Interest rate and credit risk constitute the major risk sources for banks, insurance companies, and other financial institutions. These risks have played a central role in the global financial crisis of 2007 to 2009. The development of financial innovation depends on the way interest rate and credit risk are going to be managed in the future.
This conference brings together different perspectives and tools for the valuation and management of interest rate and credit risks. It addresses academics and practitioners, and shall foster the interaction among individuals and across institutions.
The conference features presentations by leading scholars, a keynote speech by Jean-Pierre Danthine, member of the Swiss National Bank‘s Governing Board, and a panel discussion on «Financial Innovation after the Crisis».
• Tomas Björk (Stockholm School of Economics) Talk, Discussion Filipovic
• Giovanni Cesari (UBS) Talk, Discusion Frey
• Pierre Collin-Dufresne (Columbia University) Talk, Discussion
• Rama Cont (University Paris 6) Talk, Discusssion Schmidt
• Jean-Pierre Danthine (Swiss National Bank) Talk
• Mark Davis (Imperial College) Talk, Discussion Hugonnier
• David Lando (Copenhagen Business School) Talk, Discussion Mancini
• Alex Lipton (Bank of America Merrill Lynch and Imperial College) Talk, Discussion Mancini
• Dilip Madan (University of Maryland) Talk, Discussion Trojani
• Fabio Mercurio (Bloomberg) Talk, Discussion Schneider
• Antoon Pelsser (Maastricht University) Talk, Discussion Scaillet
Thursday 28th and Friday 29th October 2010
Participation is free (including lunch), but places at this conference are limited.
Contact: [email protected]
This conference is organized by the Swissquote Chair in Quantitative Finance and the Swiss Finance Institute at EPFL