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.