Industrial-Academic Forum on Credit-Hybrid Risk
Description
The objective of this forum is to present selected current research and applications pertaining to three important niches of financial markets: equity-to-credit universe, counterparty risk universe and the universe of hybrid instruments. The invited speakers are a select group of practitioners and academics, whose research sets the frontiers of the three niches. The most recent theoretical results will be confronted with practical needs of financial institutions and regulators.
Confirmed speakers :
· Game Options, Convertibles and Hybrids:
Jan Kallsen (University of Kiel)
Yuri Kifer (Institute of Mathematics Hebrew University of Jerusalem)
Abdhallah Rahal (Bank AUDI)
Jean Francois Chassagneux (Université Denis Diderot (P7))
· Equity to credit:
Tom Hurd (McMaster)
Claudio Albanese (King's College, London)
Julien Turc (Société Générale Corporate & Investment Banking)
Rafael Mendoza-Arriaga (UTexas)
· Counterparty risk:
Agostino Capponi (California Institute of Technology)
Dan Rosen (R2 Technologies)
Giovanni Cesari (UBS)
Stephane Crepey (Evry University)
Schedule
| 08:50 to 09:00 |
Welcome and Introductions
|
| 09:00 to 09:50 |
Claudio Albanese, King's College London |
| 10:00 to 10:50 |
Jan Kallsen, University of Kiel |
| 11:00 to 11:50 |
Agostino Capponi, Columbia University |
| 12:00 to 13:30 |
Lunch Break
|
| 13:30 to 14:20 |
Julien Turc |
| 14:30 to 15:20 |
Yuri Kifer, Einstein Institute of Mathematics, The Hebrew University of Jerusalem |
| 16:30 to 17:30 |
Reception
|
| 09:00 to 09:50 |
Rafael Mendoza Arriaga |
| 10:00 to 10:40 |
Jean-François Chassagneux, CNRS, Université Paris Cité |
| 10:40 to 11:00 |
Abdallah Rahal |
| 11:10 to 12:00 |
Dan Rosen, S&P Capital IQ and The Fields Institute |
| 12:00 to 13:30 |
Lunch Break
|
| 13:30 to 14:20 |
Tom Hurd |
| 14:30 to 15:20 |
Giovanni Cesari |
| 15:30 to 16:30 |
Stéphane Crepey, Université d'Evry |
| 16:20 to 16:30 |
Closing Remarks
|
