Financial Modelling Workshop

University of Ulm
September 20th - September 22nd, 2005

Credit Modelling Course | Programme & Participants | Workshop Arrangements |Application Form |Home

Programme

The workshop splits up into two parts: the modelling of credit derivatives (days 1 and 2) and the modelling of energy derivatives (days 2 and 3).

Additionally, there was a Credit Modelling Course.

Presentations

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In the sequence of their appearance:

Tuesday -- Back To Beginning of Presentations

Wim Schoutens, K.U.Leuven

Multivariate Variance Gamma Modelling with Applications in Equity and multivariate Credit risk

Ludger Overbeck, Hypo Vereinsbank

Risk Measures for CDOs

Clemens Prestele, University of Ulm

Large Portfolio Approximation in an Elliptical Distributions Framework

Philip Koziol, WHU Vallendar

Analysis of Copula Functions and Applications to Credit Risk Management

Raymond Brummelhuis, Birkbeck College, London

Concentration of Measure and Value-at-Risk Estimates for Large Portfolios

Mohamed El-Morsalani, Landesbank Baden-Württemberg, Stuttgart

Observing Credit Derivatives in their Natural Habitat - a Trader's View

Chitro Majumdar, ETH Zürich

Merton's Option Pricing Model and Credit Risk Portfolio Analysis: Monte Carlo Simulation - Abstract

Michael Kunisch, University of Karlsruhe

Modelling Simultaneous Defaults and Valuation of Defaultable Securities

Nick Bingham, University of Sheffield

Interplay Between Distributional and Temporal Dependence: A Copula Approach with High-Frequency Asset Returns

Wednesday -- Back To Beginning of Presentations

Rudi Zagst, TU München

Integrated Modelling of Market and Credit Risk

Ernst Eberlein, University of Freiburg

Pricing of Credit Derivatives in the Levy Libor Model

Luitgard Veraart, University of Cambridge

Asset-based Estimates for Default Probabilities for Commercial Banks

Matthias Scherer, University of Ulm

A Structural Credit Risk Model Based on a Jump Diffusion

Dirk Heithecker, TU Braunschweig

Maturity Effect on Risk Measure in a Ratings-Based Default-Mode Model

Alvaro Cartea, Birkbeck College, London

Multiple Interruptible Supply Contracts in the UK Gas Markets

Heiko Leschhorn, Landesbank Baden-Württemberg, Stuttgart

The European Market for Crude Oil

Anton Schäfer, Siemens AG

From Time Series to Market Modelling

Thursday -- Back To Beginning of Presentations

Andrea Roncoroni, ESSEC Business School, Paris

Modelling the Spot Price of Electricity in Deregulated Energy Markets

Gero Schindlmayr, EnBW AG, Karlsruhe

Modelling Electricity Spot Prices: A Regime-Switching Approach

Reik H. Börger, University of Ulm

A Two Factor Model for the Electricity Futures Market

Pablo Villaplana, Universitat Pompeu Fabra

Valuation of Electricity Forward Contracts: The Role of Demand and Capacity

Marcelo Figueroa, Birkbeck College, London

Challenges of Pricing Interruptible Contracts in Electricity Markets with High Mean Reversion

Thorsten Schmidt, University of Leipzig

Modelling of Energy Markets with Shot-Noise Processes

Maria Kholopova, University of Twente

Pricing of Electricity Futures with Delivery Over Time-Period by Modified Schwartz and Smith Two-Factor Model

Svetlana Maslyuk, Monash University, Australia

Testing Oil Market Efficiency - Evidence from Multiple Variance Ratio Tests

Participants

(final update: September 15)

Alberts, Galina, Johann-Wolfgang-Goethe University Frankfurt
Arije, Abiola, University Of Ilorin
Ashu, Tom Ayuk, University of Kaiserslautern
Bauer, Daniel, University of Ulm
Bauer, Harald, University of Ulm
Becker, Swantje, University of Giessen
Belledin, Michael, DZ Bank AG
Bhushan, Amarendra, aryan hellas Ltd
Bijalwan, Naveen, Indian Institute of Technology Roorkee
Bingham, Nick H., University of Sheffield
Binnenhei, Carsten, DekaBank Deutsche Girozentrale
Boogert, Alexander, Essent Energy Trading
Bösel, Thomas, University of Ulm
Boubacar Wargo, Zakari, CESAG
Brechner, Alan, Birkbeck College
Brehme, Annett, University of Duisburg-Essen
Bruhns, Alexander, EDF
Brummelhuis, Raymond, Birkbeck College
Burger, Markus, Energie Baden-Württemberg
Cartea, Alvaro, Birkbeck College
Cristian, Chetran, University of Konstanz
Davveta, Anna-Georgia, Bankgesellschaft Berlin AG
Dupont, Dominique, University of Twente
Eberlein, Ernst, University of Freiburg
El-Morsalani, Mohamed, LBBW
Fakhrutdinova, Luba, University of Cambrigde
Figueroa, Marcelo, Birkbeck College
Fisel, Mirjam, University of Ulm
Gündüz, Yalin, University of Karlsruhe
von Hammerstein, Ernst August, University of Freiburg
Hartmann, Wolfgang, Landesbank Rheinland-Pfalz
Hildebrand, Angela, HypoVereinsbank
He, Yizhi, University of Twente
Hein, Julia, University of Konstanz
Heithecker, Dirk, TU Braunschweig
Heitzer, Marc, University of Ulm
Herrmann, Thorsten, LBBW
Hinz, Juri, ETH Zürich
Hoefling, Holger, Stanford University
Hummel, Ulrike, Allianz Lebensversicherungs AG
Jaeger, Simon, University of Bonn
Jeckle, Michael, University of Applied Sciences BFI, Vienna
Jehan, Shahzadah Nayyar, Otaru University of Commerce
Jin, Fangyi, University of Konstanz
Kalemanova, Anna, Munich University of Technology
Kammer, Stefanie, University of Giessen
Kan-Dobrosky, Natalia, Goettingen University
Kaniewska, Ewa, University of Ulm
Karimi, Mohammad Sharif, MPO
Keijzers, Micha, Radboud University Nijmegen
Kholopova, Maria, University of Twente
Klaas, Rolf, University of Giessen
Kluge, Wolfgang, University of Freiburg
Kolokolova, Olga, University of Konstanz
Korb, Jochen, LBBW
Koziol, Philipp, WHU Vallendar
Kraft, Helmut, Allianz Lebensversicherngs-AG
Kramer, Florian, University of Ulm
Kremers, Thorben, LBBW
Kunisch, Michael, University of Karlsruhe
Leschhorn, Heiko, LBBW
Lesko, Michael, Gillardon AG
Lin, Tao, Norwegian School of Economics and Business Administration
Lütkebohmert, Eva, Deutsche Bundesbank
Madsen, Haakon, University of London, Birkbeck College
Mahmud, Haseeb, University of Ulm
Maier, Matthias, LBBW
Majumdar, Chitro, ETH Zürich
Manda, Ahmed Talal, Birkbeck College, University of London
Mayenberger, Daniel, KPMG
Mayer, Christoph, University of Ulm
Mardokhi, Baba Ali, MPO
Maslyuk, Svetlana, Monash University
Meza Castro, Ana Isabel, University of Ulm
Nguyen, Minh, Leeds University Business School
Niethammer, Christina, University of Konstanz
Oellers, Peter, LBBW
Ogunleye, Eric, University of Calabar, Nigeria
Overbeck, Ludger, Hypo Vereinsbank
Ozguneri, Elif, University of St. Gallen
Özkan, Fehmi, Allianz AG
Papapantoleon, Antonis, University of Freiburg
Pasheva, Elena, University of Hamburg
Peltonen, Tuomas, European University Institute
Peter, Matthias, KPMG
Piechulla, Stefanie, University of Ulm
Plagemann, Stephan, LBBW
Raupach, Peter, Deutsche Bundesbank
Rieder, Ulrich, University of Ulm
Röhl, Stefan, Vorarlberg University of Applied Sciences
Roncoroni, Andrea, ESSEC
Ruf, Johannes, University of Ulm
Sacalschi, Adrian-Stefan, University of Konstanz
Sauerbier, Simon, University of Karlsruhe
Schäfer, Anton, Siemens AG
Scheffler, Helge, University of Ulm
Schickl, Hanna, University of Ulm
Schindlmayr, Gero, EnBW
Schmidt, Christian, University of Ulm
Schmidt, Thorsten, University of Leipzig
Schoutens, Wim, K. U. Leuven
Schwarz, Robert, University of Applied Sciences BFI, Vienna
Seifert, Jan, University of Karlruhe
Solgi, Reza, University of Pavia
Stadtmueller, Ulrich, University of Ulm
Steil, Fabian, LBBW
Steinberger, Thomas, Fachhochschule Vorarlberg
Su, Guangya, University of Ulm
Taiwo, Aladeojebi, Paal Associate
Tjo, Konstantin, University of Ulm
Veraart, Almut, University of Oxford
Veraart, Luitgard, University of Cambridge
Vignal, Bertrand, EDF
Villaplana, Pablo, Universitat Pompeu Fabra
Vollbrecht, Hans, Fachhochschule Vorarlberg
Warnung, Richard, Vienna University of Technology
Wang, Shaohui, University of Ulm
Zagst, Rudi, TU München


Credit Modelling Course | Programme & Participants | Workshop Arrangements |Application Form |Home