October 2006, 25 & 26 - Hotel Warwick

During this year 2006, while financial innovation is still permanent, financial markets' volatility has significantly increased. In addition, the diminution of the visibility on the markets' directional mid-term trend generates higher perceived risks both by traders and investors.

On the investors' side, the increasing presence of complex financial products in their assets leads them to use sophisticated valuation and market risks measurement tools, encouraged by the evolution of European regulations.

As far as operations and processes are concerned, the valuation of complex financial products induces specific difficulties and risks. Getting trustable data, be sure of the permanent validity of the valuations models, having adequate human and technical back-ups are the (non exhaustive) daily challenges for the multiple participants to the valuation chain. Each of them must assume his (her) responsibilities and confidently rely on the efficiency and regulatory compliance of the overall valuation system in which he (she) participates.


This Bilingual English / French conference with simultaneous translation will bring a state to the art feed-back and to experience sharing about this very sensitive topic.


The following issues will be looked at:
- The use of VaR (Value at Risk) in Asset Management.
- The risks linked to the valuation process.
- The role and responsibilities of the participants to the valuation chain (external valuation providers, middle-offices, risk management departments).
- Trustable data.
- Specific valuation issues for hedge funds and funds of hedge funds.
- Valuation models gauging and testing.
- The latest technological evolutions.
- Credit derivatives (Credit Default Swaps, CDO, Basket Swap), Complex Options, Variance Swaps Valuation.