16th Annual Workshop on Derivative Securities & Risk Management

Hosted by
The Center for Financial Engineering and The Center for Applied Probability (CAP) at Columbia University


8:45AM - 9:00AM 
Welcoming Remarks
9:00AM - 9:45AM  Michael Gordy (Federal Reserve)"Constant Proportion Debt Obligations:A Post-Mortem Analysis of Rating Models"
9:45AM - 10:30AM  Jakub Jurek (Princeton)"The Pricing of Investment Grade Credit Risk during the Financial Crisis"
10:30AM - 11:00AM Coffee Break
11:00AM - 11:45AM 
Michael Pykhtin (Federal Reserve)"Counterparty Credit Risk Modeling" 
11:45AM - 12:30PM  Peter Carr (Bloomberg LP)"A Simple Robust Link Between American Puts & Credit Protection"
12:30PM - 1:30PM Lunch
1:30PM - 2:15PM
Vadim Linetsky (Northwestern)"Modeling Dependent Jumps: A Multivariate Time Change Approach" 
2:15PM - 3:00PM Nihat Altintas (Credit Suisse)"Execution Costs in Automated Trading" 
3:00PM - 3:30PM
Coffee Break
3:30PM - 4:15PM Robert Ferstenberg (Morgan Stanley)"Execution Risk
4:15PM - 5:00PM Ciamac Moallemi (Columbia University)"Cost of Latency" 
5:00PM - 6:00PM  Reception
 

Please click here to view photos from our Fall 2009 Workshop.