Risk Measures, XVA Analysis, Capital Allocation and Central Counterparties
Second Workshop
- Place:
- Shanghai Advanced Institute for Finance (SAIF)
Shanghai Jiao Tong University
West Huaihai Road 211, Shanghai, 200030 China - Date:
- from October 27th to 29th
- Room:
- 904
- Program:
- Registration: 27, 28 and 29th of October starting from 8:30
Date/Time 27 Oct 2016 28 Oct 2016 29 Oct 2016 09:00-09:45 Hans Föllmer Marco Fritelli Shige Peng 09:55-10:40 Dylan Possamai Karl-Theodor Eisele Birgit Rudloff 10:40-11:25 Tea Break Tea Break Tea Break 11:30-12:15 Stephan Sturm Stefan Weber Lan Wu 12:30-14:00 Lunch & Break Lunch & Break Lunch & Break 14:00-14:45 Marek Rutkowski Zhou Chao Michael Schmutz 14:55-15:40 Lee Junboem Asgar Jamneshan Stephane Crepey 15:40-16:25 Tea Break Tea Break 16:25-17:10 Lijun Bo Shiqi Song 17:15-18:00 Thilo-Meyer Brandis Michael Kupper 18:30- Reception Dinner - Registration:
- Attendance is free and open to everyone. Please send a mail to sdrapeau@saif.sjtu.edu.cn or Jenny Chen jchen@saif.sjtu.edu.cn to notify your presence in order to estimate the capacity and keep you informed about eventual program changes.
Overview
In the aftermath of the global financial crisis, new issues were raised concerning accurate derivative pricing and the sound risk assessment thereof. On the one hand, several valuation adjustments (XVAs), such as credit valuation adjustment (CVA), funding valuation adjustment (FVA) or capital valuation adjustment (KVA), were introduced to account for the inherent incompleteness of financial markets. On the other hand, from the risk assessment point of view, one sees a growing concern for the systemic dimension and how to account for it in the capital allocation among different components of a financial system. A related evolution of the infrastructure of financial markets is the generalization of centrally cleared trading and central counterparties (CCPs).
All these changes pose important questions at the boundary between challenging academic questions and relevant industrial applications. To address these issues, the University of Evry, Shanghai Jiao Tong University and National University of Singapore are jointly organizing two companion workshops on Risk Measures, XVA Analysis, Cost of Capital and Central Counterparties.
The first workshop has been held at the Standard Chartered Bank in Singapore on 18-19 April 2016.
Members of the Organizing Committee:
- Stéphane CRÉPEY (University of Evry, France)
- Min DAI (National University of Singapore, Singapore)
- Samuel DRAPEAU (Shanghai Jiao Tong University, China)
- Steven KOU (National University of Singapore, Singapore)
- Alexandre THIERY (National University of Singapore, Singapore)
- Chao ZHOU (National University of Singapore, Singapore)
Speakers
| Name | Institution |
|---|---|
| Lijun Bo | University of Science and Technology, China |
| Stéphane Crépey | University of Evry, France |
| Karl-Theodor Eisele | Université de Strasbourg, France |
| Hans Föllmer | Humboldt University of Berlin, Germany |
| Marco Fritelli | Università degli Studi di Milano, Italy |
| Asgar Jamneshan | Konstanz University, Germany |
| Lee Junboem | National University of Singapore, Singapore |
| Michael Kupper | Konstanz University, Germany |
| Thilo Meyer-Brandis | Ludwig-Maximilians University, Munich, Germany |
| Shige Peng | Shandong University, China |
| Dylan Possamai | Université Paris Dauphine, France |
| Birgit Rudloff | Vienna University of Economics and Business, Austria |
| Marek Rutkowski | University of Sydney, Australia |
| Michael Schmutz | Bern University, Switzerland |
| Shiqi Song | Université d’Evry, France |
| Stephan Sturm | Worcester Polytechnic Institute, USA |
| Stefan Weber | Leibniz Universität Hannover, Germany |
| Lan Wu | Beijing University, China |
| Chao Zhou | National University of Singapore, Singapore |
Sponsors:
- Center for Quantitative Finance
- Chair Markets in Transition under the aegis of Louis Bachelier laboratory (a joint initiative of Ecole polytechnique, Université d’Evry Val d’Essonne and Fédération Bancaire Française)
- China Academy of Research in Finance (CMAR/CAFR/SAIF), Shanghai Jiao Tong University
- Europlace Institute of Finance Grant “Collateral Management in Centrally Cleared Trading”
- National Natural Science Foundation of China (NSFC) “Systemic Risk and Uncertainty in Finance”, Grant number 11550110184.
- National University of Singapore Grant ‘‘Mathematical Treatments of some Problems in Quantitative Finance”
- National University of Singapore Grant ‘‘Monte-Carlo Methods for Inference in Complex Stochastic Systems’’
- School of Mathematical Sciences, Shanghai Jiao Tong University
Contact us:
For any additional information, do not hesitate to contact Jenny Chen jchen@saif.sjtu.edu.cn.
Last Workshop in Singapore
