Each depositor insured to at least $250,000 per insured bank



Home > Industry Analysis > Research & Analysis > Center for Financial Research





Center for Financial Research

Skip Left Navigation Links
0

Derivatives Conference Draws Experts From Around the World

The 17th Annual Derivatives Securities and Risk Management Conference was held April 13 and 14 at Virginia Square. Sponsored by the FDIC's Center for Financial Research, in conjunction with Cornell University's Johnson Graduate School of Management and the University of Houston's Bauer College of Business, the conference attracted researchers from around the world.

The conference presentations focused on technical and mathematical aspects of risk measurement and securities pricing. Papers were presented on a wide range of issues, including the possibility of asset price bubbles in a rational market (Robert Jarrow), the pricing of electricity derivatives (Stathis Tompaidis), liquidity risk (Jefferson Duarte and Song Han), alternative risk measures (S. G. Kou), and investor attitudes toward risk and attitudes relating to mutual funds flows and investors' willingness to invest in technology stocks before and after the Internet bubble (Andrey Ukhov).

As in any conference on risk management, Basel II was a topic of discussion and many papers were presented on Basel II-related issues. These papers included discussions of the calibration of the Basel II Advanced Internal Ratings-Based capital rule (Nikola Tarashev), the validation of bank PD (probability of default) estimates (Ricardo Schechtman), historical estimates of LGD (loss given default) rates on publicly-traded issuers (Stuart Turnbull), the migration of credits among rating classes (Ashay Kadam), and concentration risk and omitted industry factors (Kasper Roszbach). Other presenters discussed new more advanced models of portfolio credit risk measurement that incorporate stochastic LGD and EAD (Exposure at Default) (Paul Kupiec).

Other conference sessions discussed technical aspects of bond and derivative pricing models. These papers included methods for pricing jump and stochastic volatility risks in options markets (Jin-Chuan Duan), the use of affine models to extract implied interest rate volatility estimates from bond markets (Lotfi Karoui), alternative methods from recovering risk neutral probability distribution estimates from option market prices (Bruce Mizrach), and new methods for pricing financial claims using LÚvy jump processes.

The conference papers can be downloaded from the Center for Financial Research Web page (http://www.fdic.gov/bank/analytical/cfr/index.html).

# # #



Last Updated 06/06/2005 cfr@fdic.gov