July 18, 2024

Quantitative Finance Conference on Credit Risk
Saturday November 5, 2005 *
University of Western Ontario, Talbot College, Room 141.

*note revised date

Supported by


The problem of measuring and managing the credit risk of borrowers and business counterparties has been around since the dawn of commerce. In recent years, there have been many advances in the theory and practice of measuring credit risk. Furthermore, the creation of derivative securities, such as credit default swaps, has led to much-improved credit risk mitigation techniques. This conference deals with current issues in credit risk management, the pricing and hedging of credit derivatives, as well as the computational aspects inherent in these problems.


Registration and coffee/doughnuts/bagels will start at 8:00am. Talks will commence at 9:00am, finishing circa 5:00pm.

Confirmed Speakers:

Kay Giesecke, Stanford
A Top-Down Approach to Multi-Name Credit

Michael Gordy, US Federal Reserve
Model Foundations for the Treatment of CDOs in Basell II

Greg Gupton
, Moodys/KMV
Advancing Loss Given Default Prediction Models; Modeling framework, fitting, and validation

Tom Hurd, McMaster University
The Affine Markov Chain Model for Credit Risk

Alex Kreinin, Algorithmics
From CDOs to CDO2

Weidong Tian, University of Waterloo
Default and Capital Structure with Equity-Linked Debts Securities

Michael Walker, University of Toronto
CDO Pricing Models The Next Generation: Incomplete Markets and Term Structure

Niall Whelan, Scotia Capital
Quantifying Counterparty Credit Risk


Registration information -- Registration will be online until October 30, on-site November 5 (cash/cheque/credit card)
Conference Fee:
Students/Postdocs: $20 before October 14, $40 after October 14
All Others: $40 before October 14, $80 after October 14
Conference Fee includes lunch and coffee/refreshment breaks.

Accomodation in London Ontario.

Station Park Inn as it is closest and is best value for money. Please state you are attending the conference. The website is:

A bit more upscale, the Delta Armouries Hotel can be found at:

Conference Committees and Contact Information

Conference Chair:
R. Mark Reesor
Dept of Applied Math, UWO
519-661-2111 x88654
Local Arrangements Chair:
Matt Davison
Dept of Applied Math, UWO
519-661-2111 x88784

Scientific Program Committee:

Joe Campolieti
Dept of Mathematics, WLU
519-884-0710 x2067

Matheus Grasselli
Dept of Mathematics and Statistics, McMaster
905-525-9140 x23406

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