 |
Newsletter on Finance and Insurance (Mathematics)
in Zürich |
Newsletter 23. Sept 2004
Risk Day, 15th of October 2004
Mini-Conference on Risk Management in Finance and Insurance
organised by
Location:
ETH Zürich, Main Building, Rämistrasse 101, 8092 Zürich
Lecture Theatre HG F5.
Refreshments in the «Uhrenhalle» (main hall, F-floor)
Time:
Friday, October 15, 2004, full day
Conference program:
download .pdf
| 9.00–9.05 |
Prof. Dr. Freddy Delbaen
(Department of Mathematics,
ETH Zürich)
Welcome and Introduction |
| 9.05–9.45 |
Prof. Dr. Hans-Jakob Lüthi and Dr. Juri Hinz
(IFOR,
Department of Mathematics,
ETH Zürich)
Risk Management for Power Utilities
Abstract.
More.
Project overview (9.05-9.20): Prof. Dr. H.-J. Lüthi
Arbitrage free valuation (9.20-9.45): Dr. Juri Hinz
|
| 9.45–10.30 |
Prof. Dr. Claudia Klüppelberg
(Center of Mathematics,
Technical University of Munich, Germany)
Modelling, Estimation and Visualization of Multivariate Dependence
for Risk Management
Abstract.
|
| 10.30–11.00 |
Coffee Break (Main Hall, F-Floor, «Uhrenhalle») |
| 11.00–11.30 |
Prof. Dr. Markus Leippold
(Swiss Banking Institute,
University of Zurich)
A Simple Model of Credit Contagion
Abstract.
|
| 11.30–12.00 |
Philippe Ehlers
(Department of Mathematics,
ETH Zürich)
Influence of FX Risk on Foreign Currency Denominated Bonds and CDSs
Abstract.
|
| 12.00–14.00 |
Lunch Break
|
| 14.00–14.30 |
Dr. Peter Buomberger
(Director, Center for Corporate Responsibility and Sustainability,
University of Zurich)
New Risks Springing from the Increased Responsibility of Transnational
Corporations for Human Rights
Abstract.
|
| 14.30–15.00 |
Prof. Dr. Marc Chesney
(Swiss Banking Institute,
University of Zurich)
Stock Options and Managers’ Incentives to Cheat
Abstract.
|
| 15.00–15.30 |
Dr. Christian Bluhm
(Head of Credit Portfolio Management, Credit Suisse)
A Survey on Default Timing
Abstract.
|
| 15.30–16.00 |
Coffee Break (Main Hall, F-Floor, «Uhrenhalle»)
|
| 16.00–16.30 |
Abdel-Yazid Djaidja
(Quantitative Analyst, Swiss Union of Raiffeisen Banks)
Applying Survival Analysis under Extreme Censoring for Modeling
Retail Default Risk
Abstract.
|
| 16.30–17.00 |
Graduation Ceremony for the first cycle (2002/2004) of the Uni/ETH Zurich program
Master of Advanced
Studies in Finance
-
Talk: Dr. Marcel Rohner
(CEO Wealth Management and Business Banking, UBS)
How to build a career in Finance -
from the UNI/ETHZ Masters program to the financial services industry
-
Laudatio: Prof. Dr. Rajna Gibson
|
| 17.15–18.15 |
Apero (Main Hall, F-Floor, «Uhrenhalle»)
|
Print version:
download .pdf
General Information
Participation is free, and there is no official registration.
Everyone is welcome, practitioners are especially encouraged to attend.
We have not made any special arrangements for lunch since there are
sufficient possibilities nearby, in particular at
ETH and
the University.
There is also the Dozentenfoyer.
For hotel accommodation, please check the
Zürich Tourism home page.
Organizers:
Conference Secretary:
Ms. Irma Drack,
CLP D4 (IFOR),
Phone 01/632 40 16,
E-mail: drack@ifor.math.ethz.ch
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