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.
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In the sequence of their appearance:
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
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
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
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