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Workshop
"Handling and modelling of asset backed securities"
October 22-24, 2008,
EURANDOM, Eindhoven, The Netherlands
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Programme & Abstracts| Registration | Practical Information
SUMMARY
ABSs are notes based on pools of assets, or collateralized by
the cash flows from a specified pool of underlying assets. On the side of the
originator one of the most important features behind “securitization” is the
separation between the collateral (the underlying asset pool) and the originator.
In recent years with the advent of Basel II, the efficient use of capital and
the integration of the European capital market, the European securitization
market has increased significantly.
This workshop will focus on the handling and the modelling of Asset- Backed
Securities. Special attention will be paid to rating models and some recent
developments in the credit risk world.
This workshop is part of the EIB funded project "Quantitative analysis and analytical methods to price securitization deals".
Wednesday October 22, 2008 (by invitation only)
Training
| 10 am - 5 pm |
Luke Mellor, Creative Capital Partners |
ABS Cash Flow modelling and Rating Agencys models |
| Workshop dinner (for invitees only) | ||
Thursday October 23, 2008 (by invitation only)
Training
| 9.30 am - 12.30 am |
Luke Mellor, Creative Capital Partners |
ABS Cash Flow modelling and Rating Agencys models |
| 12.30 am - 2.30 pm Lunch | ||
Workshop: Asset Backed Securities in Practice: Modelling, Handling and Supervision
| 2.30 pm - 3.10 pm |
Ivan Goethals, Fortis |
Cash ABS: far from trivial to model in practice |
| 3.10 pm - 3.50 pm |
Joao Garcia & Serge Goossens, Dexia |
t.b.a. |
| 3.50 pm - 4.30 pm | Break | |
| 4.30 pm - 5.10 pm | Jeroen Lamoot, Bankcommission Belgium | A global view on securitization, the credit crisis and the real economy |
| Workshop dinner (for invitees only) | ||
| 7.30 pm - 8.15
pm |
"An unlikely
evening with EURANDOM"
(open for general audience) Prof.dr. Wim Schoutens (KU Leuven), "Credit Risk presentation |
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Registration form for October 22 and 23, 2008
Friday October 24, 2008 (open for general audience)
Workshop: Credit Risk and Asset Backed Securities
| 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.
For the open part of the workshop, Ocotber 24 PLEASE REGISTER BY FILLING IN THE FORM
Conference Location and Travel
The workshop location is EURANDOM, Den Dolech 2, 5612 AZ Eindhoven, Laplace Building, 1st floor, LG 1.105.
EURANDOM is located on the campus of Eindhoven University of Technology, in the 'Laplacegebouw' building' (LG on the map). The university is located at 10 minutes walking distance from Eindhoven railway station (take the exit north side and walk towards the tall building on the right with the sign TU/e).
For information on how to come to Eindhoven, please check www.eurandom.tue.nl/Location.htm
Hotel
If you want EURANDOM to make a reservation, indicate the requested nights on the registration page.
For private bookings we suggest you consult the web pages of the Tourist Information Eindhoven, Postbus 7, 5600 AA Eindhoven.
Lunches/dinner
October 22 Organised dinner in Museum
kunstlicht in de kunst, Emmasingel 31, Eindhoven,
http://www.kunstlichtkunst.nl).
October 23, Organised dinner in the University
Club TU/e,
Main Building 1st floor.
October 22-23, 2008, lunches are being organised in the University
Club TU/e,
Main Building 1st floor.
Contact
For more information, please contact Mrs. Lucienne Coolen, workshop officer of EURANDOM, at coolen 'at' eurandom.tue.nl
Organisers
Wim Schoutens (EURANDOM/K.U.Leuven), Jef Teugels (EURANDOM/K.U.Leuven), Henrik Jönsson (EURANDOM)
This page is maintained by Lucienne Coolen
