Presenter: Mads Markvart Kjær, AU

Title: Debtor Carry

Abstract: Countries' interest rates and debt levels are positively correlated, implying that the traditional carry trade is long debtors and short creditors. Our paper shows that the debtor-creditor mismatch explains the carry trade's crash risk. We propose a new carry strategy: debtor carry. The debtor carry is as profitable as the traditional carry trade but without crash risk, is priced in the cross-section of currency returns, and significantly explains cross-section variation in excess currency returns, even when controlling for traditional currency factors.

Presenter: Jorge Hansen, AU

Title: Interest-Rates and the Differential Pricing of Treasury Option

Organizers: Stefan Hirth and Anders Merrild Posselt