May 23, 2008

8:30-9:30 Breakfast/Registration
9:30-10:15 R. Jarrow (Cornell University), Distressed Debt Prices and Recovery Rate Estimation
10:15-11:00 C. Finger (Risk Metrics), Evaluating hedge strategies for credit index tranches
11:00-11:30 Coffee Break
11:30-12:15 M. Jeanblanc (Evry University), Dynamic Modelling of Successive Defaults : Application to Portfolio Credit Derivatives (joint work with Nicole El Karoui and Ying Jiao)
12:15-1:30 Lunch
1:30-2:15 D. Brigo (Fitch QFR), Credit Index Options: the no-armageddon pricing measure and the role of correlation after the subprime crisis
2:15-2:45 Y. Jiao (Ecole Polytechnique Paris), Stein's method and zero bias transformation for CDOs tranche pricing
2:45-3:30 P. Protter (Cornell University), TBA
3:30-4:00 Coffee / Tea, Poster Session
Special Session on Mortgage Backed Securities and the Subprime Crisis
4:00-4:45 J. Naud (Proprietary Trading, JP Morgan Chase), TBA
4:45-5:30 C. Himmelberg (Global Investment Research, Global, Sachs & Co.), TBA
6:00-7:00 Cocktail Reception (Prospect House)
7:00-8:30 Dinner and Guest Speaker: Dario Villani MD, Global Strategic Risk Group, Merrill Lynch

May 24, 2008

8:30-9:00 Breakfast
9:00-9:45 J.Hull (Toronto University), Dynamic Models of Portfolio Credit Risk: A Simplified Approach
9:45-10:30 R. Frey (Leipzig University), Constructing credit risk models via nonlinear filtering
10:30-11:00 Coffee
11:00-11:45 T. Hurd (Mc Master University), Credit Risk using Time Changed Brownian Motions
11:45-12:30 J.P. Laurent (Lyon University), Hedging default risks of CDOs in Markovian contagion models
12:30-2:00 Lunch
2:00-2:45 K. Giesecke (Stanford University), The correlation-neutral measure for portfolio credit
2:45-3:30 P. Schoenbucher (ETH Zurich), Time for a Time-Change: A new Approach to Multivariate Intensity Models of Credit Risk