Advancing the Field of Quantitative Finance
formerly the IAFE

Event: 2009 Credit Risk Summit
Date: September 18, 2009
Standard and Poor's,

Canada Square,

Canary Wharf,

London, E14 5LH

The International Association of Financial Engineers is pleased to endorse

Finance Concepts and Standard and Poor's

Credit Risk Summit

September 18, 2009

9:00 AM - 6:00 PM

Standard and Poor's Canada Square,

Canary Wharf, London, E14 5LH



are pleased to announce the forthcoming


Visit the conference website:


Learn about the latest developments in Credit Risk Modeling and new ideas for risk management . The conference will feature technical and quantitative solutions to improve credit risk management. Through cutting edge keynote addresses by leading experts in the field of statistical modeling and systemic risk analysis, delegates will learn the latest thinking  in quantitative approaches to hedging methods for portfolios.


Topics include: 

Concentration Risk in Credit Portfolios 

by Zaid ALI, Standard & Poor' s

Central counterparty and novating OTC CDS to a CCP to mitigate counterparty risk

by Byron BALDWIN, Eurex

Systemic Risk and CDS

by Rama CONT, Columbia University


Counterparty Credit Risk & Central Clearing 

by Josh DANZIGER, Valere Capital

Affine Point Processes and Portfolio Credit Risk 

by Eymen ERRAIS, Creditex Group

Break-even correlation, or the pricing by replication in the Gaussian Copula model

by Jean-David FERMANIAN, BNP Paribas

Credit Portfolio Risk Models: Beyond Default Time Copulas and Factor Models

by William MOROKOFF, Standard & Poor' s

CDS clearing houses

by Soren WILLEMANN, Barclays Capital


Program Highlights:

* Credit crisis: lessons for risk management

* Counterparty Risk

* Central counterparties and CDS clearinghouses

* Statistical modeling and measurement of default and spread risk

* Systemic risk analysis

* Stress testing of credit portfolios

* Hedging methods for credit derivatives and portfolios



For information on registration please download the brochure on

To register, please fill out the registration form and email it



Registration fee:

IAFE members who mention their affiliation at registration will receive the group registration rate of EUR 899. 

EUR 1199 (regular), EUR 899 (special group rate), EUR 599 (full-time academic rate)

We kindly request interested participants to send their registration no later than September 11th 2009.

For more information please visit our website:

or contact us by email: