|
Friday, February 2, 2001: Day of 'Cutting Edge Research'
The third day will feature sessions with internationally renowned academic researchers (D. Duffie, M. Davis), leading RM software consulting companies (Algorithmics, RiskMetrics Group) and distinguished Austrian experts (J. Zechner, P. Schaller). The papers will be presented in the following order:
Registration starts at 8:00 am - the program starts at 8:30 am
| 8:00 |
Registration |
| 8:30 |
Darrell Duffie Correlated Default Risk and Portfolio Credit Pricing  |
| 9:45 |
Coffee Break |
| 10:15 |
Mark H.A. Davis Reduced Form Models for Multiple Credit Risks |
| 11:30 |
Josef Zechner Equity Valuation and Expected Default Frequencies |
| 12:30 |
Lunch Break |
| 13:45 |
Peter Schaller Integrating Market and Credit Risk |
| 14:55 |
Michael Zerbs Integrated Market and Credit Risk |
| 15:40 |
Coffee Break |
| 16:15 |
Christopher C. Finger Enhancing Monte Carlo Techniques for Economic Capital Estimation |
| 17:30 |
End of Talks - Coffee/Tea Break |
Additional Event
... excusively for fully paying participants from the credit industry (and the media):
| 17:45 |
Rainer Fuhrmann Credit Risk - A Practitioner's Point of View |
In addition, we will organize a plenary discussion
with risk management consultant firms, software and data providers
(present in the Austrian market). Preliminary Topic: "How sophisticated
will the methods of credit risk management be in the Austrian banking
sector by 2007" - for details see this link
|