View jaaber saidis profile on linkedin, the worlds largest professional community. Business economics 1993 he is the author or coauthor of two books, several book chapters in other authors books, and of many refereed publications and other nonrefereed ones, some of which have obtained citations of excellence or other awards. Cs 790z seminar on software engineering cs 790z seminar on software engineering fall 2010. Hugues pirotte, solvay business school, university of brussels email. I propose a complete implementation procedure of the structural line of research in theoretical credit risk analysis in order to attempt to evaluate an otc contract such as the swap contract. A frictionless, structural view of default has the unrealistic implication that recovery rates on bonds, measured at default, should be close to 100 percent. First, lossgivendefault distributions are estimated and compared for different samples based on risk drivers. He is the ceo and cofounder of finmetrics, a swiss consultancy and software development firm in risk management. The executive master in finance is designed for seniorlevel executives who wish to accelerate their career development in the area of modern finance. Download it once and read it on your kindle device, pc, phones or tablets. Advanced credit risk analysis didier cossin, hugues pirotte on. Agenda structure main concepts 9no free lunch 9valuation riskfree 9valuation under uncertainty 9the layers of abstraction examining a case in particular 9a complete market setting. Finance mba part time course outline 2002 new version of november 18th changes after christmas. See the complete profile on linkedin and discover jaabers.
The role of belgian universal banks in the 20th century wouter van overfelt, university of antwerp, belgium. Do you need publications to apply for a phd program. The ones marked may be different from the article in the profile. The executive programme in enterprise risk management is organised jointly by two strong partners providing academic and professional expertise and knowhow. Free university of brussels solvay business school. Small business 11 strategy 678 technology 276 womens leadership 108 sign insign up. Academic director, solvay executive education, hugues pirotte, said. Second, the residual value risk is approached through a resampling technique to provide one of the first empirical analysis on residual value losses in the. Irm and solvay business school launch executive erm. Review of recent studies on the optimisation of the capital structure by corporate firms. However for practical reasons we ask you to register. Whether youve loved the book or not, if you give your honest and detailed thoughts then people will find new books that are right for them. Advanced financial modelling in excel with risk management tmi academy training session 1 jan 2017 brussels. He publishes in the fields of market, credit and operational risk.
This paper is dedicated to recovery and residual value risks modelling issues of automotive lease portfolios. Their unique, tested methodology will challenge your current excel methods by introducing concepts that will speed up processes and collaboration in. Public economics basic knowledge is a plus antonio estache. Owner and managing director martin van wunnik has been active for over 20 years.
He holds a phd from hec, university of lausanne, for which he completed a thesis on credit risk, as well as degrees in banking and finance and in business. A structural model of the term structure of credit spreads. Poste dassistante temps plein en finance academic positions. On the first day of the conference tmi, together with the budapest institute of banking, held an interactive training workshop on advanced financial modelling, which was led by patrick verspecht, from ateb and prof.
Home solvay brussels school of economics and management executive programme in enterprise risk management. Advanced financial modelling in excel with risk management. Several theoretical papers have addressed the problem of pricing swap credit risk. This is the only study we know of that uses actual transaction data to document the effect of credit risk on swap spreads. Any risk management professional who is just starting, is benchmarking or refreshing hisher practices and knowledge in the field. Hugues pirotte is financial engineer and cofounder of finmetrics, a company specialising in consultancy and training in financial risk management, performance measurement and valuation. Among typical roles to which this programme can bring added value are. Corporate social responsability chaire mindful leadership and csr management kevin jackson gests401 corporate strategy strategy koen k. Executive master in finance solvay masters in finance. Executive programme in enterprise risk management solvay. Pdf fixedincome securities valuation, risk management and.
Solvay executive education and the irm have built a programme where risk management becomes more visible and impactful for the risk business and csuite. Fixedincome securities valuation, risk management and portfolio strategies. Upon completion of the executive master in finance, you will be granted solvay alumni status and gain access to resources that facilitate professional growth through lifelong learning opportunities. Reception at 18h30, sessions start at 19h punctual. First, lossgivendefault distributions are estimated and compared for different samples based on. Second, the residual value risk is approached through a resampling technique to provide one of the first empirical analysis on residual value losses in the automotive lease. Hugues pirotte solvay business school universite libre. We rely upon the barrier option pricing frameworkto price a corporate zerocoupon bond with a stochastic present value of the recovery consistent with the evidence on the business. You can start the course in january 2020 and have your final exam 6 months later in june 2020. A location at the heart of europe, within a comprehensive research university.
Financial approaches and mathematical models to assess, price, and manage credit risk wiley series in financial engineering book 73 kindle edition by cossin, didier, pirotte, hugues. We rely upon the barrier option pricing frameworkto price a corporate zerocoupon bond with a stochastic present value of the recovery consistent with the evidence on the business cycle effects. Examining a case in particular 9a complete market setting. Professor hugues pirotte speder finance mba part time. Posted on july 3, 2012 by hugues pirotte one of my thesis students, motivated by the quantitative analysis of market data, fell on the subject of the socalled flash market crash of may 6 2010 and the related subject of highfrequency trading hft. Kamakura corporation office of the ceo and research department. Advanced credit analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management. Solvay business school ulb cofounding partner, finmetrics sa. Advanced credit risk analysis cossin, didier, pirotte, hugues on. Implementing a structural valuation model of swap credit. Other readers will always be interested in your opinion of the books youve read. Financial engineer, partner at finmetrics, professor at the solvay business school of economics and management ulb hughes is a professor of finance at the solvay business school of economics and management ulb in brussels where he runs the executive master in finance program.
Jaaber saidi belgium professional profile linkedin. Price and manage credit risk didier cossin and hugues pirotte interest rate. A structural view also suggests the existence of nonlinearities. Currency and interest rate swaps are subject to a complex, twosided default risk. Although several theoretical papers have recently addressed the problem of pricing swap credit risk, the empirical literature is almost nonexistent.
A read is counted each time someone views a publication summary such as the title, abstract, and list of authors, clicks on a figure, or views or downloads the fulltext. Start your international treasury management and corporate. Second, the residual value risk is approached through a resampling technique to provide one of the first empirical analysis on residual. International treasury management and corporate finance. This cited by count includes citations to the following articles in scholar. In many organisations, risk is still sitting in functional silos such as finance and information technology. This monday october 14th, more than 50 years after the race to the moon he contributed to launch in financial economics, in the same vein than franco modigliani and merton miller, eugene fama was awarded the nobel prize in economics well, the swedish national bank prize for the meticulous ones.
This programme makes every participant a stronger finance professional with a high added value for hisher organisation and prepares everyone to. Corporate finance and asset valuation hugues pirotte. This project is part of the course corporate valuation and financing given by prof. Corporate valuation and financing asset pricing prof. The book stresses the logic of theoretical models from the structural and the reducedform kind. Stochastic interest rates are therefore introduced through a two. A european case the european journal of finance, 2008, 14, 2, 157177 see also working paper 2008 1997. Main concepts 9no free lunch 9valuation riskfree 9valuation under uncertainty 9the layers of abstraction. Tackx gests408 corporate valuation and financing hugues pirotte econs424 cost benefit analysis of public decisions public economics basic micro. Use features like bookmarks, note taking and highlighting while reading advanced credit risk analysis. Hugues pirotte is the bnp paribas fortis professor of finance at the sbsem and holds a phd in finance from the ecole des hec, university of lausanne. Ppt phd seminar powerpoint presentation free to view.
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