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6th RiskLab-Madrid International Conference


Madrid, october 19th, 2006
Auditorio BBVA, Paseo de la Castellana, 81

 


09.00 h. Accreditations

10.00 h. Apertura de la Jornada
Jordi García. BBVA.

10.10 h. Pricing Credit Derivatives and Measuring Credit Risk in Multifactor Models
Paul Glasserman. Columbia University.

11.00 h. Different Models of Credit Risk
Monique JeanBlanc. Université d'Evry.

11.50 h. Coffe Break

12.10 h. Relative performance of funds of hedge funds and investable hedge fund indices
Jacques Pézier. ICMA

13.00 h. New derivatives based structures
Roberto Silvotti. Dresdner Kleinwort.

13.50 h. Rest

16.00 h. A simple model to account for diversification in credit risk. Application to a bank's credit portfolio model
Juan Antonio de Juan Herrero. Departamento de Metodologías de Riesgo Corporativo, BBVA.

16.30 h. Model Risk and Operational Risk
Santiago Carrillo, Alberto Suárez. RiskLab Madrid

17.00 h. Hedge funds: remarks on the Spanish market place
Luis Seco. RiskLab Toronto

17.30 h. An Almost Exact Method for Monte Carlo Simulation of the Heston Model
Robert Smith. Head of global derivatives, Banco de Santander

18.00 h. Spanish Wine


 

Organiced by: Santiago Carrillo Menéndez and Antonio Sánchez Calle (RiskLab-Madrid), and Luis Seco (RiskLab-Toronto).


 

Sponsor by: BBVA, Indra, QRR, Sun.

 



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