Credit risk under Lévy models
Edinburgh, 19-21 September 2006
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Scientific Programme and Participants
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Themes
The objective of this workshop is to examine the application of Lévy processes to models of credit risk Specific topics will include:
- Fundamental credit risk models taking into account jumps and their mathematical consequences.
- Passage problems and optimal default.
- Distributional aspects of integrated exponential Lévy processes and applications. The use of integro-differential equations, boundary value problems, theoretical and numerical solutions thereof. Multivariate asset modeling using Lévy processes in credit models.
The programme will consist of a mixture of keynote expository talks and shorter talks focusing on current research and ongoing problems. The Workshop will conclude with a round-table discussion on areas of future research.
Programme
Tuesday 19 September 2006
| 09:00-09:45 | REGISTRATION |
| 09:45-10:00 | WELCOME |
| Chair: | Andreas Kyprianou |
| 10:00-10:45 | Ernst Eberlein (University of Freiburg) The Lévy Libor model with credit risk |
| 10:45-11:15 | Pauline Barrieu (London School of Economics) On Pareto-optimal allocations for multi-period risks: Application to credit risk securitization (joint work with Giacomo Scandolo) |
| 11:15-11:45 | COFFEE |
| Chair: | Andreas Kyprianou |
| 11:45-12:30 | Rama Cont (École Polytechnique Paris) Hedging options in presence of jumps |
| 12:30-15:00 | LUNCH |
| Chair: | Dilip Madan |
| 15:00-15:30 | Hansjörg Albrecher (Graz University of
Technology) Static hedging strategies for Asian options |
| 15:30-16:00 | Antonis Papapantoleon (University of Freiburg) Valuation of exotic and credit derivatives in Lévy models |
| 16:00-16:30 | COFFEE |
| Chair: | Dilip Madan |
| 16:30-17:00 | Irmingard Eder (Munich University of Technology) Compound Poisson models with dependence modelled by a Lévy copula |
| 17:00-17:45 | Thorsten Schmidt (University of Leipzig) Portfolio credit risk with default clustering |
| 18:00-19:00 | RECEPTION with Wine & Nibbles |
Wednesday 20 September 2006
| Chair: | Alexander McNeil |
| 09:30-10:15 | Alexander Novikov (University of Technology Sydney) First passage problems for Ornstein-Uhlenbeck process: some explicit and asymptotic results |
| 10:15-10:45 | Shalom Benaim (University of Cambridge) The implied volatility smile for time changed Lévy processes at extreme strikes |
| 10:45-11:15 | COFFEE |
| Chair: | Alexander McNeil |
| 11:15-11:45 | Nino Kordzakhia (Macquarie University) Pricing of credit spread barriers |
| 11:45-12:30 | Chris Rogers (University of Cambridge) A dynamic approach to the modelling and pricing of correlation credit derivatives (with Peppe Di Graziano) |
| 12:30-15:00 | LUNCH |
| Chair: | Ernst Eberlein |
| 15:00-15:30 | Matthias Scherer (University of Ulm) A structural default model for multi-name credit derivatives |
| 15:30-16:00 | José Corcuera (University of Barcelona) The martingale method in a Lévy market |
| 16:00-16:30 | COFFEE |
| Chair: | Ernst Eberlein |
| 16:30-17:00 | Stefan Kassberger (University of Ulm) A Lévy-driven structural model for the valuation of CDOs and other credit derivatives |
| 17:00-17:45 | Claudia Klüppelberg (Munich University of Technology) Multivariate models for operational risk |
| 19:30 | DINNER - METROPOLE BISTRO, 33 Newington Road |
Thursday 21 September 2006
| Chair: | Claudia Klüppelberg |
| 09:30-10:15 | Marc Yor (Université Pierre et Marie Curie, Paris VI, France) tba |
| 10:15-10:45 | Alvaro Cartea (Birkbeck College London) Dynamic hedging of financial instruments when the underlying follows a non-Gaussian process |
| 10:45-11:15 | COFFEE |
| Chair: | Claudia Klüppelberg |
| 11:15-11:45 | Jessica Cariboni (Joint Research Centre (JRC), Italy) Comparing the performance of intensity-based credit risk model |
| 11:45-12:15 | Andreas Kyprianou (University of Bath) Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels |
| 12:15-12:45 | Martijn Pistorius (King's College London) Exit problem of a two-dimensional risk process from a cone: exact and asymptotic result |
| 12:45-15:00 | LUNCH |
| 15:00-16:30 | Round-the-table discussion leaders: Peter Carr Ernst Eberlein Kay Gieseke Rüdiger Kiesel Dilip Madan Thomas Mikosch Chris Rogers Philipp Schönbucher Wim Schoutens |
Expected Participants
13 September
| Name | Institution |
| Albrecher, Hansjörg | Graz University of Technology |
| Barrieu, Pauline | London School of Economcs |
| Baurdoux, Erik | Universities of Bath & Utrecht |
| Benaim, Shalom | University of Cambridge |
| Cariboni, Jessica | Joint Research Centre (JRC) |
| Carr, Peter | New York University/Bloomberg LP |
| Cartea, Alvaro | Birkbeck College, London |
| Cont, Rama | École Polytechnique |
| Corcuera, Jose Manuel | University of Barcelona |
| Davis, Mark | Imperial College London |
| Eberlein, Ernst | University of Freiburg |
| Eder, Irmingard | Munich University of Technology |
| Kassberger, Stefan | University of Ulm |
| Kiesel, Rudiger | University of Ulm |
| Kleinow, Torsten | Heriot-Watt University |
| Klüppelberg, Claudia | Technische Universität München |
| Kollar, Jozef | Heriot-Watt University |
| Konstantopoulos, Takis | Heriot-Watt University |
| Kordzakhia, Nino | Macquarie University |
| Kyprianou, Andreas | University of Bath |
| Luciano, Elisa | University of Turin |
| Madan, Dilip | University of Maryland |
| Maller, Ross | Australian National University |
| McNeil, Alexander | ETH Zurich/Heriot-Watt University |
| Mikosch, Thomas | University of Copenhagen |
| Novikov, Alexander | University of Technology Sydney |
| Papapantoleon, Antonis | University of Freiburg |
| Pistorius, Martijn | King's College London |
| Rogers, Chris | University of Cambridge |
| Sabanis, Sotirios | University of Edinburgh |
| Scherer, Matthias | University of Ulm |
| Schmidt, Thorsten | University of Leipzig |
| Schönbucher, Philipp | ETH Zürich |
| Schoutens, Wim | Catholic University of Leuven |
| Stacey, Alan | Lehmann Brothers |
| Wiese, Anke | Heriot-Watt University |
| Yor, Marc | Université Pierre et Marie Curie |
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