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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


Click here to get the PROGRAM OF THE CONFERENCE


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.


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


Click here to get the PROGRAM OF THE CONFERENCE

Aurélien Alfonsi (CERMICS, Ecole des Ponts) : A closed-form extension to the Black-Cox model

Rama Cont (CNRS and Columbia University)

Areski Cousin (ISFA, Université de Lyon) Dynamics hedging of CDO tranches in Markovian set-ups

Pierre Del Moral (INRIA Bordeaux): Particle simulation of rare events

Ruediger Frey (Universitaet Leipzig) : Credit Innovation: Pricing and Hedging of Credit Derivatives...

Greg Gupton (Fitch Solutions)

Monique Jeanblanc (Université d'Evry) : Density models for credit risk

Jean-Pierre Lardy (JPLC - CRIS)

Alex Lipton (Imperial College and BofA - Merrill Lynch)

Andrei Lopatin (Numerix): Simple Dynamic model for pricing and hedging of heterogeneous CDOs

Rafael Mendoza-Arriaga (University of Texas at Austin): Unified Credit-Equity Modeling

Philippos Papadopoulos (ABN-AMRO): Market Implied Valuation of Cashflow CLO Structures

Michael Pykhtin (BofA - Merrill Lynch): Modeling Counterparty Credit Exposure in the Presence of Margin Agreements

Marek Rutkowski (University of New South Wales): Valuation of Credit Default Swaptions and Credit Default Index Swaptions

David Saunders (University of Waterloo)

Daniel Schiemert (Fitch Ratings)

Marco Tarenghi (Banca Leonardo): CDS Calibration with Tractable Structural Models with an application to Equity Return Swaps...

Roberto Torresetti (BBVA)

Julien Turc (Société Générale)

The Conference is announced on DefaultRisk.com , where people interested in this event can find thorough, current, and freely available credit risk research.