Newsletter 7. Dec. 2004

Contents

1. NCCR FinRisk Conference "Human, Technological and Financial Performance"
   27 Jan. 2005, SWX Swiss Exchange, Convention Point Selnaustrasse 30, 8001 Zürich
   
   
2. Talks in Financial and Insurance Mathematics at ETH Zurich:
   Thu. 9 Dec. 2004, Thu. 16 Dec. 2004 (2 talks!)
   
   
3. Finance Seminar at the University of Zurich:
   Fri. 10 Dec. 2004, Fri. 17. Dec. 2004
   
   
4. Research Seminar Quantitative Methods in the Economy:
   Mo. 13 Dec. 2004, Mo. 20 Dec. 2004
   
   
5. 36th International ASTIN Colloquium:
   ETH Zurich, 4-7 September 2005
   
   

Details

1. NCCR FinRisk Conference: Human, Technological and Financial Performance, link
   
   
   • Organisers: Prof Dr. Rajna Gibson and Prof. Dr. Paolo Vanini
   • Participation: free of charge but please register via Email at: admin@nccr-finrisk.ch
     
     
   • Session A : Performance of Human, IT and Organizational Assets, Chair: Michel Habib
     
     
   • 14:00--14:30 Xavier Freixas (Universitat Pompeu Fabra in Barcelona)
     Bank performance and the European integration process
   • 14:30--15:00 Michel Habib (University of Zurich)
     Firm Performance and Managerial Incentives
   • 15:00--15:30 Paolo Vanini (University of Zurich)
     The Relationship between Operational Risk and Performance Management
   • 15:30--16:00 Chris Kenyon (IBM Research LAB, Rüschlikon)
     What defines a Performing IT-Infrastructure?
     
     
   • Session B : Assessing Financial Performance, Chair: Freddy Delbaen
     
     
   • 14:00--14:30 Freddy Delbaen (ETH Zurich)
     Capital Allocation Problem and its Relation with Risk Adjusted Performance
   • 14:30--15:00 Suleyman Basak (London Business School)
     Implicit Incentives and Benchmarking in Money Management
   • 15:00-- 15:30 William Fung (London Business School)
     Lessons from a decade of hedge fund performance: Is the party over or the beginning of a new paradigm?
   • 15:30--16:00 Markus Leippold (University of Zürich)
     Portfolios with Options
     
     
   • 16:00--16:30 Coffee break
     
     
   • 16:30--17:00 Performance of the Swiss Banking and Insurance Industry in the European Context: Past and Future Tom Wilson, Mercer Oliver Wyman
     
     
   • Panel Session: The Future Meaning of Performance in the Industry
     
     
   17:05--17:45 Panel: R. Gibson, University of Zurich (Chair) K. Hummler, Wegelin & Co. T. Wilson, Mercer Oliver Wyman S. Basak, London Business School
   And more participants from Financial Services Industry and Academia
   
   
   • 17:45--18:30 Apero
   
   
   
2. Talks in Financial and Insurance Mathematics at the ETH Zurich, link
   
   
   • Talk
   
   Time: Thursday, 9 Dec. 2004, 17.15
   Venue: ETH Zurich, main building, HG G 43 (Herman-Weyl-Zimmer)
   Speaker: Christian Bluhm (Credit Suisse)
   Title: Title: Comonotonic Default Quote Paths
   
   
   • Talk
   
   Time: Thursday, 16 Dec 2004, 16.15h
   Venue: ETH Zurich, main building, TBA
   Speaker: Simon Brendle (Princeton)
   Title: Portfolio Optimization under Partial Observation
   
   
   • Talk
   
   Time: Thursday, 16 Dec. 2004, 17.15h
   Venue: ETH Zurich, main building, HG G 43 (Hermann-Weyl-Zimmer)
   Speaker: Tomas Björk (Stockholm School of Economics)
   Title: On the Timing Option in a Futures Contract
   
   
3. Finance Seminar at the University of Zurich, link
   
   
   • Talk
   
   Time: Friday, 10 Dec. 2004, 12.15h
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Pauline Barrieu (London School of Economics)
   Title: TBA
   
   
   • Talk
   
   Time: Friday, 17 Dec. 2004, 12.15h
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Abraham Lioui (Bar Ilan University, Israel)
   Title: TBA
   
   
   
4. Research Seminar Quantitative Methods in the Economy, link
   
   
   • Talk
   
   Time: Monday, 13 Dec. 2004, 16-18
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker:Prof. Hans Josef Pesch Universität Bayreuth
   Title: An Introduction to the Field of Optimal Control with its Wide Spectrum of Applications
   
   
   • Talk
   
   Time: Monday, 20 Dec. 2004, 16-18
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Prof. Rene Henrion (Weierstrass-Institut Berlin)
   Title: Some Results on Stability, Structure and Numerics in Programs with Probabilistic Constraints
   
   
   
5. 36 International ASTIN Colloquium, link
   
   INVITATION on behalf of the Organizers
   
   You are cordially invited to attend the 36th ASTIN Colloquium which will be held on 4 - 7 September 2005 at the Swiss Federal Institute of Technology (ETH) in Zurich, Switzerland.
   
   The 15th AFIR Colloquium will be taking place on 6 - 9 September 2005, also at the ETH. Therefore, we have organised a joint ASTIN/AFIR programme for both colloquia on Wednesday, 7 September 2005, followed by a Swiss Gala dinner in the evening. These two colloquia will be major events marking the centenary of the Swiss Association of Actuaries.
   
   The reasons for organising these events to take place in the ETH Semper building are twofold. Firstly, it was home to famous scientists such as Einstein, Weyl, Pólya and Hopf. Secondly, 2005 is the year the ETH will celebrate its 150th birthday.
   
   We sincerely hope you will be able to attend the colloquium, or even contribute actively with a presentation. We particularly welcome presentations on themes covering statistical methods for actuarial data analysis in pricing and reserving; securitization of insurance risk; integrated risk management; solvency and ALM and practical applications.
   
   We are pleased that Hans Bühlmann, Phelim Boyle, David R. Cox, Robert Engle, Thomas Mack and Elias Shiu will be taking part in this event as invited speakers.
   
   We have also organised leisure programmes for participants and accompanying persons to enjoy the cultural heritage and lovely surroundings of the beautiful lakeside town of Zurich.
   
   The aim of the colloquium is to create a platform for actuaries, scientists and practitioners to meet, to discuss and to exchange ideas and inspirations. We believe that your participation will be a significant contribution to the success of this event.
   
   We look forward to your early pre-registration and to welcome you in Zurich in 2005.
   
   Swiss Association of Actuaries
   Marc Chuard, Chairman SAA and Paul Embrechts, Chairman Scientific Committee