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SFI Outstanding Paper Award Evening Lecture

The Swiss Finance Institute is pleased to invite you to a presentation by Prof. Suresh Sundaresan, co-author of the Swiss Finance Institute Award’s 2016 award-winning paper.

Speaker 

Prof. Suresh Sundaresan, Columbia Business School

Topic 

An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

In their paper Sven Klingler and Suresh Sundaresan offer an explanation regarding the fact that 30-year US swap spreads have been persistently negative since September 2008. Through their model they show that the demand for swaps arising from duration hedging needs of underfunded pension plans, coupled with balance sheet constraints of swap dealers, can drive swap spreads to become negative. The researchers further construct an empirical measure of the aggregate funding status of Defined Benefits pension plans from the Federal Reserve's financial accounts of the United States and show that this measure is a significant explanatory variable of 30-year swap spreads, but not for swaps with shorter maturities.

Date

Monday, 12 June 2017

Program

20.30 - 21.15 Seminar and Q+A

Location

Study Center Gerzensee, Dorfstrasse 2, 3115 Gerzensee

More Information

The presentation will be in English and attendance is free of charge. For safety reasons, registration is mandatory.

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