Mini-workshop
"Credit Risk and Asset Backed Securities"
October 24, 2008,
EURANDOM, Eindhoven, The Netherlands
Location: Laplace Building TU/e, 1st. floor, room LG 1.105.
Friday October 24, 2008 (open for general audience)
| 09.00 am - 09.30am |
Geert van Damme, K.U. Leuven |
Comparing different default and prepayment models for the pricing of ABSs |
| 09.30 am - 10.00am |
Xinzheng Huang, Universiteit Delft |
Generalized beta regression models for random loss-given-default |
| 10.00 am - 10.30am |
Matthias Schrerer,Universität Ulm |
A tractable multivariate default model based on a stochastic time-change |
| 10.30 am - 11.00am | Break | |
| 11.00 am - 11.30am |
Florence Guillaume, K.U.Leuven |
CDO-square modelling |
| 11.30 am - 12.00am |
Fang Fang , Universiteit Delft |
Fast Valuation and Calibration of Credit Default Swaps Under Lévy Dynamics |
| 12.00 am - 12.30am |
Henrik Jönsson, EURANDOM, NL |
Advanced Models for Pricing Constant Maturity Credit Default Swaps |
There is no registration fee.
PLEASE REGISTER BY FILLING IN THE FORM
Preceding this mini-workshop
October 23, 2008,
"An unlikely
evening with EURANDOM".
7 -7.30 p.m. Professor Wim Schoutens (K.U. Leuven) will
give a special lecture on "Credit Risk".
More information.
No registration needed
Made / updated on
24-02-2009
Maintained by L. Coolen