List of Invited Speakers

NameAffiliationTopic
Acerbi,CarloAbaxbank, ItalyPortfolio Optimization With Spectral Measures Of Risk
Albanese, Claudio University of Toronto, Canada Credit Barrier Models With Jumps And State Dependent Volatility
Balbas, Alejandro Universidad Carlos III de Madrid, Spain Dynamic Measures Of Risk
Barone-Adesi, Giovanni University of Southern Switzerland, Switzerland A Multivariate FGD Technique To Improve VaR Computation In Equity Markets
Birge, John Northwestern University, USA TBD
Carr, Peter NYU Courant Institute Hedging with Options
Consigli, Giorgio UniCredit Banca Mobiliare (UBM), Italy Effective Portfolio Optimisation Under Different Market Regimes
Cont, Rama Ecole Polytechnique, France Calibration Of Option Pricing Models With Jumps
Dembo, Ron Algorithmics Inc., Canada The Put/Call Efficient Frontier
Denault, Michel HEC-Montréal, Canada Coherent Allocation of Risk Capital
D'vari, Ron State Street Research & Management Company, USA Minimum Value-At-Risk Dynamic-Spread Liability Benchmarks To Assess Active Asset/Liability Portfolio Management
Eber, Jean-Marc LexiFi, France TBD
Edirisinghe, Chanaka The University of Tennessee, USA TBD
Estenghamat, Kian Princeton University, USA Pricing And Hedging Defaultable Bond Basket Options
Flannery, Mark University of Florida, USA No Pain, No Gain? Effecting Market Discipline via “Reverse Convertible Debentures”
Friedman, Craig Standard & Poor's, USA Learning Probabilistic Models and Model Performance Measures for Expected Utility Maximizers (Special S&P Lunch Session)
Giannopoulos, Kostas UAE University, UAE Long Term Asset Allocation With Daily VaR Constrains: A Non Parametric Approach
Greyserman, Alex Hite Capital Management & Columbia University, USA Bayesian Approach To Portfolio Optimization
Hibiki, Norio Keio University, Japan Stochastic Optimization Model For Asset And Liability Management Of Pension Plans In Japan
Huang, James Standard & Poor's, USA Single and Multiple Period Probability of Default Modeling (Special S&P Lunch Session)
Kibzun, Andrey Moscow Aviation Institute, Russia A Balance Equation for Criteria VaR and CVaR
King, Alan IBM, USA TBD
Korf, Lisa University of Washington, USA The much-maligned role of finitely additive martingale measures in the theory of pricing contingent claims
Konno, Hiroshi Chuo University, Japan TBD
Kreuser, Jerome L. The RisKontrol Group GmbH, Switzerland An ALM Framework for the Swiss 2nd Pillar
Kyriakis, Triphonas Analytics, UK Data Models And Decision Models For Asset And Liability Management Under Uncertainty
Kreinin, Alex Algorithmics, Inc., Canada Portfolio credit risk: multimodal distributions
Li, Yong Lehman Brothers Inc., USA Risk Management Of Portfolios Of Corporate Loans
Li, Yuying Cornell University, USA Minimizing CVaR and VaR
MacLean, Leonard Dalhousie University, Canada Alternative Approaches to Risk Control
Mitra, Gautam Brunel University, UK TBD
Mulvey, John Princeton University, USA Decentralized Risk Management For Global Financial Companies
Nagurney, Anna University of Massachusetts, USA International Financial Networks with Intermediation and Electronic Transactions
Pardalos, Panos University of Florida, USA Nonlinear Dynamical Analysis In Financial Time-Series
Pflug, Georg University of Vienna, Austria The Risk Measure Process
Primbs, James Stanford University, USA A moment computation algorithm for the error in discrete dynamic hedging
Pritsker, Matt Federal Reserve Board, USA The Hidden Dangers Of Historical Simulation
Qian, Edward Putnam Investments, USA An Analysis Of Quantitative Active Investment Strategies
Rockafellar, R. Tyrell University of Washington, USA Approaches To Risk In Optimization
Sakalauskas, Leonidas Institute of Mathematics and Informatics, Lithuania Stochastic Method for Optimization of Portfolio with Heavy Distributed Returns
Sandow, Sven Standard & Poor's, USA Modeling Recovery Rates of Defaulted Debt and Aggregate Default Rates (Special S&P Lunch Session)
Saunders, David RiskLab, University of Toronto, Canada Asset And Liability Management For Insurance Products: Stochastic Models
Sen, Suvrajeet University of Arizona, USA Model Validation for Power Portfolio Optimization: A Case Study
Shabbir, Ahmed Georgia Institute of Technology, USA The Risk Modeling in Stochastic Programming
Shapiro, Alex New York University, USA Risk Management With Benchmarking
Swishchuk, Anatoliy York University, Canada Modeling of Variance and Volatility Swaps for Assets with Stochastic Volatility
Szego, Giorgio University of Rome, Italy News on Risk Measures
Tasche, Dirk Deutsche Bundesbank, Germany Risk Contributions And Performance Management
Tompaidis, Stathis University of Texas at Austin, USA Valuation And Optimal Interruption For Interruptible Electricity Contracts
Trindade, Alexander University of Florida,USA A Class of Asymmetric Conditional L1 and L2 Loss Functions in Linear Regression
Tseng, Chung-Li University of Maryland, USA A General Two-Factor Lattice Model For Asset Valuation
Tutuncu, Reha Carnegie Mellon University, USA Returns-Based Estimation Of Sector Allocations In Mutual Funds
Uryasev, Stanislav University of Florida, USA Conditional Drawdown-at-Risk for Multiple Scenarios
Van Der Vlerk, Maarten University of Groningen, The Netherlands Integrated Chance Constraints In An ALM Model For Pension Funds
Vanini, Paolo Zürcher Kantonalbank, Switzerland Credit Portfolio Management: A Practitioners Point of View
Vetzal, Kenneth University of Waterloo, Canada Hedging With Basis Risk
Wets, Roger University of California, Davis, USA Some pratical issues in software design for ALM
Wolyniec, Krzysztof Mirant, Inc., USA Energy Derivatives And Optimization
Yamada, Yuji University of Tsukuba, Japan Mean Square Optimal Hedges Using Higher Order Moments
Zheng, Harry Imperial College, UK Interaction Of Credit And Liquidity Risks: Modelling, Pricing, And Hedging