"Handling and modelling of asset backed securities"

October 22-24, 2008,
EURANDOM, Eindhoven, The Netherlands

Programme & Abstracts| Registration | Practical Information


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)


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)


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

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

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


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.


October 22 Organised dinner in Museum kunstlicht in de kunst, Emmasingel 31, Eindhoven,

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.


For more information,  please contact Mrs. Lucienne Coolen, workshop officer of  EURANDOM, at coolen 'at'


Wim Schoutens (EURANDOM/K.U.Leuven), Jef Teugels (EURANDOM/K.U.Leuven), Henrik Jönsson (EURANDOM)

Last up-dated 25-02-09

This page is maintained by Lucienne Coolen