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Schedule, Notes/Handouts & Videos

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