Modélisation du risque de liquidité

9:00 - 9:30 Welcome - Coffee
 
Session 1. Liquidity modelling : order book

9:30 - 10:15 - Rama Cont (Université Pierre et Marie Curie)
To be announced
10:15 - 10:45 - Coffee break
10:45 - 11:30 - Charles Lehalle (Crédit Agricole Cheuvreux)
Market Micro Structure knowledge needed to control an intra-day trading process
11:30 - 12:15 - Lakshithe Wagalath (Université Pierre et Marie Curie)
Running for the exit: Distressed selling and endogenous correlation in financial markets
12:15 - 14:00 - Lunch break
 

Session 2. Liquidity risk : stochastic control approach

14:00 - 14:45 - Bruno Bouchard (Université Paris Dauphine)
Generalized stochastic target problems for pricing and partial hedging under loss constraints - Application in optimal book liquidation
14:45 - 15:30 - Erhan Bayraktar (University of Michigan)
Liquidation in Limit Order Books with Controlled Intensity
15:30 - 16:00 - Coffee break
 

Session 3. Funding liquidity risk

16:00 - 16:45 - Stéphane Crépey (Université d'Evry Val d'Essonne)
A BSDE Approach to Counterparty Risk under Funding Constraints
16:45 - 17:30 - Mats Kjaer (Barclays Capital)
Derivatives valuation and balance sheet impact under funding costs and bilateral counterparty risk


Participation :
sans frais sur inscription par e-mail auprès de valerie.picot@univ-evry.fr