Risk Management Workshop

Tanaka Business School's Risk Management Centre presents a Risk Management Workshop

 

Organised by Tanaka Business School's Risk Management Centre, this workshop brings together leading international researchers in risk management. Topics covered include credit risk, hedging and asset management.

Sponsorship for the event is provided by the Institut Français.

Academic or industry researchers wishing to attend should contact Roma van Dam on r.van-dam@imperial.ac.uk or +44 (0)20 7594 9113.

Programme for Thursday 8 December 2005
Time Speaker / Topic
 09.00 - 10.00 Viral Acharya, London Business School,with Sreedhar T. Bharath and Anand Srinivasan
"Understanding the recovery rates of defaulted securities"
 10.00 - 11.00       William Perraudin, Imperial College London, with Robert Lamb and Vladislav Peretyatkin
"Hedging and asset allocation of structured products"
 11.00 - 11.15   BREAK
 11.30 - 12.30 Jean-David Fermanian , INSEE, with Martin Delloye and Mohammed Sbai
"Estimation of a reduced-form credit portfolio model and extensions to dynamic frailties"
 12.15 - 13.30     LUNCH
 13.30 - 14.30  Chris Rogers , University of Cambridge, with Guiseppe Di Graziano
"A new approach to modelling and pricing correlation credit derivatives"
 14.30 - 15.30  Rama Cont , Ecole Polytechnique, with Peter Tankov and Ekaterina Voltchkova
"Hedging options in presence of jumps"
 15.30 - 16.00 BREAK
 16.00 - 17.00  Nizar Touzi , Imperial College London
"Modelling continuous-time financial markets with capital gains taxes"

         

  

Programme for Friday 9 December 2005
Time Speaker / Topic
 09.00 - 10.00 Monique Jeanblanc , Universite d'Evry
"Intensity versus hazard process for default risk"
 10.00 - 11.00  Marc Davis , Imperial College London, with Juan Carlos Esparragoza Rodriquez
"Stochastic network methods in portfolio credit risk"
 11.15 - 11.30  BREAK
 11.30 - 12.30  Arnaud de Sevigny , Standard & Poor's
"Empirical correlation: New evidence and its application to CDOs"
 12.15 - 13.30 LUNCH
 13.30 - 14.30   Laurent Barras , HEC, with O. Scaillet and R. Wermers
"False discoveries in mutual fund performance: Measuring the role of luck alphas"
 14.30 - 15.30  Elyes Jouni , Institut de Finance Dauphine
"Efficient investment strategies with market frictions:  Portfolio constraints and extraneous risk"
 15.30 - 16.30

Robert Kosowski , INSEAD, with Narayan Y. Naik and Melvyn Teo
"Does money grow on hedge funds? A Bayesian and Bootstrap analysis"
 

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