18 – 19 Apr 2016, Singapore
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Submission of contributed talks has closed.
In the aftermath of the global financial crisis, new issues were raised concerning accurate derivative pricing and the sound risk assessment thereof. On the one hand, several valuation adjustments (XVAs), such as credit valuation adjustment (CVA), funding valuation adjustment (FVA) or capital valuation adjustment (KVA), were introduced to account for the inherent incompleteness of financial markets. On the other hand, from the risk assessment point of view, one sees a growing concern for the systemic dimension and how to account for it in the capital allocation among different components of a financial system. A related evolution of the infrastructure of financial markets is the generalization of centrally cleared trading and central counterparties (CCPs).
All these changes pose important questions at the boundary between challenging academic questions and relevant industrial applications. To address these issues, the University of Evry, Shanghai Jiao Tong University and National University of Singapore are jointly organizing two companion workshops on Risk Measures, XVA Analysis, Cost of Capital and Central Counterparties.
The first workshop will be held at the Standard Chartered Bank in Singapore on 18-19 April 2016. The second workshop will be held at the Shanghai Advanced Institute for Finance in China on 27-28 October 2016.
For more details on the second workshop, please click here.
Group photo:
Speakers
- Claudio ALBANESE (Global Valuation & Cass Business School, United Kingdom)
- Yannick ARMENTI (Université d’Evry, France)
- Agostino CAPPONI (Columbia University, United States)
- Stéphane CRÉPEY (Université d’Evry, France)
- Hans FÖLLMER (Humboldt University of Berlin, Germany)
- Steven KOU (National University of Singapore, Singapore)
- Alex LIPTON (Bank of America and New York University, United States)
- Dilip MADAN (University of Maryland, United States)
- Gary WONG (Global Valuation, United Kingdom)
- Lixin WU (Hong Kong University of Science and Technology, Hong Kong)
Panel List:
- Claudio ALBANESE (Global Valuation & Cass Business School, United Kingdom)
- Mauro CESA (Risk Magazine, United Kingdom)
- Alex LIPTON (Bank of America and New York University, United States)
- Dilip MADAN (University of Maryland, United States)
- Henrik RASMUSSEN (Standard Chartered Bank, Singapore)
- Jochen THEIS (Standard Chartered Bank, Singapore)
Programme
Programme and Abstracts
Venue
- L21 Townhall
Standard Chartered Bank
8 Marina Boulevard
Marina Bay Financial Centre Tower 1
Singapore 018981 - Stéphane CRÉPEY (University of Evry, France)
- Min DAI (National University of Singapore, Singapore)
- Samuel DRAPEAU (Shanghai Jiao Tong University, China)
- Steven KOU (National University of Singapore, Singapore)
- Alexandre THIERY (National University of Singapore, Singapore)
- Chao ZHOU (National University of Singapore, Singapore)
- Chair Markets in Transition under the Aegis of Louis Bachelier laboratory (a joint initiative of Ecole polytechnique, Université d’Evry Val d’Essonne and Fédération Bancaire Française)
- China Academy of Research in Finance (CAFR/SAIF), Shanghai Jiao Tong University
- Europlace Institute of Finance grant “Collateral Management in Centrally Cleared Trading”
- National Natural Science Foundation of China (NSFC) “Systemic Risk and Uncertainty in Finance”
- National University of Singapore Grant ”Mathematical Treatments of some Problems in Quantitative Finance”
- National University of Singapore Grant ”Monte-Carlo Methods For Inference in Complex Stochastic Systems”
- Standard Chartered Bank (Singapore) Limited
Organizing Committee
Co-organized with
