JENS HENRIK EGGERT CHRISTENSEN RESEARCH ADVISOR, FINANCIAL RESEARCH FEDERAL RESERVE BANK OF SAN FRANCISCO 101 MARKET STREET, SAN FRANCISCO, CA 94105

(1)

J

ENS

H

ENRIK

E

GGERT

C

HRISTENSEN

R

ESEARCH

A

DVISOR,

F

INANCIAL

R

ESEARCH

F

EDERAL

R

ESERVE

B

ANK OF

S

AN

F

RANCISCO

101 M

ARKET

S

TREET,

S

AN

F

RANCISCO

, CA 94105

JENS

.

CHRISTENSEN

@

SF

.

FRB

.

ORG

415.974.3115

US V

ISA

S

TATUS

:

P

ERMANENT

R

ESIDENT

R

ESEARCH

I

NTERESTS

C

REDIT

R

ISK

M

ODELING

, R

ISK

M

ANAGEMENT

, I

NTEREST

R

ATE

T

ERM

S

TRUCTURE

T

HEORY

E

DUCATION

2007 C

OPENHAGEN

B

USINESS

S

CHOOL

P

H

.D. F

INANCE

2002 U

NIVERSITY OF

C

OPENHAGEN

M.S

C

. E

CONOMICS

1996 U

NIVERSITY OF

C

OPENHAGEN

B.S. E

CONOMICS

D

ISSERTATION

T

OPIC

: ”Default and Recovery Risk Modeling and Estimation”

⋅

T

HE ESTIMATION OF CONFIDENCE SETS FOR RATING TRANSITION PROBABILITIES

.

⋅

T

HE QUADRATIC AND AFFINE-QUADRATIC ASSET PRICING MODELS

.

⋅

J

OINT ESTIMATION OF DEFAULT AND RECOVERY RISK: A SIMULATION STUDY

.

⋅

J

OINT ESTIMATION OF DEFAULT AND RECOVERY RISK: AN APPLICATION.

P

UBLISHED

P

APERS

“C

ONFIDENCE SETS FOR CONTINUOUS

-

TIME RATING TRANSITION PROBABILITIES

”:

WITH

D

AVID

L

ANDO AND

E

RNST

H

ANSEN

,

J

OURNAL OF

B

ANKING AND

F

INANCE

, V

OL

. 28, 2004,

PP

.

2575-2602.

“A

N ARBITRAGE-FREE GENERALIZED NELSON-SIEGEL TERM STRUCTURE MODEL”: WITH

F

RANK

X

.

D

IEBOLD AND

G

LENN

D

.

R

UDEBUSCH,

E

CONOMETRICS

J

OURNAL

, V

OL

. 12, N

O

. 3, 2009,

PP

.

33-64.

“I

NFLATION EXPECTATIONS AND RISK PREMIUMS IN AN ARBITRAGE-FREE MODEL OF NOMINAL AND REAL BOND YIELDS”: WITH

J

OSE

A. L

OPEZ AND

G

LENN

D

.

R

UDEBUSCH,

J

OURNAL OF

M

ONEY,

C

REDIT AND

B

ANKING

, V

OL

. 42, N

O

. 6, 2010,

PP

. 143-178.

“T

HE AFFINE ARBITRAGE-FREE CLASS OF NELSON-SIEGEL TERM STRUCTURE MODELS”: WITH

F

RANK

X

.

D

IEBOLD AND

G

LENN

D

.

R

UDEBUSCH,

J

OURNAL OF

E

CONOMETRICS

. V

OL

. 164,

2011,

PP

. 4-20.

“E

XTRACTING DEFLATION PROBABILITY FORECASTS FROM TREASURY YIELDS”: WITH

J

OSE

A. L

OPEZ AND

G

LENN

D

.

R

UDEBUSCH,

I

NTERNATIONAL

J

OURNAL OF

C

ENTRAL

B

ANKING

, V

OL

. 8,

N

O

. 4, 2012,

PP

. 21-60.

(2)

“T

HE RESPONSE OF INTEREST RATES TO U.S. AND U.K. QUANTITATIVE EASING”: WITH

G

LENN

D

.

R

UDEBUSCH,

E

CONOMIC

J

OURNAL

, V

OL

. 122, 2012,

PP

. F385-F414.

“D

O CENTRAL BANK LIQUIDITY FACILITIES AFFECT INTERBANK LENDING RATES?

”:

WITH

J

OSE

A. L

OPEZ AND

G

LENN

D

.

R

UDEBUSCH,

J

OURNAL OF

B

USINESS AND

E

CONOMIC

S

TATISTICS

, V

OL

.

32, N

O

. 1, 2014,

PP

. 136-151.

“E

STIMATING SHADOW-RATE TERM STRUCTURE MODELS WITH NEAR-ZERO YIELDS

”:

WITH

G

LENN

D

.

R

UDEBUSCH,

J

OURNAL OF

F

INANCIAL

E

CONOMETRICS

, V

OL

. 13, N

O

. 2, 2015,

PP

.

226-259.

“A

PROBABILITY-BASED STRESS TEST OF FEDERAL RESERVE ASSETS AND INCOME

”:

WITH

J

OSE

A. L

OPEZ AND

G

LENN

D

.

R

UDEBUSCH,

J

OURNAL OF

M

ONETARY

E

CONOMICS

, V

OL

. 73, 2015,

PP

.

26-43.

“P

RICING DEFLATION RISK WITH U.S. TREASURY YIELDS

”:

WITH

J

OSE

A. L

OPEZ AND

G

LENN

D

.

R

UDEBUSCH, FORTHCOMING

R

EVIEW OF

F

INANCE

.

“M

ODELING YIELDS AT THE ZERO LOWER BOUND: ARE SHADOW RATES THE SOLUTION?

”:

WITH

G

LENN

D

.

R

UDEBUSCH, FORTHCOMING

A

DVANCES IN

E

CONOMETRICS,

V

OL

. 35, 2015.

W

ORKING

P

APERS

“C

OULD THE U.S. TREASURY BENEFIT FROM ISSUING MORE TIPS?

”:

WITH

J

AMES

M

.

G

ILLAN,

J

UNE

2012.

“C

AN SPANNED TERM STRUCTURE FACTORS DRIVE STOCHASTIC VOLATILITY?

”:

WITH

J

OSE

A. L

OPEZ AND

G

LENN

D

.

R

UDEBUSCH,

J

ANUARY

2014.

“A

REGIME-SWITCHING MODEL OF THE YIELD CURVE AT THE ZERO BOUND,

”

A

PRIL

2015.

“T

RANSMISSION OF QUANTITATIVE EASING: THE ROLE OF CENTRAL BANK RESERVES

”:

WITH

S

IGNE

K

ROGSTRUP,

A

PRIL

2015.

“D

OES QUANTITATIVE EASING AFFECT MARKET LIQUIDITY?

”:

WITH

J

AMES

M

.

G

ILLAN,

M

AY

2015.

P

RESENTATIONS AT

P

ROFESSIONAL

M

EETINGS

J

UN

2015 NBER

E

AST

A

SIAN

S

EMINAR ON

E

CONOMICS,

F

EDERAL

R

ESERVE

B

ANK OF

S

AN

F

RANCISCO,

C

ALIFORNIA.

“A

”

A

PR

2015 T

HE

E

IGHTEENTH

C

ONFERENCE OF THE

S

WISS

S

OCIETY FOR

F

INANCIAL

M

ARKET

(3)

“T

RANSMISSION OF QUANTITATIVE EASING: THE ROLE OF CENTRAL BANK RESERVES

”

M

AR

2015 S

ECOND

I

NTERNATIONAL

C

ONFERENCE ON

S

OVEREIGN

B

OND

M

ARKETS,

ECB

,

F

RANKFURT.

“D

OES QUANTITATIVE EASING AFFECT MARKET LIQUIDITY

”

J

UN

2014 F

IRST

A

NNUAL

C

ONFERENCE OF THE

I

NTERNATIONAL

A

SSOCIATION FOR

A

PPLIED

E

CONOMETRICS,

Q

UEEN

M

ARY

U

NIVERSITY,

L

ONDON.

“A

”

AND

“M

ODELING YIELDS AT THE ZERO LOWER BOUND: ARE SHADOW RATES THE

SOLUTION?

”

J

UN

2014 20

TH

I

NTERNATIONAL

C

ONFERENCE ON

C

OMPUTING IN

E

CONOMICS AND

F

INANCE,

BI

N

ORWEGIAN

B

USINESS

S

CHOOL.

“A

”

AND

“M

ODELING YIELDS AT THE ZERO LOWER BOUND: ARE SHADOW RATES THE

SOLUTION?

”

J

UN

2014 T

HE

S

EVENTH

A

NNUAL

C

ONFERENCE OF THE

S

OCIETY OF

F

INANCIAL

E

CONOMETRICS,

R

OTMAN

S

CHOOL OF

M

ANAGEMENT,

T

ORONTO.

“A

REGIME-SWITCHING MODEL OF THE YIELD CURVE AT THE ZERO BOUND

”

J

UN

2014 B

ANCO DE

E

SPANA –

B

ANK OF

C

ANADA

W

ORKSHOP ON “

I

NTERNATIONAL

F

INANCIAL

M

ARKETS.”

“S

WISS UNCONVENTIONAL MONETARY POLICY: LESSONS FOR THE TRANSMISSION OF QUANTITATIVE EASING

”

O

CT

2013 FRBSF

W

ORKSHOP ON

T

ERM

S

TRUCTURE

M

ODELING AT THE

Z

ERO

L

OWER

B

OUND.

“M

ODELING YIELDS AT THE ZERO LOWER BOUND: ARE SHADOW RATES THE SOLUTION?

”

S

EP

2013 SNB

R

ESEARCH

C

ONFERENCE:

”A

NEW NORMAL FOR MONETARY POLICY?

”

–

Z

URICH.

“A

”

J

UL

2013 NBER

S

UMMER

I

NSTITUTE,

W

ORKSHOP ON

F

ORECASTING,

E

MPIRICAL

M

ETHODS IN

M

ACROECONOMICS

&

F

INANCE

, B

OSTON.

“E

”

M

AR

2013 23

RD

A

NNUAL

D

ERIVATIVE

S

ECURITIES

& R

ISK

M

EASUREMENT

C

ONFERENCE

,

FDIC C

ENTER FOR

F

INANCIAL

R

ESEARCH AND

C

ORNELL

U

NIVERSITY

.

“E

”

J

AN

2013 2013

IBEFA

A

NNUAL

M

EETING -

S

AN

D

IEGO

.

“C

OULD THE U.S. TREASURY BENEFIT FROM ISSUING MORE TIPS?

”

A

UG

2012 ECB

W

ORKSHOP ON

”M

ARKETS FOR INFLATION PROTECTION

”

-

F

RANKFURT

,

“E

XTRACTING DEFLATION PROBABILITY FORECASTS FROM TREASURY YIELDS

”

J

UL

2012 2012

IBEFA/WEAI

S

UMMER

M

EETING -

S

AN

F

RANCISCO

.

“T

HE RESPONSE OF INTEREST RATES TO U.S. AND U.K. QUANTITATIVE EASING

”

M

AR

2012 T

HE

F

IFTEENTH

C

ONFERENCE OF THE

S

WISS

S

OCIETY FOR

F

INANCIAL

M

ARKET

R

ESEARCH –

Z

URICH.

“P

”

J

AN

2012 T

HE

A

NNUAL

M

EETING OF THE

A

MERICAN

F

INANCE

A

SSOCIATION –

C

HICAGO.

“P

”

J

AN

2012 ’D

AY

A

HEAD’

C

ONFERENCE ON

F

INANCIAL

M

ARKETS AND

I

NSTITUTIONS, THE

F

EDERAL

R

ESERVE

B

ANK OF

C

HICAGO.

(4)

“P

”

J

UL

2011 2011

IBEFA/WEAI

S

UMMER

M

EETING -

S

AN

D

IEGO

.

“A

MODEL-INDEPENDENT MAXIMUM RANGE FOR THE LIQUIDITY CORRECTION OF TIPS YIELDS

”

J

UN

2011 T

HE

F

OURTH

A

NNUAL

C

ONFERENCE OF THE

S

OCIETY OF

F

INANCIAL

E

CONOMETRICS,

U

NIVERSITY OF

C

HICAGO.

“P

”

M

AY

2011 T

HE

S

ECOND

H

UMBOLDT

C

OPENHAGEN

C

ONFERENCE 2011, THE

U

NIVERSITY OF

C

OPENHAGEN.

“P

RICING DEFLATION RISK WITH U.S. TREASURY YIELDS”AND

“H

OW EFFICIENT IS THE KALMAN FILTER AT ESTIMATING AFFINE TERM STRUCTURE MODELS?

”

M

AR

2011 21

ST

A

NNUAL

D

ERIVATIVE

S

ECURITIES

& R

ISK

M

EASUREMENT

C

ONFERENCE

,

FDIC C

ENTER FOR

F

INANCIAL

R

ESEARCH AND

C

ORNELL

U

NIVERSITY

.

“A

MODEL-INDEPENDENT MAXIMUM RANGE FOR THE LIQUIDITY CORRECTION OF TIPS YIELDS

”

J

UN

2010 T

HE

2010

A

NNUAL

C

ONFERENCE OF THE

E

UROPEAN

F

INANCIAL

M

ANAGEMENT

A

SSOCIATION, THE

U

NIVERSITY OF

A

ARHUS.

“D

”

AND

“C

AN SPANNED TERM STRUCTURE FACTORS DRIVE STOCHASTIC VOLATILITY?

”

J

UN

2009 T

HE

S

ECOND

A

NNUAL

C

ONFERENCE OF THE

S

OCIETY OF

F

INANCIAL

E

CONOMETRICS, THE

U

NIVERSITY OF

G

ENEVA.

“D

”

A

PR

2009 19

TH

A

NNUAL

D

ERIVATIVE

S

ECURITIES

& R

ISK

M

EASUREMENT

C

ONFERENCE

,

FDIC C

ENTER FOR

F

INANCIAL

R

ESEARCH AND

C

ORNELL

U

NIVERSITY

.

“D

”

AND

“F

ORECASTING YIELD VOLATILITY WITH ARBITRAGE-FREE NELSON-SIEGEL MODELS”

M

AR

2009 T

HE

H

UMBOLDT

C

OPENHAGEN

C

ONFERENCE 2009, THE

H

UMBOLDT

U

NIVERSITÄT ZU

B

ERLIN.

“F

ORECASTING YIELD VOLATILITY WITH ARBITRAGE-FREE NELSON-SIEGEL MODELS”

J

AN

2009 ’D

AY

A

HEAD’

C

ONFERENCE ON

F

INANCIAL

M

ARKETS, THE

F

EDERAL

R

ESERVE

B

ANK OF

S

AN

F

RANCISCO.

“I

NFLATION EXPECTATIONS AND RISK PREMIUMS IN AN ARBITRAGE-FREE MODEL OF NOMINAL AND REAL YIELDS

”

J

UN

2008 T

HE

I

NAUGURAL

C

ONFERENCE OF THE

S

OCIETY OF

F

INANCIAL

E

CONOMETRICS,

NYU S

TERN

S

CHOOL OF

B

USINESS.

“T

HE AFFINE ARBITRAGE-FREE CLASS OF NELSON-SIEGEL MODELS”

S

EP

2007 S

YSTEM

C

OMMITTEE ON

F

INANCIAL

S

TRUCTURE AND

R

EGULATION, THE

F

EDERAL

R

ESERVE

B

ANK OF

S

AN

F

RANCISCO.

“

C

OMMON

R

ISK

F

ACTORS IN

C

ORPORATE

B

OND

S

PREADS:

A

N

A

RBITRAGE-FREE

D

YNAMIC

N

ELSON-

S

IEGEL

M

ODELING

A

PPROACH”

A

PR

2006 16

TH

A

NNUAL

D

ERIVATIVE

S

ECURITIES

& R

ISK

M

EASUREMENT

C

ONFERENCE

,

FDIC C

ENTER FOR

F

INANCIAL

R

ESEARCH AND

C

ORNELL

U

NIVERSITY

.

“J

OINT

E

STIMATION OF

D

EFAULT AND

R

ECOVERY

R

ISK

: A S

IMULATION

S

TUDY

”

S

EP

2005

I

NTERNATIONAL

C

ONFERENCE ON

F

INANCE

, U

NIVERSITY OF

C

OPENHAGEN

.

(5)

“R

ECOVERY

R

ISK

M

ODELING

: A

N

A

PPLICATION OF THE

Q

UADRATIC

C

LASS

”

A

PR

2004

HEC M

ONTRÉAL

S

ECOND

I

NTERNATIONAL

C

ONFERENCE ON

C

REDIT

R

ISK

.

“C

ONFIDENCE SETS FOR CONTINUOUS

-

TIME RATING TRANSITION PROBABILITIES

”

R

EFEREE

A

CTIVITIES

R

EVIEWED PAPERS FOR:

J

OURNAL OF

A

PPLIED

E

CONOMETRICS,

J

OURNAL OF

B

ANKING AND

F

INANCE,

J

OURNAL OF

B

USINESS AND

E

CONOMIC

S

TATISTICS,

J

OURNAL OF

C

REDIT

R

ISK,

R

ISK

M

AGAZINE,

J

OURNAL OF

F

UTURES

M

ARKETS,

J

OURNAL OF

M

ONEY,

C

REDIT AND

B

ANKING,

J

OURNAL OF

M

ONETARY

E

CONOMICS,

J

OURNAL OF

F

INANCIAL

E

CONOMETRICS,

J

OURNAL OF

F

INANCIAL AND

Q

UANTITATIVE

A

NALYSIS,

J

OURNAL OF

F

INANCE,

R

EVIEW OF

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INANCIAL

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TUDIES, AND

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EVIEWED SEVERAL CHAPTERS OF THE

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LSEVIER

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ROFESSIONAL

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DVISOR

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RANCISCO

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UN

2010 – A

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RANCISCO

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UL

2006 – J

UN

2010

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AN

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RANCISCO

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AN

2005 – J

UL

2005

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ISITING

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CHOLAR

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TATISTICS

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ESERVE

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OARD

,

W

ASHINGTON

, DC

F

EB

2004 – J

UL

2004 V

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CHOLAR

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EDERAL

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OARD

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ASHINGTON

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EACHING AND

U

NIVERSITY

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XPERIENCE

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EP

2015

EABCN

T

RAINING

S

CHOOL ON

”T

ERM STRUCTURE MODELS AND THE ZERO LOWERBOUND,

” E

UROPEAN

U

NIVERSITY

I

NSTITUTE,

F

LORENCE.

F

ALL

2005

O

PTIMIZATION

M

ETHODS

(

GRADUATE

), C

OPENHAGEN

B

USINESS

S

CHOOL

F

ALL

2004

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PTIMIZATION

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), C

OPENHAGEN

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ALL

2003

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PTIMIZATION

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GRADUATE

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OPENHAGEN

B

USINESS

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CHOOL

N

OV

2001 – D

EC

2002 R

ESEARCH

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SSISTANT

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ROF

. D. L

ANDO,

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NIVERSITY OF

C

OPENHAGEN