Second Workshop
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 |
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.
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 |
For any additional information, do not hesitate to contact Jenny Chen jchen@saif.sjtu.edu.cn.