<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<HTML><HEAD>
<META http-equiv=Content-Type content="text/html; charset=iso-8859-1">
<META content="MSHTML 6.00.6000.17097" name=GENERATOR>
<STYLE></STYLE>
</HEAD>
<BODY bgColor=#ffffff>
<DIV><FONT face=Arial size=2>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><SPAN
style="FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'"><?xml:namespace
prefix = o ns = "urn:schemas-microsoft-com:office:office" /><o:p><SPAN
style="TEXT-DECORATION: none"><STRONG><U></U></STRONG></SPAN></o:p></SPAN></P>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><STRONG><U><SPAN
style="FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'">NO FREE LUNCH
SEMINAR</SPAN><SPAN
style="FONT-WEIGHT: normal; FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'; TEXT-DECORATION: none; text-underline: none; mso-bidi-font-weight: bold"><o:p></o:p></SPAN></U></STRONG></P>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><SPAN
style="FONT-WEIGHT: normal; FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; TEXT-DECORATION: none; text-underline: none; mso-bidi-font-weight: bold"><U>seminari
di finanza quantitativa<o:p></o:p></U></SPAN></P>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p><SPAN
style="TEXT-DECORATION: none"><STRONG><U></U></STRONG></SPAN></o:p></SPAN></P>
<H2 style="MARGIN: 0cm 0cm 0pt 9pt" align=center><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes"></SPAN> </H2>
<H2 style="MARGIN: 0cm 0cm 0pt 9pt" align=center><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">martedì 3
maggio 2011</SPAN><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'"><o:p></o:p></SPAN></H2>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">ore <SPAN
style="mso-no-proof: yes">13.00</SPAN><o:p></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><U><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Scuola Normale
Superiore<o:p></o:p></SPAN></U></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Pisa<o:p></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">(Aula <SPAN
style="mso-no-proof: yes">Bianchi</SPAN>)<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; tab-stops: 324.0pt"><B><U><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p><SPAN
style="TEXT-DECORATION: none"></SPAN></o:p></SPAN></U></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes"></SPAN></I></B> </P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">Andrea
PALLAVICINI<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><I style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">Mediobanca,
Milano</SPAN></I><I style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p></o:p></SPAN></I></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><SPAN style="FONT-FAMILY: 'Times New Roman','serif'"><o:p><FONT
size=3> </FONT></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Terrà un
seminario dal titolo:<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; tab-stops: 324.0pt"><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'"><o:p><FONT
size=3> </FONT></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US">“Surviving
the Credit Crunch: new features for post-crisis pricing
models”<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US">Abstract<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify; mso-layout-grid-align: none"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US; mso-no-proof: yes"><o:p> </o:p></SPAN></I></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify; mso-layout-grid-align: none"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US; mso-no-proof: yes">Starting
from the beginning of the credit crunch many pricing models fail to incorporate
market movements since they are designed to discard features now crucial in such
turmoil situation. In particular, credit risk cannot be neglected any longer
while modelling other asset classes: single counterparties can default, and
extreme events may happen too, such as the default of sectors of the economy, or
even the break-down of the whole system. A new generation of pricing models able
to naturally include counterparty and systemic risk along with more exotic
features, such as funding and liquidity effects, is still under construction,
but it is now possible to discern the first steps. In this presentation we focus
on credit and the interest-rate asset classes. In particular, we describe some
old approaches which survived the crisis (loss models with default clustering or
self-excitement), and some new proposals driven by recent market trends or by
modifications in regulation framework (CVA evaluation framework, credit
contagion models, multiple yield-curve models).<o:p></o:p></SPAN></I></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Tutti gli
interessati sono invitati a partecipare.<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoBodyText style="MARGIN: 0cm 0cm 0pt; tab-stops: 9.0cm"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT"><SPAN
style="mso-tab-count: 2">
</SPAN></SPAN><FONT face="Times New Roman"><SPAN
style="mso-ansi-language: IT"><SPAN style="mso-tab-count: 2"><FONT
size=3>
</FONT></SPAN></SPAN><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT">Classe
di Scienze<o:p></o:p></SPAN></FONT></P></FONT></DIV>
<DIV><FONT face=Arial size=2>- - - - -<BR>Michele VERDE<BR>Scuola Normale
Superiore<BR>Servizio Supporto Attività Didattiche - Scienze<BR>Piazza Dei
Cavalieri, 7<BR>I - 56126 Pisa</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Tel. 050-509048<BR>Fax. 050-509045<BR>E-Mail: <A
href="mailto:michele.verde@sns.it">michele.verde@sns.it</A><BR>E-Mail: <A
href="mailto:segreteria.scienze@sns.it">segreteria.scienze@sns.it</A><BR>E-Mail:
<A href="mailto:adi.sd@sns.it">adi.sd@sns.it</A><BR>E-Mail: <A
href="mailto:didattica@sns.it">didattica@sns.it</A><BR>- - - - -</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Le informazioni contenute nella presente e-mail e
nei relativi allegati possono essere riservate e sono, comunque, destinate
esclusivamente al destinatario in indirizzo.<BR>E’ vietata, pertanto, la
diffusione, distribuzione e/o copiatura di tali informazioni da parte di
qualsiasi soggetto diverso dal destinatario. <BR>Chiunque abbia ricevuto o letto
questa e-mail per errore o senza esserne legittimato è invitato a darne
immediatamente notizia al mittente tramite fax o e-mail e a
distruggerla.<BR>Grazie.<BR></FONT></DIV></BODY></HTML>