5th Annual Advances in Econometrics Conference
Econometrics of Risk Management
Lod
and Carol Cook Conference Center www.cookconferencecenter.com
Louisiana
State University, Baton Rouge, LA
November
3-5, 2006
Friday, November 3
Arrive at LSU in
the afternoon.
5:30-6:30
Reception
6:30-8:30 Dinner
at Lod Cook Conference Center
Saturday, November 4
Breakfast
(complimentary at the LSU Conference Center)
9:00-10:20
Kanak Patel and Ricardo Pereira “The
Determinants of Default Correlations”
Zhen
Wei “Data
Mining Procedures in Generalized Cox Regressions”
10:20-10:40
Coffee Break
10:40-12:00
Daniel
Totouom and Margaret Armstrong “Dynamic Copula Processes: A New Way
of Modelling CDO Tranches”
Jean-Pierre
Fouque and Xianwen Zhou “Perturbed
Gaussian Copula”
12:00-1:30 Lunch
Break (Box Lunches provided in LSU Conference Center)
1:30-2:50
Wenbo Hu and Alec N. Kercheval
“The Skewed t Distribution for Portfolio Credit Risk”
Jingyi Zhu “Jump Diffusion in Credit Modeling:
A Partial Integro-differential Equation Approach”
2:50-3.10 Coffee
Break
3.10-400 Paper
Presentation
Andrei Lopatin
and Timur Misirpashaev
“Two-Dimensional Markovian Model for Dynamics of
Aggregate Credit Loss”
6:30-9:00 Dinner
at Juban’s, a “Louisiana Style” restaurant www.jubans.com
Sunday, November 5
Breakfast
(complimentary at the LSU Conference Center)
9:00-10:20
Knut Solna and Rafael DeSantiago,
"Interest rate market with stochastic volatility”
Don Chance, Eric Hillebrand and Jimmy Hilliard
“Pricing an Option on Movie Revenue: Theory and Application
10:20-10:40
Coffee Break
10:40-11:30 Round
Table Discussion of Credit Risk, moderated by Jean-Pierre Fouque,
Knut Solna and Don Chance
11:30 Lunch (Box
Lunches provided in LSU Conference Center) and Departure
For information on the
Advances in Econometrics conference, contact Carter Hill (eohill@lsu.edu).
For more information
on the Department of Economics or the Ourso College visit www.bus.lsu.edu.