WorkshopinFixedIncomeandBondMarketsOctober14,2011.pdfVIP

1 Workshop in Fixed Income and Bond Markets October 14, 2011, Xiamen, China Organizers: The Wang Yanan Institute for Studies in Economics, Xiamen University School of Economics, Xiamen University Ministry of Education Key Laboratory in Econometrics, Xiamen University Venue: Economics Building A501, Xiamen University Workshop Language: English 固定收益与债券市场研讨会 2011年10月14日，中国厦门 举办方：厦门大学王亚南经济研究院、厦门大学经济学院 计量经济学教育部重点实验室（厦门大学） 地点：厦门大学经济楼 A座 5楼会议室 会议语言：英语 8:00 - 8:40 Registration 8:40 - 8:50 Opening Remarks: Yongmiao Hong, Ernest S. Liu Professor of Economics and International Studies, Cornell University, Director of School of Economics and Wang Yanan Institute for Studies in Economics, Xiamen University 8:50 - 9:40 Keynote I Chair: Yongmiao Hong, Cornell University and Xiamen University “Models of Term Structure of Interest Rates” by Oldrich Alfons Vasicek 9:40 - 10:10 Workshop Photo and Coffee Break 2 10:10 - 12:10 Session I Chair: Qian Han, WISE, Xiamen University [1] “A Type of HJM Based Affine Model: Theory and Empirical Evidence”, Xiaoxia Ye, National University of Singapore, and Haitao Li, University of Michigan Discussant: Shaoyu Li, Xiamen University [2] “Pricing Range Accrual Notes in An Affine Term Structure Model with Stochastic Mean, Stochastic Volatility and Jump”, Shouyu Li, Xiamen University, Hongming Huang, National Central University, and Li-Chuan Tsai, Xiamen University Discussant: Shicheng Huang, Xiamen University [3] “The Determinants of the Credit Rating of Local Government Financing Vehicle Bonds in China”, Robin Luo and Linfeng Chen, Moody Discussant: Xiaoxia Ye, National University of Singapore 12:00 Lunch (Yifu Building) 14:00 - 14:50 Keynote II Chair: Li-Chuan Tsai, WISE, Xiamen University “Local-Momentum Autoregression for Modeling Interest Rate and Term Structure”, by Jin-Chuan Duan, Risk Management Institute and NUS Business School, National Uni