08h0008h30
REGISTRATION
08h3008h45
WELCOME ADDRESS by Pierre SIMON, Chairman, Chambre de Commerce et d’Industrie de Paris
and Jean LAURENT, Chairman, FINANCE INNOVATION & Europlace Institute of Finance (EIF)
08h4510h15
PLENARY SESSION I: "Nested Simulation in Portfolio Risk Measurement"
Guest speaker: Michael GORDY, Federal Reserve, Washington
Slides
  
Panel Session: New Structured and Hybrid Products
Chairman: Michael CROUHY, Natixis
Frédéric ABERGEL, Centrale School, Paris  Slides
David BESANÇON, Natixis  Slides
Andrey CHIRIKHIN, HSBC  Slides
Etienne COMON, Lehman Brothers  Slides
10h1510h30
COFFEE BREAK
10h3011h30
PARALLEL SESSIONS
  
Parallel Session 1: Pricing of Synthetic CDO
Chairman: Henri PAGES, Banque de France
"Dynamic Pricing of Synthetic Collateralized Debt Obligations"
William PERRAUDIN, Robert LAMB, Imperial College, London, Astrid VAN LANDSCHOOT, Standard & Poor's
Paper | Slides

"A Copula Based Model of the Term Structure of CDO Tranches"
Umberto CHERUBINI, Sabrina MULINACCI, Silvia ROMAGNOLI, University of Bologna
Paper | Slides

Discussant: Henri PAGES, Banque de France
Slides 1 | Slides 2
Parallel Session 2: Pricing and Hedging CDO
Chairman: Bruno BOUCHARD-DENIZE, Dauphine University and CREST
"On the Pricing of CDOs"
Raquel GASPAR, ISEG, Technical University of Lisbon, Thorsten SCHMIDT, University of Leipzig
Abstract | Slides

"Pricing and Hedging CDOs With Lévy Base Correlation"
Viktoriya MASOL, EURANDOM, Wim SCHOUTENS, K.U.Leuven
Paper | Slides

Discussant: Stéphane CREPEY, Evry University
11h3012h30
PARALLEL SESSIONS
  
Parallel Session 3: Spread Analysis
Chairman: Jean-Paul DECAMPS, Toulouse School of Economics
"Time-Varying Credit Risk and Liquidity Premia in Bond and CDS Markets"
Monika TRAPP, University of Mannheim
Paper | Slides

"Time Varying Default Risk Premia in Corporate Bond Markets"
Jan ERICSSON, Redouane ELKAMHI, McGill University
Paper

Discussant: Jean-Paul LAURENT, ISFA and Lyon University
Parallel Session 4: Leverage
Chairman: Guillaume BERNIS, Natixis Asset Management
"Ownership Links, Leverage and Credit Risk"
Elisa LUCIANO, University of Torino, Giovanna NICODANO, Collegio Carlo Alberto
Paper | Slides

"Credit Risk Spreads in Local and Foreign Currencies"
Dan GALAI, Zvi WIENER, The Hebrew University of Jerusalem, School of Business Administration
Paper | Slides

Discussant: Jérôme BRUN, Société Générale
12h3014h00
 LUNCH hosted by Xavier MUSCA, Ministry for the Economy, Finance and Employment
 "Presentation of the award to the recipient of the 2007 Grand Prix Natixis-SMAI sponsored by the Académie des Sciences"
14h0015h30
PLENARY SESSION II: "Hedging Default Risks of CDOs in Markovian Contagion Model"
Guest speaker: Jean-Paul LAURENT, ISFA, Lyon University
Slides
  
Panel Session: Advances in Quantitative Modelling and Risk Management
Chairman: Marek MUSIELA, BNP Paribas
Guillaume AMBLARD, BNP Paribas
Ernest EBERLEIN, University of Freiburg
Nicole EL-KAROUI, Polytechnique School
Jean-Michel LASRY, Calyon
15h3016h30
PARALLEL SESSIONS
  
Parallel Session 5: Contagion
Chairman: Jean-Paul LAURENT, ISFA and Lyon University
"Default Contagion in Large Homogeneous Portfolios"
Alexander HERBERTSSON, School of Business, Economics and Law, Göteborg University
Paper | Slides

"Contagion in Affine Default Processes"
Pauline SCULLI, Angelos DASSIOS, London School of Economics Risk and Stochastics Group
Summary | Slides

Discussant: Serge DAROLLES, Société Générale Asset Management
Parallel Session 6: CDO Pricing
Chairman: Monique JEANBLANC, Evry University
"Advanced Credit Portfolio Modelling and CDO Pricing"
Ernest EBERLEIN, Ernst August VON HAMMERSTEIN, University of Freiburg, Rüdiger FREY, University of Leipzig
Slides

"Single Sided Jump Models for Credit Derivatives Pricing"
Henrik JONSSON, EURANDOM, Wim SCHOUTENS, K.U.Leuven
Paper | Slides

Discussant: Marek MUSIELA, BNP Paribas
16h3017h00
POSTER SESSION** 1 (see below)
17h0018h00
PARALLEL SESSIONS
  
Parallel Session 7: Liquidity
Chairman: Jean-François BOULIER, Aviva Gestion d'Actifs
"How Liquid is the CDS Market?"
Andreas FULOP, Laurence LESCOURRET, ESSEC Business School and CREST
Paper | Slides

"Corporate Credit Default Swap Liquidity and its Implications for Corporate Bond Spreads"
Ronald SVERDLOVE, Long Island University, Ren-Raw CHEN, Rutgers Business School, Frank FABOZZI, Yale University
Paper

Discussant: Gaëlle LE FOL, Evry University and CREST
Slides
Parallel Session 8: Credit Risk Modelling
Chairman: Alain MONFORT, CNAM and CREST
"An Empirical Investigation of an Intensity-Based Model for Pricing CDO Tranches"
Peter FELDHÜTTER, Copenhagen Business School
Paper | Slides

"Reduced Form Modelling for Credit Risk"
Yann LE CAM, French Treasury, Evry University, Monique JEANBLANC, Evry University, Europlace Insitute of Finance(EIF)
Paper | Slides

Discussant: Alexander HERBERTSSON, School of Business, Economics and Law Dep. of Economics, Göteborg University
18h0018h45
ROUND TABLE: "Organization and Developments of the Credit Markets: the View Point of Academics and Markets Professionals"
Jean-François BOULIER, Crédit Agricole Asset Management
Michel CROUHY, Natixis  Slides
Nicolas POURCELET, Lehman Brothers
Jean-Charles ROCHET, Toulouse University
Pierre SIMON, Chambre de Commerce et d’Industrie de Paris (CCIP)

08h0008h30
REGISTRATION
08h3008h45
OPENING ADDRESS by Jean-Paul REDOUIN, Vice Governor, Banque de France
"The Economics of Structured Finance: A Central Banker Perspective"
08h4510h15
PLENARY SESSION III: "Structural Models of Credit Risk Are Useful: Evidence from Hedge Ratios on Corporate Bonds"
Guest speaker: Stephen SCHAEFER, London Business School and Ilva STREBULAEV, Stanford University
Slides
  
Panel Session: New Challenges in Correlation Trading and Risk Management
Chairman: Benjamin JACQUARD, CALYON
Slides
Francois DEZORME, Natixis
Guillaume LAUNAY, OFI AM
Moez MRAD, Calyon
10h1510h30
COFFEE BREAK
10h3011h30
PARALLEL SESSIONS
  
Parallel Session 9: Rating Methodology
Chairman: Patrick GAGLIARDINI, University of Lugano and Swiss Finance Institute
"Choice of Rating Technology and Price Formation in Imperfect Credit Markets"
Hannelore BRANDT, Vienna University of Economics and Business Administration, Engelbert J. DOCKNER, University of Vienna, Vienna Graduate School of Finance, Rainer JANKOWITSCH, Vienna University of Economics and Business Administration, Stefan PICHLER, Vienna Graduate School of Finance, Klaus RITZBERGER, Institute for Advanced Studies Vienna
Paper | Slides

"Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration"
Ashay KADAM, Cass Business School, City University, London, Peter LENK, Ross Business School, University of Michigan
Paper

Discussant: Fabian ASTIC, Moody's
Slides
Parallel Session 10: Risk Management
Chairman: Jean-Michel ZAKOIAN, Lille 3 University and CREST
"Backtesting Var with Estimation Risk"
Jose OLMO, City University, London, J.Carlos ESCANCIANO, Indiana University
Slides

"A Multi-start Timevarying Part Portfolio Insurance Strategy Based on an Extended Expected CAViaR Approach"
Benjamin HAMIDI, Bertrand MAILLET, A.A.Advisors-QCG (ABN AMRO) and University of Paris-1, Jean-Luc PRIGENT, University of Cergy (THEMA)
Paper | Slides

Discussant: Benjamin JACQUARD, CALYON
11h3012h30
PARALLEL SESSIONS
  
Parallel Session 11: Contagion Between Markets
Chairman: William PERRAUDIN, Imperial College
"Co-integration of Stock Markets Using Wavelet Theory and Data Mining"
Prabhakar SANJEEV, R.SAHU, Indian Institute of Information Technology and Management
Paper | Slides

"Investigation of 1998 'Russian Contagion' for the Germany-Hungary pair of Interest Rates in a Reduced-Form Model"
Peter LERNER, Syracuse University
Paper | Slides

Discussant: Fulvio PEGORARO, Banque de France and CREST
Slides
Parallel Session 12: Structured Credit Products
Chairman: Nizar TOUZI, Polytechnique School
"CPDOs: Modelling and Risk Analysis"
Catherine JESSEN, University of Copenhagen, Rama CONT, Center for Financial Engineering, Columbia University & CNRS, France
Paper | Slides

"A Comparative Analysis of Basket Default Swaps Pricing Using the Stein Method"
Dorinel-Marian BASTIDE, Marian CIUCA, Eric BENHAMOU, Pricing Partners, Ying JIAO, CMAP Ecole Polytechnique
Paper | Slides

Discussant: Boris LEBLANC, BNP Paribas
12h3014h00
 LUNCH hosted by André LEVY-LANG, Chairman, Risk Foundation
14h0015h30
PLENARY SESSION IV: "Quadratic Stochastic Intensity and Prospective Mortality Tables"
Guest speaker: Christian GOURIEROUX, CREST and University of Toronto
Paper | Slides
  
Panel Session: Securitization in Insurance
Chairman: François ROBINET, AXA Group
Dan OZIZMIR, Swiss Re  Slides
Eric PAIRE, Guy Carpenter  Slides
Guillaume PLANTIN, London School of Economics (LSE)  Slides
Laure SANTORI, Standard & Poors  Slides
15h3016h30
PARALLEL SESSIONS
  
Parallel Session 13: Operational loss, Cat. Risk
Chairman: Michael TROEGE, ESCP-EAP
"By Force of Nature: The Catastrophe Bond Market and Katrina"
Stephan DIECKMANN, Arizona State University
Paper | Slides

"Why do Banks Securitize Assets"
Alfredo MARTÍN-OLIVER, Jesús SAURINA, Banco de España
Paper | Slides

Discussant: Frédéric ABERGEL, Centrale School, Paris
Parallel Session 14: Default Correlation
Chairman: Franck MORAUX, Rennes 1 University
"A New Approach for Measuring Credit Contagion"
Jiwook JANG, Macquarie University
Paper | Slides

"Asset Correlation in Structured Finance Portfolios"
Astrid VAN LANDSCHOOT, Standard & Poor's

Discussant: Hervé BESNARD, BNP Paribas
16h3017h00
POSTER SESSION** 2 (see below)
17h0018h00
PARALLEL SESSIONS
  
Parallel Session 15: Mortgage Risk
Chairman: André TIOMO, DEXIA and Paris 12 University
"A New Modelling for Prepayments: Application to ABS"
Vivien BRUNEL, Faïçal JRIBI, Société Générale Asset Management
Paper | Slides

"Correlation Hypotheses, and Contagion in the Subprime Crisis"
Jean-Pierre LARDY, JPLC et Zeliade Systems, Frederic PATRAS, Zeliade Systems
Slides

Discussant: Bertrand VILLENEUVE, Tours University, CREST and Risk Foundation
Slides
Parallel Session 16: Pricing Insurance Derivatives
Chairman: Christian GOLLIER, Toulouse School of Economics
"Dam Rain and Cumulative Gain"
Lane P. HUGHSTON, Perimeter Institute, Canada, Dorje C. BRODY, Imperial College London, Andrea MACRINA, King's College
Paper | Slides

"Approximate Derivative Pricing for Large Class of Homogeneous Assets"
Patrick GAGLIARDINI, University of Lugano and Swiss Finance Institute, Christian GOURIEROUX, CREST (Paris) and University of Toronto
Paper | Slides

Discussant: Jean-Luc PRIGENT, Cergy-Pontoise University
18h0018h15
CLOSING ADDRESS by by Alain LECLAIR, Chairman, French Asset Management Association (AFG)
18h1519h00
COCKTAIL

16h3017h00
Chairman: Christian GOURIEROUX, CREST and University of Toronto
"Pricing k-th-to-Default Swaps Under Default Contagion: The Matrix-Analytic Approach"
Alexander HERBERTSSON, Holger ROOTZEN, School of Business, Economics and Law Dep. of Economics, Göteborg University
"An Analysis of the True Notional Bond System Applied to the CBOT T-Bonds Futures"
Ramzi BEN-ABDALLAHY, HEC Montréal, Hatem BEN-AMEUR, Michèle BRETON, CREF and GERAD, HEC Montréal
"Credit Risk and Market Risk: Analysing US Credit"
Hayette GATFAOUI, Rouen School of Management
"Capital Protection: Modeling the CPPI Portfolio"
Alessandro CIPOLLINI, Deutsche Bank AG (London) and University of Milan Dept. Of Mathematics
"Credit Risk and Optimal Investment"
Marcelo CADENA, Bonn Graduate School of Economics University of Bonn
"Interpreting the Smile in Credit Default Spread Options"
Krishnamurthy VAIDYANATHAN, Quantum Phinance
"A Structural Model for Sovereign Credit Risk"
Alexandre JEANNERET, Swiss Finance Institute, University of Laussanne
"Macroeconomic Variables, Pricing Kernels and Expected Default-Free and Defaultable Bond Returns"
Yuriy KITSUL, Georgia State University, Ai-ru (Meg) CHENG, University of California at Santa Cruz
"The Definition of Bank and the Subprime Mortgage Crisis: Tying Bank Regulation to Banks'Risk-Return Trade-offs in the 21st Century"
Kurt DEW, Griffith Business School

16h3017h00
Chairman: Christian ROBERT, CREST and CNAM
"Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach"
Alexander HERBERTSSON, School of Business, Economics and Law Dep. of Economics, Göteborg University
"Simultaneous Calibration to a Range of Portfolio Credit Derivatives with a Dynamic Discrete-Time Multi-Step Markov Loss Model"
Michael WALKER, University of Toronto
"Regulating Capital Flows to Emerging Markets"
Anton KORINEK, University of Maryland
"Joint Validation of Credit Rating PDs under Default Correlation"
Ricardo SCHECHTMAN, Central Bank of Brazil
"Recovery Rates, Default Probabilities, and the Credit Cycle"
Max BRUCHE, Carlos GONZALEZ-AGUADO, CEMFI
"Hazardous Times for Monetary Policy: What do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk?"
Jose Luis PEYDRO, European Central Bank, Gabriel JIMÉNEZ, Bank of Spain, Steven ONGENA, CentER - Tilburg University and CEPR, Jesús SAURINA, Bank of Spain
"The Effects of Derivatives Trading on Stock Market Volatility: The Case of the Athens Stock Exchange"
Angelos SIOPIS, University of Liverpool, Management School, Katerina LYROUDI, University of Macedonia
"Credit Risk Management in Greater China"
Hans BYSTRÖM, Lund University
"Does Sovereign Risk have an Effect on Corporate Rating? Case-Study for Emerging Versus Developed Countries"
Cristina-Maria TRIANDAFIL, Petre BREZEANU, Academy of Economic Studies (Romania)
"Credit Risk Analysis of Cashflow CDO Structure's"
Caroline TAN, Philippos PAPADOPOULOS, ABN AMRO Bank
"Optimal Leverage in CPDOs"
Evren BAYDAR, Fraunhofer Institute for Industrial Mathematics ITWM, Giuseppe DI GRAZIANO, Deutsche Bank, Ralf KORN, University of Kaiserslautern
"Basel II Capital Requirements for Structured Credit Products and Economic Capital: A comparative Analysis"
Luca GIACCHERINI, Giovanni PEPE, Banca d'Italia
"Endogenous Credit Derivatives and Bank Behavior"
Thilo PAUSCH, Deutsche Bundesbank
"Estimating Default and Downgrade Risk : Sector, Region and Structured Products Estimates"
Carlos CASTRO, ECARES, Free University of Brussels
(**) Poster sessions are effective means of conveying information. Poster’s visual aspects and the presenter’s verbal explanations work together to get the material across quickly