NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

 

SUMMER INSTITUTE 2006

 

Risks of Financial Institutions Group Meeting

 

Mark Carey and René Stulz, Organizers

 

Royal Sonesta Hotel

40 Edwin H. Land Boulevard

Cambridge, Massachusetts

 

July 13, 2006

 

PROGRAM

 

THURSDAY JULY 13

 

 

 8:00 am

Coffee and Pastries

 

 

 8:30 am

DARRELL DUFFIE, Stanford University and NBER

 

ANDREAS ECKNER, GUILLAUME HOREL and LEANDO SAITA,

 

Stanford University

 

Frailty Correlated Default

 

 

 

Discussant:  TIL SCHUERMANN, Federal Reserve Bank of New York

 

 

 9:30 am

Break

 

 

 9:45 am

GARY GORTON, University of Pennsylvania and NBER

 

PING HE, University of Illinois at Chicago

 

LIXIN HUANG, City University of Hong Kong

 

Asset Prices When Agents are Marked to Market

 

 

 

Discussant:  CHESTER SPATT, Securities and Exchange Commission

 

 

10:45 am

Break

 

 

11:00 am

FRANCIS LONGSTAFF, UC, Los Angeles and NBER

 

ARVIND RAJAN, Citigroup

 

An Empirical Analysis of the Pricing of Collateralized Debt Obligations

 

 

 

Discussant: PIERRE COLLIN-DUFRESNE, UC, Berkeley and NBER

 

 

12:00 n

Lunch

 

 

Note:  Asset Pricing Workshop follows

 

 

5/17/06