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.


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