Credit risk under Lévy models

Edinburgh, 19-21 September 2006

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Scientific Programme and Participants

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The objective of this workshop is to examine the application of Lévy processes to models of credit risk Specific topics will include:
  • Fundamental credit risk models taking into account jumps and their mathematical consequences.
  • Passage problems and optimal default.
  • Distributional aspects of integrated exponential Lévy processes and applications.
  • The use of integro-differential equations, boundary value problems, theoretical and numerical solutions thereof. Multivariate asset modeling using Lévy processes in credit models.
The programme will consist of a mixture of keynote expository talks and shorter talks focusing on current research and ongoing problems. The Workshop will conclude with a round-table discussion on areas of future research.


Tuesday 19 September 2006
09:00-09:45 REGISTRATION
09:45-10:00 WELCOME
Chair: Andreas Kyprianou
10:00-10:45 Ernst Eberlein (University of Freiburg)
The Lévy Libor model with credit risk
10:45-11:15 Pauline Barrieu (London School of Economics)
On Pareto-optimal allocations for multi-period risks: Application to credit risk securitization (joint work with Giacomo Scandolo)
11:15-11:45 COFFEE
Chair: Andreas Kyprianou
11:45-12:30 Rama Cont (École Polytechnique Paris)
Hedging options in presence of jumps
12:30-15:00 LUNCH
Chair: Dilip Madan
15:00-15:30 Hansjörg Albrecher (Graz University of Technology)
Static hedging strategies for Asian options
15:30-16:00 Antonis Papapantoleon (University of Freiburg)
Valuation of exotic and credit derivatives in Lévy models
16:00-16:30 COFFEE
Chair: Dilip Madan
16:30-17:00 Irmingard Eder (Munich University of Technology)
Compound Poisson models with dependence modelled by a Lévy copula
17:00-17:45 Thorsten Schmidt (University of Leipzig)
Portfolio credit risk with default clustering
18:00-19:00 RECEPTION with Wine & Nibbles
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Wednesday 20 September 2006
Chair: Alexander McNeil
09:30-10:15 Alexander Novikov (University of Technology Sydney)
First passage problems for Ornstein-Uhlenbeck process: some explicit and asymptotic results
10:15-10:45 Shalom Benaim (University of Cambridge)
The implied volatility smile for time changed Lévy processes at extreme strikes
10:45-11:15 COFFEE
Chair: Alexander McNeil
11:15-11:45 Nino Kordzakhia (Macquarie University)
Pricing of credit spread barriers
11:45-12:30 Chris Rogers (University of Cambridge)
A dynamic approach to the modelling and pricing of correlation credit derivatives (with Peppe Di Graziano)
12:30-15:00 LUNCH
Chair: Ernst Eberlein
15:00-15:30 Matthias Scherer (University of Ulm)
A structural default model for multi-name credit derivatives
15:30-16:00 José Corcuera (University of Barcelona)
The martingale method in a Lévy market
16:00-16:30 COFFEE
Chair: Ernst Eberlein
16:30-17:00 Stefan Kassberger (University of Ulm)
A Lévy-driven structural model for the valuation of CDOs and other credit derivatives
17:00-17:45 Claudia Klüppelberg (Munich University of Technology)
Multivariate models for operational risk
19:30 DINNER - METROPOLE BISTRO, 33 Newington Road
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Thursday 21 September 2006
Chair: Claudia Klüppelberg
09:30-10:15 Marc Yor (Université Pierre et Marie Curie, Paris VI, France)
10:15-10:45 Alvaro Cartea (Birkbeck College London)
Dynamic hedging of financial instruments when the underlying follows a non-Gaussian process
10:45-11:15 COFFEE
Chair: Claudia Klüppelberg
11:15-11:45 Jessica Cariboni (Joint Research Centre (JRC), Italy)
Comparing the performance of intensity-based credit risk model
11:45-12:15 Andreas Kyprianou (University of Bath)
Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
12:15-12:45 Martijn Pistorius (King's College London)
Exit problem of a two-dimensional risk process from a cone: exact and asymptotic result
12:45-15:00 LUNCH
15:00-16:30 Round-the-table discussion leaders:
Peter Carr
Ernst Eberlein
Kay Gieseke
Rüdiger Kiesel
Dilip Madan
Thomas Mikosch
Chris Rogers
Philipp Schönbucher
Wim Schoutens
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Expected Participants

13 September
Name Institution
Albrecher, Hansjörg Graz University of Technology
Barrieu, Pauline London School of Economcs
Baurdoux, Erik Universities of Bath & Utrecht
Benaim, Shalom University of Cambridge
Cariboni, Jessica Joint Research Centre (JRC)
Carr, Peter New York University/Bloomberg LP
Cartea, Alvaro Birkbeck College, London
Cont, Rama École Polytechnique
Corcuera, Jose Manuel University of Barcelona
Davis, Mark Imperial College London
Eberlein, Ernst University of Freiburg
Eder, Irmingard Munich University of Technology
Kassberger, Stefan University of Ulm
Kiesel, Rudiger University of Ulm
Kleinow, Torsten Heriot-Watt University
Klüppelberg, Claudia Technische Universität München
Kollar, Jozef Heriot-Watt University
Konstantopoulos, Takis Heriot-Watt University
Kordzakhia, Nino Macquarie University
Kyprianou, Andreas University of Bath
Luciano, Elisa University of Turin
Madan, Dilip University of Maryland
Maller, Ross Australian National University
McNeil, Alexander ETH Zurich/Heriot-Watt University
Mikosch, Thomas University of Copenhagen
Novikov, Alexander University of Technology Sydney
Papapantoleon, Antonis University of Freiburg
Pistorius, Martijn King's College London
Rogers, Chris University of Cambridge
Sabanis, Sotirios University of Edinburgh
Scherer, Matthias University of Ulm
Schmidt, Thorsten University of Leipzig
Schönbucher, Philipp ETH Zürich
Schoutens, Wim Catholic University of Leuven
Stacey, Alan Lehmann Brothers
Wiese, Anke Heriot-Watt University
Yor, Marc Université Pierre et Marie Curie
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