 4
Session 4A: Capital Allocation
Chair: Brett Graham, Xiamen University
[1] “Mr Madoffs Amazing Returns: An Analysis of the Split-Strike Conversion Strategy”
Carole Bernard, University of Waterloo and Phelim Boyle, Wilfrid Laurier University
[2] “Asset Substitution, Debt Overhang, and Optimal Capital Structure”
Jyh-Bang Jou, Massey University and Tan (Charlene) Lee, University of Auckland
[3] “Determinants of Asset Backed Security Prices in Crisis Periods”
William Perraudin and Shi Wu, Imperial College London
Session 4B: Market Volatility
Chair: Linlin Niu, Xiamen University
[1] “Testing for Smooth Structural Changes in GARCH Models”
Bin Chen, University of Rochester and Yongmiao Hong, Cornell University and Xiamen University
[2] “Localized Realized Volatility Modeling”
Ying Chen, National University of Singapore
[3] “Macro Factors and Volatility of Treasury Bond Returns”
Jingzhi Huang, Pennsylvania State University and Lei Lu, Shanghai University of Finance & Economics
Session 4C: Empirical Studies (实证研究) I
Chair: 郑鸣, 厦门大学
[1] “基于非参数分位点回归模型的金融市场风险传染分析”
陈燕武, 邱世斌, 吴承业, 华侨大学数量经济研究院
[2] “汇率稳定、货币市场均衡与货币政策的独立性”
郑鸣，刘林，倪玉娟, 厦门大学金融系
[3] “沪深300股指期货的风险特征---基于Copula函数的相依风险测度”
王吉培, 西南财经大学, 王开业, 模拟银行中心
12:00pm – 2:00pm Lunch
2:00 --- 3:30 pm Session 5
Session 5A: Housing and Subprime Crisis
Chair: Tie Su, University of Miami
[1] “Is Conduit Lending to Blame? Moral Hazard, Information Asymmetry, and the Performance of Securitized Conduit Loans”
Xudong An, San Diego State University, Yongheng Deng, National University of Singapore and Stuart A. Gabriel, University of California, Los Angeles
[2] “How Much Can the Option Value to Refinance Explain the Premium Associated With an Assumable Loan?”
Jyh-Bang Jou, Massey University and Tan (Charlene) Lee, University of Auckland
[3] “Mortgage Delivery Options”
Andrea J. Heuson and Tie Su, University of Miami
Session 5B: Macro Finance
Chair: Yufei Yuan, Xiamen University
[1] “Equity Returns and Business Cycles in Small Open Economies”
Mohammad R. Jahan-Parvar, Xuan Liu, and Philip Rothman, East Carolina University
[2] “A Macro Finance Term Structure Model with Stochastic Volatility”
Linlin Niu, Xiamen University
[3] “Explain Residential Investment of the United States: the Importance of Information and Collateral Constraints”
Yufei Yuan, Xiamen University
Session 5C: Default Risk and Financial Innovations
Chair: Guojin Chen, Xiamen University
[1] “Beauty Contests, Risk Shifting and Bubbles”
Henry (Huining) Cao, and Hui Ou-Yang, Cheung Kong Graduate School of Business, China
[2] “Optimal Trading and Tax Option Value of Defaultable Bonds with Asymmetric Capital Gain Taxes”
Peter Huaiyu Chen, Youngstown State University, Sheen X. Liu, Washington State University and Chunchi Wu, University of Missouri
[3] “Heterogeneous Beliefs, Competition and the Frailty of Financial Innovation”
Weidong Tian, University of North Carolina at Charlotte and Hong Yan, University of South Carolina
3:30 – 4:00 pm Coffee Break
4:00 ---5:30 pm Session 6
Session 6A: Investor Risk Behavior
Chair: Ming Lin, Xiamen University
[1] “Is Information the Motive for Home Bias? A New Perspective from Motives of Trading”
Xi Dong, Boston College
[2] “The Value Premium and Time-Varying Volatility”
Xiafei Li, Nottingham University, Chris Brooks, University of Reading and Joëlle Miffre, EDHEC Business School
[3] “Model Specification, Data History, and CDO (Mis)Pricing”
Dan Luo, Dragon Yongjun Tang and Sarah Qian Wang, University of Hong Kong
Session 6B: Empirical Studies II
Chair: Ying Fang, Xiamen University
[1] “Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach”
Qingqing Chen, Cornell University and Yongmiao Hong, Cornell University and Xiamen University
[2] “Volatility Dynamics of Early-stage Firms with Jump Risk and Stage-Clearing”
Xi Dong, Boston College and Shu Feng, Boston University
[3] “A Note on Combining Count and Power Variation: Estimating the Jump Activity Index for Semimartingales in financial Market”
Bing-Yi Jing, Xin-Bing Kong and Zhi Liu, Hong Kong University of Science and Technology
Session 6C: Operational Risk Management (风险管理)
Chair: 陈灯塔, 厦门大学
[1] “略论新形势下的金融衍生工具与金融风险管理”
陶海映, 集美大学
[2]“我国股票市场连续性波动与跳跃性波动的行为特征分析”
陈国进，王占海，厦门大学
[3] “私募股权资本风险管理的一般经济原则”
庄文韬, 上海财经大学、泉州师院创业发展研究中心、厦门隆纱投资有限公司
[4] “证券市场风险预警与投资决策模型”
邹辉文, 福州大学
6:00 --- 8:30 pm Dinner
July 6, 2009
Sightseeing
