Conference

Challenges in Derivatives Markets:
Fixed income modeling, valuation adjustments, risk management, and regulation


Mar. 30 to Apr. 01, 2015
TUM Quantum Lounge (Garching-Hochbrück)
Supported by the KPMG Center of Excellence in Risk Management


 

The aim of the conference is to provide a venue for practitioners and academics working with derivatives to present state-of-the-art research, exchange ideas, and share visions on future developments in the field. The first focal point of the conference will be on recent developments in interest-rate modeling and derivatives pricing. Various types of multi-curve term structure models and especially post-crisis extensions of the Libor market model will be discussed. The second focus will be put on counterparty and liquidity risk in a global derivatives market. Derivative valuation and risk management in the presence of collateral and liquidity issues will be the central topics with special regard to valuation adjustments such as CVA (credit valuation adjustment), DVA (debt valuation adjustment), FVA (funding valuation adjustment), and other XVAs as well as their interplay. Emphasis will be put on modeling and pricing, as well as risk management and regulatory aspects.

  

Scientific Committe

 

Confirmed Plenary Speakers

(We regret to inform you that Thorsten Schmidt had to cancel his keynote speech.)

  • Damiano Brigo
  • Stéphane Crépey
  • Ernst Eberlein
  • John Hull
  • Antonis Papapantoleon
  • Wolfgang Runggaldier
  • Luis Seco
  • Wim Schoutens

Registration

The registration has been closed. Please note that we can no longer accept proposals for contributed talks. The registration fee is €155. Your registration is not valid unless the conference fee is received. Payment details can be found below.

Payment Details

Please transfer the fees to:

Account Holder (Kontoinhaber)
Technische Universitaet Muenchen

IBAN
DE10 7005 0000 0000 024866

BIC
BYLADEMM

Purpose (Verwendungszweck)
PK-Nummer 0002.0164.4694

  
  

1 Members and Affiliates of the TUM are exempt from the registration fee.