Call for Papers and Participation: Workshop in Fixed Income and Bond Markets & Forum for Risk Manage

 

October 14, 2011, Xiamen, China

 

October 15, 2011, Xiamen, China

 

 

 

The Wang Yanan Institute for Studies in Economics, Xiamen University

Ministry of Education Key Laboratory in Econometrics, Xiamen University

Department of Finance, School of Economics, Xiamen University 

 

                                                                                        

The Wang Yanan Institute for Studies in Economics and School of Economics, Xiamen University, China are inviting submissions of papers for an academic workshop on issues related to fixed income analysis and bond market development. The workshop will be held on October 14, 2011, in Xiamen, China, followed by a one day forum on risk management.

 

 

We welcome papers on the following subjects, but not limited to:
• Term structure modeling
• Macro-finance models of term structure
• Fixed income derivatives
• Bond market development

 

 

 

Prospective contributors to the workshop are invited to submit their high quality papers electronically to the conference website http://www.wise.xmu.edu.cn/bond2011. Complete papers in PDF format (with title, abstract and full text) must be submitted before August 25, 2011. Paper acceptance notification will be communicated by September 5, 2011.

 

Inquiries about the workshop should be sent to:

Dr. Linlin Niu (E-Mail: linlin.niu@gmail.com, phone: +86-592-2182839) or

Ms Daisy Youshu Xu (E-Mail: ysxu.wise@gmail.com, phone: +86-592-2181003).

 

 

 

·Lecture 1. Structural Models in Credit Valuation: The KMV Experience

 

·Lecture 2. A Public Good Approach to Credit Rating Reform

 

·Lecture 3. U.S. Credit Market in the Age of Deleveraging

 

 

 

 

We strongly suggest outside participants to register by October 1, 2011 in order to reserve their places at the registration page: http://wise.xmu.edu.cn/bond2011/registration.asp

 

 

 

 

Yongmiao Hong (Chair), Cornell University, USA and Xiamen University, China

Linlin Niu, Wang Yanan Institute for Studies in Economics, Xiamen University, China

Ye Guo, School of Economics, Xiamen University, China

Roki Luo, School of Economics, Xiamen University, China

 

 

 

 

 

 

 

Dr. Oldrich Alfons Vasicek is Principal of Vasicek Associates. Dr. Vasicek is a founding partner of KMV Corporation and has served as Special Adviser to Moody’s KMV. In his early career, he was Vice President in the Management Science Department of Wells Fargo Bank. His academic appointments included five years of teaching graduate finance at the University of Rochester, the University of California at Berkeley, and at Ecole Supérieure des Sciences Economiques et Commerciales (ESSEC) in France. A native of the Czech Republic, he holds a Ph.D. in probability theory from Charles University in Prague.

 

Dr. Vasicek works in mathematical finance, particularly on development of quantitative models of firms, financial instruments and financial markets. He has published over 30 articles in financial and mathematical journals and has received a number of honors, including the Graham and Dodd Award, the Roger F. Murray Prize, the Award of the Institute for Quantitative Research in Finance, the IAFE Financial Engineer of the Year Award, and the Risk Magazine Lifetime Achievement Award. He has been inducted into the Derivatives Strategy Hall of Fame, the Fixed Income Analysts Society Hall of Fame, and the Risk Magazine Hall of Fame. His theory of the term structure of interest rates is generally recognized as a genesis of this field in finance.

 

 

 

Professor Jin-Chuan Duan is the Director of Risk Management Institute at the National University of Singapore (NUS) and concurrently holds the Cycle & Carriage Professorship in Finance at the NUS Business School. He is also an Academician of Academia Sinica. Duan completed his undergraduate education at the National Taiwan University, an MBA from the State University of New York at Albany and a PhD in Finance from the University of Wisconsin-Madison. He specializes in financial engineering and risk management, and is known for his work on the GARCH option pricing model. He has authored numerous scholarly publications on derivative securities and risk management, and written a book and occasional media commentaries on current financial/economic events. Before joining the NUS, Duan held the Manulife Chair Professorship at the Rotman School of Management, University of Toronto, and also once taught at the Hong Kong University Science and Technology and McGill University. Duan is spearheading a non-profit credit rating initiative launched in 2009, which pioneers a “public good “approach to credit rating reform via a Wiki-style model development undertaking. The initiative currently provides daily updated default forecasts for over 28,000 listed firms in 30 economies in Asia, North America and Europe (http://www.rmi.nus.edu.sg/cri/).

 

 

 

Dr. Xiwen Fan is a Senior Vice President and Head of Risk Analytics at Radian Asset Assurance Inc. (RAA), responsible for corporate-wide quantitative modeling, assessing and reporting of all risk positions for a portfolio of approximately $80 billion fixed income assets. As a key member, Dr. Fan also participates in all risk repackaging, repositioning and hedging of the portfolio. He is a deliberating member of the Investment Committee of the company. Prior to his current position, Dr. Fan was Co-Head of SF CDOs at Global Structured Products Group of RAA, responsible for structuring, underwriting and transacting credit derivatives and structured finance products.  Prior to RAA, Dr. Fan was the Chief Credit Risk Officer at BNP Paribas’s hedge fund unit, formerly Zurich Capital Markets (“ZCM”), a wholly owned subsidiary of Zurich Financial Services. The hedge fund unit provides structured products to hedge funds and funds of fund as well as managing two of its own funds of fund. Prior to joining BNP Paribas/ZCM, Dr. Fan was an International Finance Officer at the International Department, Comerica Bank responsible for syndicated loan and bond portfolio of emerging Asia.

 

Dr. Fan received a Ph.D in Economics from Indiana University at Bloomington in 1995 specializing in international finance/trade and mathematical economics. He graduated from Renmin University with both bachelor and master degrees majoring in International Finance. Dr. Fan worked at the People’s Bank of China for two years prior to coming to the United States of America.