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Event Risk November 06, 2002 - November 08, 2002
Registration Deadline: November 08, 2002 about 20 years ago
To apply for Funding you must register by: August 06, 2002 over 20 years ago
Parent Program: --
Organizers Marco Avellaneda (New York University), Sanjiv Das (Santa Clara University), Lisa Goldberg (BARRA), David Hoffman (MSRI), Francis Longstaff (UCLA), Mark Rubinstein (UC Berkeley), Michael Singer (MSRI), and Domingo Tavella (Octanti Associates)

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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.
Keywords and Mathematics Subject Classification (MSC)
Primary Mathematics Subject Classification No Primary AMS MSC
Secondary Mathematics Subject Classification No Secondary AMS MSC
Funding & Logistics Show All Collapse

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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.

Schedule, Notes/Handouts & Videos
Show Schedule, Notes/Handouts & Videos
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Nov 06, 2002
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
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
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
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
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