|
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 |
|
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 |
