McGill Finance

The next instalment of the Tremblant Risk Management Conference is under way. The dates have been set to March 8-11th 2012. A call for papers will be out this fall. The conference will, as in the past, be organized by Peter Christoffersen (now Rotman) and myself. It will yet again be held at the Fairmont Tremblant. Confirmed sponsors so far include the Desmarais Global Finance Research centre, IFM2 and the National Bank of Canada. More news on this follow.

Every other year, when our regular Risk Management conference is not held, we organize a small informal workshop at the Fairmont Tremblant. This year was no exception, although different in that we ended up having more papers presented than usual. In fact we ended up with a total of 16 papers over four days. It was organized jointly by Christian Dorion at HEC, Peter Christoffersen at Rotman and myself. The program can be found here and some photos here.

Gave a talk on risk premia in credit and derivatives markets and took part in a panel discussion on credit risk management in general. The event was organized by PRMIA’s Montreal chapter.

I visited the Swedish Institute for Financial Research (SIFR) for a month during April / May as the Olof Stenhammar visiting professor. During my stay, I presented “The cost of financial distress and the timing of default” at the institute and gave a talk on structured credit and risk premia at Nasdaq – OMX in Stockholm.