Risk Measures, XVA Analysis, Capital Allocation and Central Counterparties

Second Workshop

Shanghai Advanced Institute for Finance (SAIF)
Shanghai Jiao Tong University
West Huaihai Road 211, Shanghai, 200030 China
from October 27th to 29th
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  

Titles and Abstracts

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.


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:


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


Contact us:

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

Last Workshop in Singapore

Workshop Singapore