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Schedule

Event Risk November 06, 2002 - November 08, 2002

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Nov 06, 2002
Wednesday
02:00 PM - 02:10 PM
  Welcome and Introduction
Michael Singer (North Carolina State University)
02:10 PM - 02:50 PM
  Are jumps in corporate bond yields priced? Modeling contagion via the updating of beliefs
Pierre Collin-Dufresne
02:50 PM - 03:30 PM
  Portfolio allocation analysis incorporating credit risk: An integrated view of risk management
Toshiyuki Sueyoshi
03:30 PM - 03:50 PM
  Afternoon break
03:50 PM - 04:30 PM
  Actuarially consistent valuation in an integrated market
Alexander Muermann
04:30 PM - 05:10 PM
  Understanding reinsurance quotations
Dilip Madan
Nov 07, 2002
Thursday
09:00 AM - 09:40 AM
  A theoretical inspection of the market price for default risk
Lionel Martellini
09:40 AM - 10:20 AM
  How much of the corporate treasury spread is due to credit risk?
Ming Huang
10:20 AM - 10:45 AM
  Morning break
10:45 AM - 11:25 AM
  Credit barrier models with jumps and state-dependent volatility
Claudio Albanese
11:25 AM - 12:05 PM
  Default event risk, conditional diversification and expected returns on defaultable bonds: A comparison of historical and implied estimates
Robert Jarrow
12:05 PM - 12:45 PM
  Credit revolvers
Stuart Turnbull
12:45 PM - 02:00 PM
  Lunch
02:00 PM - 02:40 PM
  A quantitative approach to stress testing nonlinear portfolios
Sid Browne
02:40 PM - 03:20 PM
  Credit contagion and aggregate losses
Kay Giesecke
03:20 PM - 03:40 PM
  Afternoon break
03:40 PM - 04:20 PM
  Collateral and swaps
Michael Johannes
04:20 PM - 05:00 PM
  Coping with credit risk
Harris Schlesinger
Nov 08, 2002
Friday
09:00 AM - 09:40 AM
  Dynamic allocation of treasury and corporate bond portfolios
Roger Walder
09:40 AM - 10:20 AM
  Sovereign risk: Qualitative complications
Clark Anderson
10:20 AM - 10:45 AM
  Morning break
10:45 AM - 11:25 AM
  Correlated default risk
Nikunj Kapadia
11:25 AM - 12:05 PM
  Counterparty exposure
Evan Picoult
12:05 PM - 12:45 PM
  Empirical credit risk
Oren Cheyette
12:45 PM - 02:00 PM
  Lunch
02:00 PM - 02:40 PM
  When does strategic debt service matter?
Viral Acharya
02:40 PM - 03:20 PM
  Beyond correlation: Extreme co-movements between financial assets
Roy Mashal
03:20 PM - 03:40 PM
  Afternoon break
03:40 PM - 04:20 PM
  Electricity forward prices: A high-frequency empirical analysis
Ashley Wang