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Marbella, Spain, 3 - 5 October 1999
The Role of Credit Risk in Portfolio Management
- Sanjay Srivastava, Carnegie Mellon University, Pittsburgh
A Perspective on Credit Risk
- Pieter Klaassen, Free University Amsterdam
An Analytic Approach to Credit Risk of Large Corporate Bond and Loan Portfolios
- Monica Pedrosa, University of Madrid (UNED)
Systematic Risk in Corporate Bond Credit Spreads
- Gunter Loeffler, Commerzbank, Frankfurt
Using Credit Risk Models in Practice
- Practitioners Panel with
- Gert Jan Huisman and Axel M¨u;ller-Groeling, McKinsey
- Dan Rosen, Algorithmics
- Ton Vorst, ECFR
- Bruce Resnick, Wake Forest University, USA
The Optimal Construction of Internationally Diversified Equity Portfolios against Exchange Rate Uncertainty
- Olivier Renault, Universite Catholique de Louvain
Credit and Liquidity Risk
- Lev Dynkin, Lehman Brothers, New York and Eric van Leeuwen, Robeco Group, Rotterdam
Value of Security Selection versus Asset Allocation in Credit Markets: A 'Perfect Foresight' Study
- Etienne Rouzeau, Credit Commercial de France, Paris
Implementing Merton's Model on the French Corporate Bond Market
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