A two-day conference in finance will take place at Evry University on Thursday June 16 in the afternoon and Friday June 17 2005 on the following theme: 'Capital Structure Arbitrage' namely arbitrage strategies involving financial assets related to different aspects of the capital structure of the firm (equity, debt and credit). This covers in particular the field of Equity-To-Credit.

Organized on the same format as the previous editions of the Workshops in finance at Evry University (2004 edition on alternative investment alternative investment and 2003 edition on Credit Risk), this conference will allow a fruitful exchange of ideas between practitioners and academics.

All types of proposals are welcome, either theoretical or applied, including the presentation of dedicated software or of relevant databases. Moreover the works presented at the conference will be submitted to the Editorial Board of the journal Banque & Marchés (articles in English or in French) for publication in a special issue.

Here is a list of possible themes for the talks :

• Presentation of strategies of Capital Structure Arbitrage, risks & performances analysis
• Default models, reduced or structured. Models' calibration
• Convertible Bonds
• Study of the relationship between CDS spreads, implied volatility surfaces and leverage of the firm
• Correlations modeling, Correlation instruments: Basket CDS, CDO
• Presentation of dedicated software or databases

The conference will be sponsored by two financial software companies, Zeliade Sytems and Ito 33.

For submissions please contact Stéphane Crépey : stephane.crepey@univ-evry.fr
or
Monique Jeanblanc : monique.jeanblanc@univ-evry.fr