LOCATION: Alliance Capital Conference Center, 1345 Avenue of the Americas, New York City

Event Risk is rapidly becoming an area of great interest in mathematical finance. Two specific domains of event risk that have recently attracted high levels of academic and practitioner interest are credit risk and insurance risk. The increasing level of global linkages, and the growing number of assets at risk has made large-scale event risk management an essential function of the financial markets.

Securities linked to credit risk are now being actively traded, in contrast to simply being warehoused. These securities are complex, and have resulted in an exponential growth in credit models, for pricing, portfolio construction, and risk management. Likewise, insurance risk, in particular, catastrophe modeling, is now a highly technical area, with very complex contracts being written on earthquake and weather risks, amongst others.

Event risk modeling in finance incorporates concepts and techniques from insurance, mathematics, physics, seismology, geography, and computer science, amongst other disciplines. This conference on event risk will comprise top-quality, state-of-the-art papers, both theoretical and empirical.

The goal of the event risk conference will be to provide a venue in which participants will come together to present the latest research in the field of event risk. A listing of possible topics that falls within the purview of the conference is provided below. Since the definition of event risk is evolving, this list is by no means exhaustive.

• Decision making in the presence of event risk
  
• Approaches and frameworks for the statistical modeling and measurement of event probabilities, loss recovery rates, catastrophe losses, etc.
  
• Portfolio management: the construction of optimal credit portfolios, dynamic credit management, performance attribution in credit portfolios, and performance evaluation
  
• The impact of credit and insurance products in traditional portfolios
  
• Risk management: Credit VaR, the management of counterparty credit exposures, sovereign credit risk, hedging catastrophe risk, etc.
  
• Derivatives products, such as default swaps, total return swaps, spread options, CAT options, weather derivatives, etc. (motivations, models and empirical analysis)
  
• Structured products such as CDOs, securitization of receivables, assets, Act of God bonds, etc. (motivations, models and empirical analysis)
  
• Mathematical structure of joint event risk: (a) joint default, (b) factor models, (c) Copulas, (d) Extreme value theory, (e) Systemic risk, etc.
  
• Monte Carlo methods for simulating event risk
  

Special Journal Issues
Papers in the conference that relate to credit risk will, at the option of the author, be considered for a special issue of Management Science on credit risk. A separate announcement for this issue will be made in the journal.
Papers in the conference that relate to insurance risk will, at the option of the author, be considered for the Journal of Derivatives. A separate announcement for this will be made in the journal.

Please send your paper electronically as an attachment (preferably MS Word or a text document, not a pdf) to: eventrisk@msri.org. The paper is preferable, but if not ready an abstract will do. No CV required, but an email contact or web page should be listed on the paper/abstract so we can get in touch with you later.
Deadline is July 31, 2002.

Conference Fee
The fee is $695 for practitioners. Academics will be charged $100, students $50. Advance payment of fees should be sent to MSRI, 1000 Centennial Drive, Berkeley, CA 94720-5070. Due to space constraints, advance registration is highly recommended.

Schedule
Wednesday (Nov 6) 2:30pm-5:30pm (4 sessions)
Thursday (Nov 7) 9:30am-12:30pm (4 sessions), 2:00pm-5:00pm (4 sessions)
Friday (Nov 8) 9:30am-12:30pm (4 sessions), 2:00pm-5:00pm (4 sessions)
In each session, the speaker will talk for 30 minutes, followed by 10 minutes of Q and A.

Funding

Important