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|Chair:||Frits Conijn, Journalist, het financieel dagblad|
Damiano Brigo, Managing Director, Fitch Solutions
Aaron Brown, Chief Risk Officer and Author
Prof. Wim Schoutens, Catholic University of Leuven
Prof. André Lucas, Vrij University, Amsterdam
|Date:||11 June 2009|
|Location:||Beursplein 5, Amsterdam|
NYSE Liffe, Fortis Bank Nederland Brokerage, Clearing & Custody and All Options.
'Credit derivatives models before and during crisis: Dynamic models implying Armageddon scenarios and extreme losses'
Damiano is Managing Director of Fitch Solutions and Visiting Professor at Imperial College Mathematics in London, where he works on valuation and pricing, risk measurement, credit and default modelling, counterparty risk, and stochastic dynamic models for commodities and inflation. Damiano is also a Managing Editor of the International Journal of Theoretical and Applied Finance and is a member of the Fitch Academic Advisory Board.
'Leverage without tears: The next generation of derivatives'
Aaron is Chief Risk Officer at AQR Capital Management and author of The Poker Face of Wall Street (named a top-ten book in 2006 by Business Week) and A World of Chance. He was formerly a trader, portfolio manager, head of mortgages and finance professor.
'Implied Levy Volatility'
Wim is a research professor in the Department of Mathematics at the Catholic University of Leuven, Belgium, and is an independent consultant and trainer to the banking industry on equity modelling. Wim is also a Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of Mathematical Finance and Review of Derivatives Research.
'Macro, industry and frailty effects in defaults during the 2008 credit crisis'
André is Professor of Finance at the VU University in Amsterdam, Program Director of MSc Risk Management at Duisenberg school of Finance and Director of Graduate Studies Finance at Tinbergen Institute. André is an expert in financial risk management, asset pricing and financial econometrics. His research focuses on empirical modelling issues for market and credit risk, in particular at the portfolio level.