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Workshop in Finance

Thursday June 16 in the afternoon
and Friday June 17 2005


Schedules

Thursday June 16 in the afternoon

13h30 14h15 Jean-Pierre Lardy (JPMorgan), Capital Structure Arbitrage, A Guided Tour
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    • 14h15 15h Julien Turc (Société Générale), Stock-credit relative value strategies
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    • Coffee Break

    15h30 16h15 Weidong Tian (University of Waterloo, Canada), Predictions of Credit Risk in Structural Model
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    • 16h15 17h Elie Ayache (Ito33), Model Robustness in the Equity to Credit Universe I: Co-Calibration
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    		• Friday June 17

    Morning Coffee

    10h30 12h Fan Yu (University of California),
    • I. How profitable is Capital Structure Arbitrage ?
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    Conference lunch

    13h30 14h15 Claudio Albanese (Imperial College), Pricing Equity to Default Swaps
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    • 14h15 15h Yoann Bourgeois & Marc Minko (HSBC-CCF), Arbitrage method on several underlyings
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    • Coffee Break

    15h30 16h15 Frederic Patras (CNRS Mathématiques Nice & Zeliade Systems), Second-to-default Swaps
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    • 16h15 17h Philippe Henrotte (Ito33), Model Robustness in the Equity to Credit Universe II: Dynamic Hedging
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    • Location : Evry University, Bâtiment des Sciences (Bâtiment Maupertuis)

    Access : Click here

    RER D Acces : 'Evry Courcouronnes' station , departures 11 and 41 every hour, from Paris Gare de Lyon (half an hour RER + 5min by walk)

    Print the registration form (PDF file)

    Click here for the Workshop schedule

    A two-day conference in finance will take place at Evry University on Thursday June 16 in the afternoon and Friday June 17 2005 on the following theme: 'Capital Structure Arbitrage' namely arbitrage strategies involving financial assets related to different aspects of the capital structure of the firm (equity, debt and credit). This covers in particular the field of Equity-To-Credit.

    Organized on the same format as the previous editions of the Workshops in finance at Evry University (2004 edition on alternative investment alternative investment and 2003 edition on Credit Risk), this conference will allow a fruitful exchange of ideas between practitioners and academics.

    All types of proposals are welcome, either theoretical or applied, including the presentation of dedicated software or of relevant databases. Moreover the works presented at the conference will be submitted to the Editorial Board of the journal Banque & Marchés (articles in English or in French) for publication in a special issue.

    Here is a list of possible themes for the talks :

    • Presentation of strategies of Capital Structure Arbitrage, risks & performances analysis
    • Default models, reduced or structured. Models' calibration
    • Convertible Bonds
    • Study of the relationship between CDS spreads, implied volatility surfaces and leverage of the firm
    • Correlations modeling, Correlation instruments: Basket CDS, CDO
    • Presentation of dedicated software or databases

    The conference will be sponsored by two financial software companies, Zeliade Sytems and Ito 33.

    For submissions please contact Stéphane Crépey : stephane.crepey@univ-evry.fr
    or
    Monique Jeanblanc : monique.jeanblanc@univ-evry.fr

    Registration fees :

    Practitioners 100 euros (or 75 euros without the Friday lunch)
    Academics 40 euros (or 15 euros without the Friday lunch)