Recent Advancements in the Theory and Practice of Credit Derivatives
September 28-30, 2009
Laboratoire J.A. Dieudonné
CNRS et Université de Nice Sophia Antipolis
THE AVAILABLE PRESENTATION FILES CAN BE DOWNLOADED ON THIS PAGE, SEE BELOW
Aims and scopes
The recent decade witnessed a rapid development of more and more advanced quantitative
methodologies for modeling, valuation and risk management of credit derivatives. In part, this
rapid development was a response of academics and practitioners to the demands of trading and
risk managing in the rapidly growing market of more and more complex credit derivative products.
The size and complexity of the credit markets in general, and credit derivatives markets in
particular undoubtedly posed a challenge for quantitative modelers and for market practitioners.
The recent turmoil in the credit markets can be attributed to many factors, but one of the factors is
probably the fact that in many respects the challenge has not been fully, and, sometimes, properly
addressed.
The conference will address these aspects of modeling and analysis of credit derivatives
that, in our opinion, have not been adequately studied and/or adequately understood in the past.
Organization
The Conference will start at 9.30 AM on monday and end at 5.30 PM on wednesday (notice that minor changes in the schedule may occur).
Registration fees are 150 euros. There are no registration fees for academics, PhD students and Master students.
Participants that want to register should pre-register first (see the Registration Form page), they will receive a message allowing them to register.
Based on scientific and technical issues (there is an upper bound to the number of possible participants),
the organization of the conference may decide not to allow registration,
may ask for informations before deciding to allow or not registration,
or may decide to close registrations at any time prior to the conference.
Scientific committee: T.R. Bielecki (Illinois Inst. of Technology), D. Brigo (Fitch Solutions), M. Jeanblanc (Univ. Evry), C. Martini (Zeliade Systems)
Organization committee: S. Crepey (Univ. Evry), M. Miniconi (Univ. Nice), F. Patras (CNRS and Univ. Nice)
The conference is supported by:
University of Nice ( Laboratoire J.-A. Dieudonné , CIF and PPF Complexité-Modélisation-Finance)
Chaire Risque de Crédit ( University of Evry ,
Europlace Institute of Finance and Fédération bancaire francaise)
Zeliade Systems
Speakers (CLICK ON THE TITLE TO HAVE ACCESS TO THE PRESENTATION FILES)
