European Institute for Statistics, Probability, Stochastic Operations Research and its Applications

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Asset Backed Securities
October 29 & 30, 2009
(venue: EIB, Luxembourg)
( on invitation )

A two day conference on securitisation and asset-backed securities held at the European Investment Bank in Luxembourg (www.eib.org). The recent years have shown that the assessment and handling of asset-backed securities are of great importance for the global financial market. The aim of the conference is to gather speakers and participants from both industry and academia, with expertise in securitisation, asset-backed securities and related fields, to discuss the assessment and handling of ABSs and what lessons that have been learned from the recent financial crisis. Topics to be covered include: cashflow modelling; modelling of defaults and prepayments; data sources for different securities; rating agency methodologies; risk management of ABSs; and sensitivity analysis.

The workshop is held within the framework of the research project "Quantitative analysis and analytical methods to price securitization deals", sponsored by the European Investment Bank via its University Research Sponsorship programme (EIBURS). The project aims at conducting advanced research related to rating, pricing and risk management of Asset-Backed Securities (ABSs) and is implemented at EURANDOM, Eindhoven, The Netherlands, in cooperation  with European Investment Bank, Luxembourg, Katholieke Universiteit Leuven, Belgium, and Creative Capital Partners, Stockholm, Sweden.

Organising committee
Dr. Guido Bichisao, EIB
Dr. Henrik J
önsson, EURANDOM
Prof. dr. Wim Schoutens, K.U. Leuven & EURANDOM
Dr. Karsten Sundermann, EIB



Speakers  & Participants
Programme & Abstracts
Practical Information

Speakers (confirmed)

Marco Angheben, ESF
Jessica Carboni, JRC
Matthias Föhl, D-Fine
João Garcia, Dexia
Sanja Hukovic, UBS
Henrik Jönsson, EURANDOM
Laila Kollmorgen and Luke Mellor, Forseti Capital
Benedicte Pfister, Moody's
Martin Scheicher, ECB
Heinz Martin Sorge, PepperMinds GmbH
Peter Jones and James West, Standard & Poors
Damian Thompson, Royal Bank of Scottland
Marc Haguenauer, ICP Capital

Practical information

Conference Venue
European Investment Bank
100, Bd K. Adenauer
L-2950 Luxembourg
EIB-Conference room

West-entrance of the main building.

Location map


  • For SPEAKERS a reservation will be made in the

Novotel, 4 rue Fort Niedergruenewald, Quartier Européen Nord, Plateau de Kirchberg 2015, Luxembourg (http://www.novotel.com/gb/hotel-1930-novotel-luxembourg-kirchberg/index.shtml)

Indicate your arrival and departure date on the FORM.

  • As from today (Sept. 28) we suggest private bookings for PARTICIPANTS in the following hotels

Sofitel - Royal - Sofitel City - the Meliá

Last up-dated 23-10-09

  P.O. Box 513, 5600 MB  Eindhoven, The Netherlands
tel. +31 40 2478100  fax +31 40 2478190  
  e-mail: office@eurandom.tue.nl