CREDIT RISK SUMMIT - Finance Concepts

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CONFERENCE PROGRAM8 :308 :45Registration and CoffeeOpening Session : Marco AVELLANEDA9:00-9:45 David LI:Loss Distributions, Loss Transformation and Credit Portfolio Pricing: incorporating spreadvolatility in the Gaussian copula model9:45-10:3010:30-11:00 BreakStan URYASEV:Pricing CDOs : Building Copulas usingEntropyJulien TURCPricing and Hedging CDOs with a smile: thelocal correlation model11:00-11:45 Alex LIPTON:Dynamic credit correlation models: Jump-diffusion of the market factor and its implications11:45-12:30 Damiano BRIGO:Calibration of CDO Tranches with thedynamical Generalized-Poisson Loss modelJakob SIDENIUS:Chain Copula Models for the pricing offorward-starting tranches12:30-13:45 Lunch13:45-14:30 Philipp SCHÖNBUCHER:Modeling Portfolio Credit Derivatives with Loss Transition Rates14:30-15:15 Nicolas VICTOIR:A Dynamic Mixture Model for MultinameCredit Derivatives15:15-15:45 BreakSanjiv DAS:Implied Recovery : extracting recovery ratesfrom credit default swaps15:45-16:30 Rama CONTForward loss models for portfolio credit derivatives: implying loss transition rates and theirvolatilities from CDO tranches and tranche optionsRama CONT16:30-17:15 James HUANGCalibrating High Dimensional Copulasusing Maximum EntropyCraig FRIEDMANPrivate Firm Default Probabilities via StatisticalLearning Theory and Utility Maximization17:15-18:00 Ibrahima KOBARManaged Synthetic CDOs: The Manager Perspective18: 00 Cocktailwww.finance-concepts.com
Credit Risk SummitNew York, October 20th 2006REGISTRATIONRegistration fees per participant are 1300 €(Europe)/ USD $ 1500 (US, UK and other)Registration includes: lectures, lunch, coffeebreaks and documents.To apply for registration, please fill out andsend us the registration form at the end ofthis document with your payment or proof ofbank transfer no later than October 12 th2006. The number of participants is limited inorder to allow a better interaction betweenspeakers and participants.E-mail registration is not accepted.VENUEThe conference will be held at : Standard & Poor’s55 Water Street New York NY 10041Finance Concepts and S&P do not cater for hotel accommodationof participants, who are kindly requested to make hotelreservations directly.INFORMATIONPlease send back this inscription form along with payment to :Finance Concepts49-51 avenue Victor Hugo 75116 Paris, FRANCEEmail: creditrisk@finance-concepts.comREGISTRATION FORMRegistration fee : 1300 € ( Euro zone) / USD $ 1500 (rest of the world)PARTICIPANTName : __________________________________________ Surname : _____________________________________Job title : _________________________________________ Company : ____________________________________Address : ______________________________________________________________________________________Zip Code : ________________________________________ City : ________________________________________Telephone : _______________________________________ Fax :_________________________________________Email : _________________________________________________________________________________________BILLING ADDRESSName : __________________________________________ Surname : _____________________________________Job title : _________________________________________ Company : ____________________________________Address : ______________________________________________________________________________________Zip Code : ________________________________________ City : ________________________________________Telephone : _______________________________________ Fax :_________________________________________Email : ___________________________________________ Division : _____________________________________PAYMENT OF REGISTRATION FEES :• By check in Euros (1300 €/ delegate ) to the order of Finance Concepts• By bank transfer to : Finance ConceptsAccount number : FR 76 30003 02216 00020211706 47 SWIFT : SOGEFRPP.Bank address : Société Générale Paris, Place Victor Hugo, 75116 Paris, France.Please send your registration form and proof of your payment of registration fees no later than October 12 th to :FINANCE CONCEPTS, 49 avenue Victor Hugo F 75116 Paris, France.
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Page 3: ABOUT THE SPEAKERSDavid LI is Head

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