Programme Day 2 - 3rd October 2008

8:20 Registration and breakfast

8:50 Welcome address

Rob Mannix, Publisher, CREDIT

9:00 Keynote address

Alex Levin, ANDREW DAVIDSON & CO

9:40 Presentation: Risk premium determination for pricing mortgages

• Two models for the risk premium in the Vasicek short rate model: explicit solutions
• Empirical results: a possible explanation for humped yield curves
• The effect of market interest rate risk aversion on valuation of mortgages

Srdjan Stojanovic, Professor, UNIVERSITY OF CINNCINATI

10.20 Morning break

10:50 Presentation: Survival strategies: Practical issues in loan default management

• Servicing defaulted loans
• Pre-default segmentation
• Delinquency monitoring
• Mitigating losses
• Identifying niches within the agency market

Steven Abrahams, CITADEL CAPITAL ADVISORS

11.30 Presentation: Subprime CDO Ratings and the Current Financial Crisis: Modeling Perspective

• Housing market downturn and subprime CDO crisis
• A structural model of mortgages
• Estimation of housing market parameters
• Numerical example in a mean-reversion housing market model

Yong Kim, Vice President – Model Validation, KEY BANK

12:10 Lunch

13:20 Panel discussion: Mortgage securitization, transparency and valuation considerations

• Standardization of data for mortgage loans
• Analyzing loan-by-loan data and data validation
• Pricing mechanics and the return to fundamental analysis

Moderator: Andy Kalotay, President, ANDREW KALOTAY ASSOCIATES

Glenn Schultz, Managing Director – Head of ABS and Non-Conforming Mortgage Research, WACHOVIA

Yong Kim, Vice President - Model Validations, KEY BANK

14:20 Presentation: Washington to the rescue: Can the government help housing?

• Examining government-funded bail-out plans to alleviate subprime distress
• How could each plan help?
• The impact on mortgage finance

Ajay Rajadhyaksha, Director and Head – U.S. Fixed Income Strategy, BARCLAYS CAPITAL

15:00 Chairperson’s closing remarks

15:10 End of conference