| Workshop on RISK MEASURES University of Evry, 6 & 7 July 2006 |
Schedules
Organizers : Nadine Bellamy, Stéphane Crépey, Laurent Denis, and Monique Jeanblanc.|
Thursday, July 6
Morning Coffee 10h
R. A Dana. – G. Carlier (Ceremade Paris Dauphine), Microeconomic problems with concave law invariant utilities. 10h45
F. M accheroni (Università Bocconi), Dynamic Variational Preferences & Monetary Utility Functions. Lunch 14h
M. Fritelli (Firenze university). 14h45
S. Uryasev, Professor of University of Florida and Consultant for Standard and Poor's, Generalized Deviations are Counterparts to Risk Measures. Coffee Break 16h30
M. Kupper (ETH Zurich), Time-consistency of indifference prices and monetary utility functions. (joint work with Patrick Cheridito). 17h15
S. Kloeppel (ETH Zurich), Dynamic Good Deal Bounds. |
Friday, July 7
Morning Coffee 10h
M. Crouhy (IXIS-CIB), Risk Management, Capital Attribution and Performance Measurement. 10h45
H. Föllmer (Humboldt University, Berlin), Convex risk measures: consistency and asymptotic precision. Lunch 14h
F. Delbaen (ETH Zurich). 14h45
Optimal risk transfer with interest rates ambiguity . Joint work with Cl. Ravanelli. 16h30
Jocelyne Bion Nadal (CMAP Ecole Polytechnique), Dynamic risk measuring and pricing in incomplete markets. |
Location : Evry University, Bâtiment des Sciences (Bâtiment Maupertuis)
Access : Click here
RER D Acces : 'Evry Courcouronnes' station , departures 11 and 41 every hour, from Paris Gare de Lyon (half an hour RER + 5min by walk)
Schedules
Access : Click here
RER D Acces : 'Evry Courcouronnes' station , departures 11 and 41 every hour, from Paris Gare de Lyon (half an hour RER + 5min by walk)
For submissions please contact
Stéphane Crépey : stephane.crepey@univ-evry.fr
or
Monique Jeanblanc : monique.jeanblanc@univ-evry.fr
|
Registration: valerie.picot@univ-evry.fr Fees (including lunches) : Before 30th April : 40 euros for academics, 100 euros for practitioners. After 30 April : 50 euros for academics, 150 euros for practitioners. |
Program 2005 :
| Download the conference reports : Workshop in Finance Thursday June 16 in the afternoon and Friday June 17 2005 |
| Thursday June 16 in the afternoon 13h30 14h15 Jean-Pierre Lardy (JPMorgan), Capital Structure Arbitrage, A Guided Tour 14h15 15h Julien Turc (Société Générale), Stock-credit relative value strategies Coffee Break 15h30 16h15 Weidong Tian (University of Waterloo, Canada), Predictions of Credit Risk in Structural Model 16h15 17h Elie Ayache (Ito33), Model Robustness in the Equity to Credit Universe I: Co-Calibration |
Friday June 17 Morning Coffee 10h30 12h Fan Yu (University of California), Conference lunch 13h30 14h15 Claudio Albanese (Imperial College), Pricing Equity to Default Swaps 14h15 15h Yoann Bourgeois & Marc Minko (HSBC-CCF), Arbitrage method on several underlyings Coffee Break 15h30 16h15 Frederic Patras (CNRS Mathématiques Nice & Zeliade Systems), Second-to-default Swaps 16h15 17h Philippe Henrotte (Ito33), Model Robustness in the Equity to Credit Universe II: Dynamic Hedging |