The Bendheim Center for Finance organizes an annual conference on a particular topic in either financial mathematics or financial econometrics. The 2004 conference focused on the Mathematics of Credit Risk and is organized by Yacine Ait-Sahalia and René Carmona. It took place on September 17-18, 2004.
Registration, all sessions and meals took place at the Friend Center (located in H-1 on the campus map) except for the conference dinner, which took place at Prospect House (located in F-3). Other relevant locations for out of town participants are The Palmer House (C-1) and Nassau Inn (E-0). Parking is scarce on campus (see parking map). Directions to the University and public transportation options can be found here.
This event was open to the public, subject to a modest registration fee (waived for the BCF Corporate Affiliates).
Financial support from Moody's Corporation and Morgan Stanley is gratefully acknowledged. In 2005, the conference theme will be financial econometrics.
Program
Friday, September 17
| Time | Event |
| 12:00 - 13:30 | Registration and Lunch (Friend Center) |
| 13:30 - 15:30 | Darrell Duffie, Stanford University An Overview of Credit Risk Modeling, Abstract, Slides |
| 15:30 - 16:00 | Coffee Break |
| 16:00 - 16:45 | Marek Rutkowski, Warsaw University of Technology and University of New South Wales Replication of Defaultable Claims within the Reduced-Form Framework, Abstract, Paper, Slides |
| 16:45 - 17:30 | Monique Jeanblanc, Université d'Evry Indifference Pricing and Hedging of Defaultable Claims, Abstract, Paper, Slides |
| 17:30 - 18:15 | Michael Gordy, Board of Governors of the Federal Reserve Default Probability and Dependence in Credit Rating Systems: Efficient estimators for cohort performance data, Abstract, Slides |
| 19:00 | Conference Dinner and Speaker (Prospect House) John Rutherfurd, CEO, Moody's Corporation |
Saturday, September 18
| 8:30 - 9:00 | Breakfast (Friend Center) |
| 9:00 - 9:45 | Robert Jarrow, Cornell University The Valuation of a Firm's Investment Opportunities: A Reduced Form Credit Risk Perspective, Abstract, Paper, Slides |
| 9:45 - 10:30 | Mark Davis, Imperial College A Queuing Network Approach to Portfolio Credit Risk, Abstract |
| 10:30 - 11:00 | Coffee Break |
| 11:00 - 11:45 | Francis Longstaff, UCLA Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, Abstract, Paper |
| 11:45 - 12:30 | Tomasz Bielecki, Illinois Institute of Technology Mean-variance Hedging of Defaultable Claims, Abstract, Paper, Slides |
| 12:30 - 14:00 | Lunch |
| 14:00 - 14:45 | Kenneth Singleton, Stanford University Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads, Abstract |
| 14:45 - 15:30 | Philip Protter, Cornell University Filtration shrinkage, stopping times and compensators, and credit risk models, Abstract, Slides |
| 15:30 - 16:00 | Coffee Break |
| 16:00 - 16:45 | Damir Filipovic, ETH Zurich Credit Derivatives in an Affine Framework, Abstract, Slides |
| 16:45 - 17:30 | Philipp Schoenbucher, ETH Zurich Information-Driven Default Contagion, Abstract, Paper |