|To apply for Funding you must register by:||August 21, 2002 almost 11 years ago|
- 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
To apply for funding, you must register by the funding application deadline displayed above.
Students, recent Ph.D.'s, women, and members of underrepresented minorities are particularly encouraged to apply. Funding awards are typically made 6 weeks before the workshop begins. Requests received after the funding deadline are considered only if additional funds become available.
|Nov 06, 2002||
|Nov 07, 2002||
|Nov 08, 2002||