Overview:
The problem of measuring and managing the credit risk of borrowers
and business counterparties has been around since the dawn of commerce.
In recent years, there have been many advances in the theory and practice
of measuring credit risk. Furthermore, the creation of derivative securities,
such as credit default swaps, has led to much-improved credit risk mitigation
techniques. This conference deals with current issues in credit risk
management, the pricing and hedging of credit derivatives, as well as
the computational aspects inherent in these problems.
Schedule
Registration and coffee/doughnuts/bagels will start at 8:00am.
Talks will commence at 9:00am, finishing circa 5:00pm.
Confirmed Speakers:
Kay Giesecke, Stanford
A Top-Down Approach to Multi-Name
Credit
Michael Gordy, US Federal Reserve
Model Foundations for the
Treatment of CDOs in Basell II
Greg Gupton, Moodys/KMV
Advancing Loss Given Default
Prediction Models; Modeling framework, fitting, and validation
Tom Hurd, McMaster University
The Affine Markov Chain Model
for Credit Risk
Alex Kreinin, Algorithmics
From CDOs to CDO2
Weidong Tian, University of Waterloo
Default and Capital Structure with
Equity-Linked Debts Securities
Michael Walker, University of Toronto
CDO Pricing Models The Next Generation:
Incomplete Markets and Term Structure
Niall Whelan, Scotia Capital
Quantifying Counterparty Credit
Risk
Registration information -- Registration will
be online until October 30, on-site November 5 (cash/cheque/credit card)
Conference Fee:
Students/Postdocs: $20 before October 14, $40 after October 14
All Others: $40 before October 14, $80 after October 14
Conference Fee includes lunch and coffee/refreshment breaks.
Accomodation in London Ontario.
Station Park Inn as it is closest and is best value for money.
Please state you are attending the conference. The website is: http://www.stationparkinn.ca/.
A bit more upscale, the Delta Armouries Hotel can be found
at: http://www4.deltahotels.com/hotels/hotels.php?hotelId=12
Conference Committees and Contact Information
Conference Chair:
R. Mark Reesor
Dept of Applied Math, UWO
mreesor@uwo.ca
519-661-2111 x88654 |
Local Arrangements Chair:
Matt Davison
Dept of Applied Math, UWO
mdavison@uwo.ca
519-661-2111 x88784 |
Scientific Program Committee:
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