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 |