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2011年10月15日中国与全球资本市场风险管理论坛议程

载自: 被阅览数:6700次  发布时间:2011/10/13 10:38:16

中国与全球资本市场风险管理论坛

2011年10月15日上午
 
厦门大学经济学院、厦门大学王亚南经济研究院主办
 
厦门大学经济学院EDP中心承办
 
地点:厦门大学科艺中心三楼报告厅
 
论坛语言:中文
 
9:00 - 9:15
Opening Remarks:  Prof. Yongmiao Hong, Ernest S. Liu Professor of Economics and International Studies, Cornell University, Director of School of Economics and Wang Yanan Institute for Studies in Economics, Xiamen University
 
开幕式讲话:美国康奈尔大学Ernest S. Liu经济学与国际研究讲席教授,厦门大学经济学院与王亚南经济研究院教授洪永淼教授
 

9:15 - 10:05

Structural Models in Credit Valuation: The KMV Experience
Speaker: Dr.Oldrich Alfons Vasicek
(Chinese translation and interpretation will be provided for the speech of Dr. Vasicek.)
 
信用评估中的结构模型—来自KMV的经验
演讲人:KMV公司创始人欧德里希·瓦西塞克博士
(现场将为瓦西塞克博士的演讲配中文翻译)

10:05 - 10:25       Break 休息

10:25 - 11:15

A Public Good Approach to Credit Rating Reform
Speaker: Professor Jin-Chuan Duan, Director of Risk Management Institute and Cycle & Carriage Professor at the NUS Business School, National University of Singapore (NUS), Academician of Academia Sinica
 
用“公共产品”的观念进行信用评级改革
演讲人:新加坡国立大学风险管理研究所所长、商学院“和发”金融讲座教授、台湾“中央研究院”院士段锦泉教授

11:15 - 12:05

U.S. Credit Market in the Age of Deleveraging
Speaker: Dr.Xiwen Fan, Senior Vice President and Head of Risk Analytics at Radian Asset Assurance Inc. (RAA)
 
去杠杆化背景下的美国信用市场
演讲人:美国瑞迪安资产保证公司资深副总裁兼风险分析与模型部董事总经理范希文博士
 
 

Short Bios of the Speakers

演讲嘉宾简介

Oldrich Alfons Vasicek

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.
 
Oldrich Alfons Vasicek博士是KMV公司的创始人之一,同时也是穆迪KMV公司的特别顾问。在其早期职业生涯中,他曾担任富国银行(Wells Fargo Bank)管理科学部门副总裁。Vasicek博士曾在美国罗切斯特大学、美国加州伯克莱大学、法国高等经济商业学院(ESSEC)教授研究生金融学课程逾5年。此外,出生于捷克共和国的他在布拉格查理大学获概率论博士学位。
 
Vasicek博士一直从事于数理金融的相关研究工作,特别是公司、金融工具与金融市场的数量模型开发。截止目前, Vasicek博士已在各金融与数学期刊发表论文超过30篇,并获有多项荣誉,其中包括格雷厄姆-都德奖(Graham and Dodd Award),罗格尔·F.默雷奖(Roger F.Murray Prize),法国数量研究院奖及IAFF金融工程年度奖。Vasicek博士还被推选为衍生品交易策略名人堂、固定收益分析师协会名人堂、风险杂志名人堂的成员,他所提出的利率期限结构理论被公认为是该领域的开山之作。
 
 
Jin-Chuan Duan 段錦泉
 
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/).
 
段锦泉为新加坡国立大学风险管理研究所所长, 并担任商学院和发(Cycle & Carriage)金融讲座教授,是台湾中央研究院院士。他在台湾大学完成本科教育,纽约州立大学--奥本尼校区取得企管硕士,并于威斯康辛大学--麦迪逊校区完成金融学博士学位。他的研究领域包括金融工程和风险管理。段教授在GARCH期权定价理论上,做出了杰出的贡献。在衍生性金融商品和风险管理上发表了许多学术文章,也出书及偶尔于新闻媒体上发表对财经时事的看法。加入新加坡国大之前,段教授任教于多伦多大学罗特曼管理学院, 担任Manulife金融讲座教授。曾受聘于香港科技大学和麦吉尔大学。段教授于2009提出用“公共产品”的观念进行信用评级改革,并采用类似维基百科式的信评摸型开发。已实现的研究成果包括,对亚洲北美洲和欧洲三十个经济体,超过二万八千家上市公司,进行每天修正的违约概率预测(http://www.rmi.nus.edu.sg/cri/)。
 

 Xiwen Fan范希文

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.
 
范希文博士现任美国瑞迪安资产保证公司资深副总裁兼风险分析与模型部董事总经理,参与管理总额近800亿美元的固定收益资产,包括信用衍生品、结构性金融产品、公司债券和市政债券等。范博士同时还担任投资委员会的审议委员。此前,范博士任瑞迪安公司全球结构性产品部分管结构产品抵押债责团队的共同总经理,负责结构性金融产品的交易,包括信用违约调换(CDS)、CSO以及其他金融衍生产品和结构性金融产品。此前,曾任法国巴黎国民银行北美对冲基金业务部(前身为苏黎世资本市场)信用风险总监,负责对对冲基金产品、结构性金融产品、市政债券交易以及基金的基金等方面的风险监控。之前,范博士在美国科美银行从事亚洲新兴市场辛迪加贷款和固定收益债券等业务。
 
范博士1995年于印第安纳大学伯明顿分校获国际金融与贸易及数理经济学方向的经济学博士,本科与硕士毕业于中国人民大学国际金融专业。出国前,范博士在中国人民银行国际司短暂工作两年。


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