第二届数量金融与风险管理论坛 第二届数量金融与风险管理论坛 The 2nd Quantitative finance and Risk Management Forum The 2nd Quantitative finance and Risk Management Forum August 3-4, 2013 Shanghai Jiao Tong University Sponsored by: China Academy of Financial Research Department of Mathematics Institute of Natural Scieces NSFC National Natural Science Foundation of China Shanghai Advanced Institute of Finance Zhiyuan College Organizing Committee (Alphabetical) Weinan E Princeton University Fangyu Fei Shanghai Jiao Tong University Dong Han Shanghai Jiao Tong University Shi Jin Shanghai Jiao Tong University Shige Peng Shanghai Jiao Tong University, Shandong University Jiang Wang Shanghai Jiao Tong University Lihe Wang Shanghai Jiao Tong University Xiaofan Wang Shanghai Jiao Tong University Hong Yan Shanghai Jiao Tong University Yimin Yang Protiviti inc Chun Zhang Shanghai Jiao Tong University Speaker list(Alphabetical) 1. Speaker: Ting Chen(Wells Fargo) Title: Asset-Backed Securities: credit card and auto loan ABS 2. Speaker: Guangyan Jia(Shandong University) Title: Arrow-Pratt index for g-Expected Utility 3. Speaker: Guangshan Jiang (UBS AG) Title: Modeling Correlated Defaults - An Overview 4. Speaker: Lu Lin(Shandong University) Title: Sublinear expectation linear regression 5. Speaker: Shige Peng(Shanghai Jiao Tong University, Shandong University) Title: 非线性期望与金融风险 6. Speaker: Yufeng Shi(Shandong University) Title: 量化投资领域的新进展程序化交易策略生成系统 7. Speaker: Lan Wu(Peking University) Title: G-期望等非线性度量与金融风险管理 8. Speaker: Dewen Xiong(Shanghai Jiao Tong University) Title: The martingale representation in a progressive enlargement of a filtration and their applications in finance 9. Speaker: Hao Xu(Wells Fargo) Title: A Primer: Hedge Fund and Its Replication 10. Speaker: Yan Xu(01 fund) Title: 高风险高收益 vs 长期稳定收益 11. Speaker: Hong Yan(Shanghai Jiao Tong University) Title: Credit Default Swaps and Bank Risk-taking 12. Speaker: Jian Yang(Union bank of California) Title: US Banking Stress Testing Practices 13. Speaker: Yiming Yang(Protiviti inc) Title: Model Risks 14. Speaker: Xianzhi Yuan(Tongji University) Title: 银行在实施 Basel III 中关于风险度量的问题和利用非线性期望风险的案 例分析 15. Speaker: Xingye Yue(Soochow University) Title: Numerical Study on G-Expectation 16. Speaker: Zhiyi Zhang(University of North Carolina at Charlotte) Title: Tail Statistics in Finance Participants(Alphabetical) Name Affiliation Ting Chen Senior Vice President, Wells Fargo Zengjing Chen Executive vice deputy of mathematics department, Shandong University Weinan E Academician of CAS , Princeton University Fangyu Fei Vice president of China Academy of Financial Research, Shanghai Jiao Tong University Guangyan Jia Associate Director of Financial Research Institute, Shandong University Guangshan Jiang Managing Director of the Quantitative Analytics Group at Shanghai , UBS AG Shi Jin Chair of Mathematics Department, Shanghai Jiao Tong University Lu Lin Director of Probability and Statistics Institute, Shandong University Weidong Liu Professor of Mathematics Department, Shanghai Jiao Tong University Ying Lu Director of Social and Economical Index Lab, Jilin University Shige Peng Academician of CAS, Shanghai Jiao Tong University, Shandong University Yufeng Shi Director of Risk Management Quantitative investment Institute, Shandong University Chongfeng Wu Associate Dean of Antai College of Economics and Management, Shanghai Jiao Tong University Lan Wu Chair of Financial Mathematics Department, Peking University Lihe Wang Chair Professor of Mathematics Department, Shanghai Jiao Tong University Dewen Xiong Associate Professor of Mathematics Department, Shanghai Jiao Tong University Hao Xu MD, Wells Fargo Yan Xu CEO, 01 Fund Hong Yan Vice President of China Academy of Financial Research, Shanghai Jiao Tong University Litan Yan Professor, Donghua University Jian Yang Senior Vice President, Credit Portfolio Risk Management, Union Bank of California Yimin Yang Director of Credit and Market Risk, Protiviti inc Xianzhi Yuan Distinguished Professor, Tongji University Xingye Yue Associate Director of Center financial engineering, Soochow University Chun Zhang Executive Director of Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University Lin Zhou Dean of Antai College of Economics and Management, Shanghai Jiao Tong University Zhiyi Zhang Professor, Department of Mathematics and Statistics, University of north Carolina at charlotte Useful information Congress Venues 淮海西路 211 号达通广场 904 室（上海交通大学上海高级金融学院） Hotel 上海银星皇冠假日酒店（Crowne Plaza Shanghai） 上海市长宁区番禺路 400 号（No.400 Fanyu Rd） 电话：800-830-8998 Forum Link http:/math.sjtu.edu.cn/conference/2013%20FW/Home.htm Regrstration Sending email: Please tell us your info, include: your name and your affiliation by sending email to wanglihesjtu.edu.cn Registration Time: 8:00 a.m-12:00p.m (August 3th, 2013) Registration Room: 904, 12F, Datong Plaza, No.211 West Huaihai Rd, Shanghai Regi