08h0008h30
REGISTRATION
08h3008h45
WELCOME ADDRESS by Jean LAURENT, Chairman, Institut Europlace de Finance (EIF) & FINANCE INNOVATION
08h4510h15
PLENARY SESSION I
Guest speaker: Til SCHUERMANN, Federal Reserve Bank of New York
"The 7 Deadly Frictions of Subprime Mortgage Credit Securitization"
  
Panel Session: New Challenges in Risk Management
Chairman: Michael CROUHY, Natixis
Valérie RABAULT, BNP PARIBAS 
Tarik SMIRES, KPMG 
10h1510h30
COFFEE BREAK
10h3011h30
PARALLEL SESSIONS
  
Parallel Session 1: Risk Management
Chairman: Lorenzo BERGOMI, Société Générale CIB
"Hedging Interest Rate Margins on Demand Deposits"
Mohamed HOUKARI, ISFA, Jean-Paul LAURENT, ISFA, Lyon University, Alexandre ADAM, BNP Paribas
Paper

"Measuring systemic risk"
Rama CONT, Columbia University & CNRS
Paper

Discussant: Patrice PONCET, Paris I University and ESSEC Business School
Parallel Session 2: Backtesting
Chairman: Alain MONTFORT, CNAM and CREST
"Robust Backtesting Tests for Value-at-Risk Models"
José OLMO, University of London, J. Carlos ESCANCIANO, Indiana University
Paper

"Backtesting Value-at-Risk: A GMM Duration-Based Test"
Sessi TOKPAVI, Gilbert COLLETAZ, Bertrand CANDELON University of Orléans, Christophe HURLIN, Maastricht University
Paper

Discussant: Jean-Michel ZAKOIAN, CREST and Lille III University
11h3012h30
PARALLEL SESSIONS
  
Parallel Session 3: Large Portfolio
Chairman: Olivier TOUTAIN, MOODY'S
"Accounting for Guarantees within the Granularity Adjustment for Basel II"
Eva LÜTKEBOHMERT, Sebastian EBERT, University of Bonn

"Comparison Results for Exchangeable Credit Risk Portfolios"
Areski COUSIN, Lyon University, ISFA Actuarial School, Jean-Paul LAURENT, ISFA, Lyon University
Paper

Discussant: Christian GOURIEROUX, CREST and University of Toronto
Parallel Session 4: Fund Performance
Chairman: Raphaël DOUADY, Riskdata
"L-Performance with an Application to Hedge Funds"
Serge DAROLLES, SGAM AI and CREST, Christian GOURIEROUX, CREST, CEPREMAP and University of Toronto, Joann JASIAK, York University, Canada
Paper

"Dynamic Hedging of Portfolio Credit Derivatives"
Yu Hang KAN, Columbia University, Rama CONT, Paris VI University and CNRS
Paper

Discussant: Jérôme TEILETCHE*, Dauphine University and SGAM
12h3014h00
 LUNCH hosted by Danièle NOUY, Secretary General, Commission Bancaire
14h0015h30
PLENARY SESSION II:
Guest speaker: Christian de BOISSIEU, Centre d'Observation Economique (COE)
  
Panel Session: Financial Markets and Science - New Challenges
Chairman: Marek MUSIELA, BNP Paribas
Jean-Philippe BOUCHAUD, CFM and Ecole Polytechnique
Jean-Michel LASRY, CALYON
Pierre-Louis LIONS, Collège de France
15h3016h30
PARALLEL SESSIONS
  
Parallel Session 5: Mortgage Backed Securities
Chairman: Stéphane GREGOIR, EDHEC
"Jump and Cojump Risk in Subprime Home Equity Derivatives"
Michael LACOUR-LITTLE, California State University, Yun W. PARK, California State University, Richard K. GREEN, University of Southern California
Paper

Discussant: Mohamed HOUKARI, BNP Paribas
Parallel Session 6: Modelling Defaults
Chairman: Nizar TOUZI, Ecole Polytechnique
"Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model"
Samson ASSEFA, University of Technology, Sydney
Paper

"Modelling of Successive Defaults"
Ying JIAO, Paris VII University, Nicole EL-KAROUI, Paris VI University and Ecole Polytechnique, Monique JEANBLANC, Evry University
Paper

Discussant: Caroline HILLAIRET, Ecole Polytechnique
16h3017h00
POSTER SESSION** 1 (see below)
17h0018h00
PARALLEL SESSIONS
  
Parallel Session 7: Trading Liquidity
Chairman: Andras FULOP, ESSEC Business School
"The Same Bond at Different Prices : Identifying Search Frictions and Demand Pressures"
Peter FELDHÜTTER, Copenhagen Business School
Paper

"Return and Volume: Between Information and Liquidity"
Gaëlle LE FOL, Evry University and CREST, Serge DAROLLES, SGAM AI and CREST, Gulten MERO, Rennes University and CREST
Paper

Discussant: Fabio FERIOZZI, Tilburg University
Parallel Session 8: Credit Derivatives
Chairman: Boris LEBLANC, BNP Paribas
"Credit Risk Discovery in the Stock and CDS Market: Who, When and Why Leads?"
Santiago FORTE, Lidija LOVRETA, Ramon Llull University
Paper

"Modeling Default and Prepayment using Lévy Processes: an Application to Asset Backed Securities"
Henrik JÖNSSON, Technical University Eindhoven, Wim SCHOUTENS, Geert VAN DAMME, K.U.Leuven University
Paper

Discussant: Vivien BRUNEL, Société Générale
18h0018h45
ROUND TABLE: "Crisis and Risk Management : The View Point of Market Professionals"
Pierre CAILLETEAU, Moody's
Michel CROUHY, Natixis
Jean-François DANDE, KPMG
Farhoud MOADDEL, Fitch Solutions
Marek MUSIELA, BNP Paribas
Muriel TIESSET, Banque de France

08h0008h30
REGISTRATION
08h3008h45
OPENING ADDRESS by André LEVY-LANG, Chairman, Risk Foundation - Louis Bachelier Institute (ILB)
08h4510h15
PLENARY SESSION III: "The Role of Ratings in Regulation"
Guest speaker: Paul EMBRECHTS, ETH Zürich
"On EVT, Aggregation and Diversification in Finance"
  
Panel Session: The Use of Ratings in Risk Management and Risk Control
Chairman: Christian GOURIEROUX, CREST and University of Toronto
Lisa GOLDBAUM*, Moody's
Deborah SHIRE, AXA IM
Olivier TOUTAIN, Moody's
10h1510h30
COFFEE BREAK
10h3011h30
PARALLEL SESSIONS
  
Parallel Session 9: Limits of VaR
Chairman: Gilles PAGES, Paris VI University
"The Instability of Downside Risk Measures"
Imre KONDOR, Eötvös University, Istvàn VARGA-HASZONITS, Eötvös University and Morgan Stanley
Paper

"The VaR at Risk"
Alfred GALICHON, Ecole Polytechnique
Paper

Discussant: Christophe PERIGNON, HEC Business School
Parallel Session 10: Rating Migration
Chairman: Patrick GAGLIARDINI, University of Lugano and Swiss Finance Institute
"Modeling of Contagious Rating Changes and Its Application to Multi-Downgrade Protection"
Hidetoshi NAKAGAWA, Hitotsubashi University
Paper

Discussant: Fulvio PEGORARO, Banque de France and CREST
11h3012h30
PARALLEL SESSIONS
  
Parallel Session 11: Systematic / Systematic Risk
Chairman: Monique PONTIER, Toulouse University
"An Adaptative Nonparametric Model for the Systematic Factors of Portfolio Credit Risk Premia"
Flavia GIAMMARINO, Pauline BARRIEU, London School of Economics
Paper

"A Modified Structural Model for Credit Risk - Utility Indifference Valuation"
Gechun LIANG, University of Oxford, Lishang JIANG, Tongji University
Paper

Discussant: Jérôme BRUN, Société Générale
Parallel Session 12: Liquidity and Security Design
Chairman: Vathana LY VATH, Evry University
"Strategic Default Risk and Global Liquidity Crises: The Case of Foreign Direct Investment"
Demosthènes N. TAMBAKIS, University of Cambridge
Paper

"Liquidity, Runs, and Security Design: Lessons from the Collapse of the Auction Rate Municipal Bond Market"
Song HAN, Dan LI, Federal Reserve Board, Washington, D.C.
Paper

Discussant: Frédéric ABERGEL, Centrale School, Paris
12h3014h00
 LUNCH hosted by Jean-François THEODORE, Deputy CEO, NYSE Euronext Group
14h0015h30
PLENARY SESSION IV
Guest speaker: Roger GUESNERIE, Collège de France
  
Panel Session: New Markets for Post-Crisis
Chairman: Jean-Michel LASRY, Calyon
Jean-Michel BEACCO, Natixis
Christophe BOURDILLON, Caisse des Dépôts et Consignations (CDC)
Vincent REMAY, NYSE Euronext
Hamid TAWFIKI, Avenir Global Investment Advisors
15h3016h30
PARALLEL SESSIONS
  
Parallel Session 13: Interbank Market
Chairman: Etienne LEHMANN, CREST
"Liquidity, Moral Hazard and Inter-Bank Market Collapse"
Enisse KHARROUBI, Edouard VIDON, Banque de France
Paper

"Liquidity, Hoarding and Interbank Market Spreads: The Role of Counterparty Risk"
Cornelia HOLTHAUSEN, Florian HEIDER, Marie HOEROVA, European Central Bank
Paper

Discussant: Nathalie PISTRE, Natixis Asset Management
Parallel Session 14: Equilibrium Models
Chairman: Michel GUILLARD, Evry University
"Fear of Default and Volatility in a Dynamic Financial-Market Equilibrium"
Emilio OSAMBELA, Swiss Finance Institute and University of Lausanne
Paper

"Heterogeneous Beliefs and the Vulnerability of Financial Innovation"
Weidong TIAN, University of North Carolina, Hong YAN, University of South Carolina

Paper

Discussant: Bertrand VILLENEUVE, Tours University and CREST
16h3017h00
POSTER SESSION** 2 (see below)
17h0018h00
PARALLEL SESSIONS
  
Parallel Session 15: Operational Risk and Regulatory Capital
Chairman: Guy LAROQUE, CREST and University College London
"Resolution of Financial Distress under Chapter 11"
Amira ANNABI, Michèle BRETON, Pascal FRANCOIS, HEC Montréal
Paper

"Does Team Management Reduce Operational Risk ? Evidence from the Financial Services Industry?"
Stefan RUENZI, University of Texas, Michaela BÄR, University of Cologne, Conrad S. CICCOTELLO, Georgia State University
Paper

Discussant: Philippe PRIAULET, Natixis and Evry University
Parallel Session 16: Monetary Policy
Chairman: Sanvi AVOUYI-DOVI, Banque de France
"Equilibrium Lending to Tightly Constrained Borrowers"
Guillaume PLANTIN, Igor MAKAROV, London Business School
Paper

Discussant: Olivier de BANDT, Banque de France
18h0018h15
CLOSING ADDRESS by Arnaud de BRESSON, Managing Director, Europlace Institute of Finance (EIF)
18h1519h00
COCKTAIL

16h3017h00
Chairman: Bertrand VILLENEUVE, Tours University and CREST
"Constant Proportion Portfolio Insurance Strategies for Credit Portfolios
Meng-Lan YUEH, Chenghi University
"A Precursor of Market Crashes"
Taisei KAIZOJI, International Christian University
"Credit Spread Changes under Switching Regimes"
Olfa MAALAOUI, HEC Montréal
"Real Effects of the 200-08 Financial Crisis around the World"
Hui TONG, IMF
"Dynamic Correlation Hedging in Copula Models for Portfolio Selection"
Denitsa STEFANOVA, Amsterdam University
"Default, Exchange Rates, and Asset Prices"
Alexandre JEANNERET, University of Lausanne
"A Closer Look at Credit Ratings for CDOs"
Amal MOUSSA, Columbia University
"Explaining What Leads Up to Stock Market Crashes"
Rossitsa YALAMOVA, University of Lethbridge
"Herd Induced By Uninformed Traders in Efficient Financial Markets"
Gongyu CHEN, University of Cambridge
"Financial Liberalization and Banking Crises"
Choudhry Tanveer SHEHZAD, University of Groningen
"Credit Rating Agencies'Function on Bond Markets"
Philippe RAIMBOURG, University Paris I
"Sensitivity Analysis of Credit Risk Measures in the Beta Binomial Framework"
Franck MORAUX, University of Rennes
"Economic Capital and Optimal Investment for Non-Life Insurance Companies"
Selim MANKAI, University Paris VIII
"The Paris Financial Market in the 19th Century: An Efficient Multi-Polar Organization?"
Pierre-Cyrille HAUTCOEUR, EHESS
"Extracting Implied Correlation Matrices from Index Option Prices: A Statistical Approach"
Romain DEGUEST, Columbia University
"A Microfounded Decomposition of Emerging Markets Sovereign Bond Spreads"
Paula MARGARETIC, Toulouse University
"Financial Integration, Liquidity and the Depth of Systematic Crises"
Fabio FERIOZZI, Tilburg University
"How to Pay Incentives at A Bank?: The RAROC Approach"
Dan GALAI, The Hebrew University
"An Application to Credit Risk of Optimal Quantization Methods for Nonlinear Filtering"
Callegaro GIORGIA, Evry University & Scuola Normale of Pisa
"Jump Risk, Stock Returns, and Slope of Implied Volatility Smile"
Shu YAN, University of South Carolina

16h3017h00
Chairman: Monique JEANBLANC, Evry University
"Common Versus Individual Pecularities of CEE Exchange Rate Volatility. Analytical Approach on the CEE Macroeconomic Volatility Drivers in the Context of the Actual Financial Crisis"
Cristina-Maria TRIANDAFIL, National Bank of Romania
"Performance Analysis of Credit-Linked CPPI Portfolios"
Meng-Lan YUEH, Chenghi University
"Bid-Ask Spread Modelling: A Perturbation Approach"
Simone SCOTTI, Turino University
"Threshold Copulas and Financial Contagion"
Piotr JAWORSKI, University of Warsaw Institute of Mathematics
"Counterparty Risk in Financial Contracts: Should the Insured Worry about the Insurer?"
James THOMPSON, University of Waterloo
"Market Discipline and Banking Supervision: The Role of Subordinated Debt"
Isabelle DISTINGUIN, University of Limoges
"Optimal Prepayment and Default Rules for Mortgage-Backed Securities"
Tiziano VARGIOLU, University of Padua
"Securitization and the Intensity of Competition"
Jung-Hyun AHN, Paris X University
"From Default Rates to Default Matrices: An Application to Brazilian Consumer Credit"
Ricardo SCHECHTMAN, Central Bank of Brazil
"CDO Tranches: Measuring Impact on Economic Capital and Capital Allocation in Credit Portfolios"
Yim LEE, Unicredit
"Danger on the Exchange: Counterparty Risk on the Paris Exchange in the Nineteenth Century"
Angelo RIVA, European Business School
"Instability of Portfolio Optimization under Coherent Risk Measures"
Istvan VARGA-HASZONITS, Morgan Stanley
"Where's the Smoking Gun? A Study of Underwriting Standards for US Subprime Mortgages"
Rajdeep SENGUPTA, Federal Reserve Bank of Saint-Louis
"Modeling of CDO Options with Multi-Period Spread Dynamics"
Jochen DORN, Paris I University
"A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market"
Michaël MOORE, Harvard
"Extension of Random Matrix Theory to the L-Moments for Robust Portfolio Allocation"
Ghislain YANOU, Paris I University
"Stock Market Integration in Emerging Countries: Further Evidence from the Philippines and Mexico"
Fred JAWADI, Amiens School of Management
(**) 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