The Mathematics of Defaultable Securities
As part of a research initiative funded by the National Science Foundation (NSF), the Second Princeton Credit Conference will be held at Princeton University May 23-24, 2008. Sessions will be held at Bowen Hall. As in the previous Princeton Conference on Credit Risk in 2004 a reception at the end of the first day will be followed by a dinner.
The guest speaker will be Dario Villani, Managing Director in the Global Strategic Risk Group at Merrill Lynch.
Invited Speakers
- D. Brigo (Fitch-QFR)
- C. Finger (Risk Metrics)
- R. Frey (Leipzig University)
- K. Giesecke (Stanford University)
- C. Himmelberg (Global Investment Research, Global, Sachs & Co.)
- J. Hull (Toronto University), T. Hurd (Mac Master University)
- R. Jarrow (Cornell University)
- M. Jeanblanc (Evry University)
- Y. Jiao (Ecole Polytechnique Paris)
- J.P. Laurent (University of Lyon)
- J. Naud (JP Morgan Chase)
- P. Protter (Cornell University)
- P. Schoenbucher (ETH Zurich)
Organizing Committee
- Rene Carmona (Princeton University)
- Jean Pierre Fouque (University of California Santa Barbara)
- Ronnie Sircar (Princeton University)
- Thaleia Zariphopoulou (The University of Texas at Austin)
Support Staff: Zoya Kramer
Scientific Program
May 23, 2008
| Time | Event |
|---|---|
| 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), Filtration Shrinkage and Credit Risk |
| 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, by invitation only) |
| 7:00-8:30 | Dinner (Prospect House, by invitation only) and Guest Speaker: Dario Villani MD, Global Strategic Risk Group, Merrill Lynch |
May 24, 2008
| Time | Event |
|---|---|
| 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), Self-exciting corporate defaults: frailty or contagion? |
| 2:45-3:30 | P. Schoenbucher (ETH Zurich), Time for a Time-Change: A new Approach to Multivariate Intensity Models of Credit Risk |