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Workshop Programme

for period 25-26 February

Industry Event: Credit

25-26 February

Timetable

Friday 25 February
09:30-10:00 Coffee DQF
10:00-11:00 Davis, MHA (Imperial) DQF
  Stochastic network methods in portfolio credit risk Sem 1
11:00-12:00 Gregory, J (BNP Paribas) DQF
  The gaussian copula model and beyond Sem 1
12:00-13:30 Lunch DQF
13:30-14:30 Hutt, S (BNP Paribas) DQF
  Hedging Credit Risk: theory and practice Sem 1
14:30-15:30 Joshi, M (Royal Bank of Scotland) DQF
  Matching base correlation skew with a naturally time-homogeneous model Sem 1
15:30-16:00 Tea DQF
16:00-17:00 Giesecke, K (Cornell) DQF
  Dependent defaults and changes of time Sem 1
17:00-18:00 McNeil, A (ETH Zurich) DQF
  Statistical inference for dependent default and dependent migration models Sem 1
18:00-19:00 Wine and beer reception DQF
Saturday 26 February
08:30-09:30 Schloegl, L (Lehman Brothers) DQF
  Modelling correlation skew via mixing copulae and uncertain loss at default (Venue: Centre for Mathematical Sciences) Sem 1
09:30-10:30 Laurent, JP (BNP Paribas) DQF
  Pricing of basket default swaps and CDO tranches Venue: Centre for Mathematical Sciences Sem 1
10:30-11:00 Coffee Venue: Centre for Mathematical Sciences DQF
11:00-12:00 Sidenius, J (Bank of America) DQF
  Extensions of the gaussian copula Venue: Centre for Mathematical Sciences Sem 1
12:00-13:30 Lunch Venue: Centre for Mathematical Sciences DQF
13:30-14:30 Schoenbucher, PJ (ETH Zurich) DQF
  The pricing of options on individual CDS and CDS indices Venue: Centre for Mathematical Sciences Sem 1
14:30-15:30 Hull, J DQF
  Valuing CDOs Venue: Centre for Mathematical Sciences Sem 1
15:30-16:30 Tea Venue: Centre for Mathematical Sciences DQF
Other Seminars
Seminars in the University
National and International Scientific Research Meetings

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