[October 2003][November 2003][December 2003][January 2004][February 2004]
If you would like to get an email when new talks are announced, please
send your name and email address to Ms. Aline Strolz,
email strolz@isb.unizh.ch.
Last mailing: March 16, 2004
Announcement: Colloquium Talks (Master of Advanced Studies in
Finance): There is a series of talks given by participants of the
Master of Advanced Studies in Finance program. The students have to
pass a final examination which consists of a colloquium where they
present their Master's thesis. The colloquium talks are open to the
public. Please click here
for a list of the talks.
Tuesday, February 3, 2004, 17.15 h (ETHZ,
HG D7.1)
Zinsunsicherheit
(Konsortium Walter-Saxer-Versicherungshochschulpreis)
Monday, Feb 2, 2004, 14.15 h (ETHZ, ML F34)
- Jia-an Yan (Academy of Sciences Beijing)
Mean-risk portfolio selection models in continuous time
Abstract: This talk presents main results of a joint paper with H.
Jin and X. Zhou of Chinese University of Hong Kong. The
paper is concerned with continuous-time portfolio selection models
where the objective is to minimize the risk subject to a
prescribed expected payoff at the terminal time. The risk is
measured by the expectation of a certain function of the deviation of
the terminal payoff from its mean. First of all, a model where the risk
has different weights on the upside and downside variance is solved
explicitly. The limit of this weighted mean--variance problem, as the
weight on the upside variance goes to zero, is the mean--semivariance
model which is shown to admit no optimal solution. This negative result
is further generalized to a mean--downside-risk portfolio selection
problem where the risk has non-zero value only when the terminal payoff
is lower than its mean. Finally, a general model is investigated where
the risk function is convex. Sufficient and necessary conditions for the
existence of optimal portfolios are given. Moreover, when the existence
is assured, optimal solutions are obtained.
(Seminar on
Stochastic Processes)
Monday, February 2, 2004, 16.15 h (KO2-F-172 Uni
Zentrum, Entrance Karl-Schmid-Strasse 4)
- Paolo Vanini (Zürcher Kantonalbank)
A
simple model of credit risk contagion
(Joint Uni Zürich- IFOR/ETH Zürich Research Seminar:
"Quantitative Methods in the Economy")
Thursday, January 29, 2004,
13.30 h - 18 h (SWX Swiss Exchange,
ConventionPoint, Selnaustr. 30, 8001 Zürich)
Session A : Corporate Risk Management
with Profs. Rajna
Gibson (Chair), Giovanni
Barone-Adesi, Heinz Zimmermann, Paolo Vanini, Paul Embrechts
Session B : Quantitative Risk Management
with Profs. Freddy Delbaen (Chair), Olivier Scaillet,
Philipp Schönbucher, Markus Leippold and Fabio Trojani
Panel Session: Risk Management at the Interface between Theory and
Practice
Prof. Rajna Gibson (Chair), Prof. Giovanni Barone-Adesi, Prof. Freddy Delbaen, Dr.
Philipp Halbherr, Dr. Pablo Koch-Medina,
Dr. Eric Reiner, Daniel Sigrist, Prof. Rudolf Volkart
Announcement: Short Course by Eric Zivot,
University of Washington: Simulation-based
estimation in econometrics: An overview with applications to
probabilistic discrete choice models and continuous-time financial models,
ETH Zürich, January 20 - 27, 2004
Thursday, January 15, 2004, 17.15 h (ETHZ,
Hermann-Weyl-Zimmer, HG G43)
- Dr. F. Jamshidian (NIB Capital)
Minimax
Optimality of American Claims
Abstract: Rooted
in the framework of claims and numeraires, this paper defines a new
concept of a Bermudan and an American claim. The Bermudan (American)
option price is shown to equal the infimum of a function defined on the
set of all numeraires. The infimum is achieved at the Bermudan
(American) claim. It leads to a new Monte-Carlo method for upper bound
approximation of the option price. We propose a certain ``rollover
maximum European claim" as a candidate for this upper bound
approximation.
(Seminar on Financial and Insurance Mathematics)
Wednesday, January 14, 2004, 17.15 h (ETHZ, HG F5)
- Dr. P. Sharma (Head of Prudential Risks
Department, FSA, UK)
Why
some insurers fail
(Federal
Office of Private Insurance Seminar 2003/04)
Wednesday,
December 17, 2003, 17.15h (ETHZ,
Hermann-Weyl-Zimmer, HG G43)
- Ludger Rüschendorf (University of
Freiburg)
Comparison of multivariate risks, Fréchet-bounds and positive
dependence
(Seminar on
Stochastic Processes)
Monday, December 15, 2003, 17.15 h (ETHZ, HG F1)
- Dr. A. Brender (Actuarial Division, OSFI,
Canada)
Risk
Based Supervision
Abstract: Many
supervisors of financial institutions are developing and adopting a
risk-based approach to supervision. The supervisor assesses the risk
contained in an institution’s operations and adjusts the degree and
depth of its activities with respect to the institution accordingly.
OSFI has adopted a unified risk-based approach to the supervision of
deposit taking institutions (banks, trust companies, credit unions) and
insurance companies. This is outlined in OSFI’s
Supervisory Framework. In this talk, the
application of the
Supervisory Framework to insurance companies
is discussed. The role of risk management in an insurance company is
considered. The interaction of risk management, capital requirements and
studies of financial condition (through Dynamic Solvency Testing) are
also discussed.
(Federal
Office of Private Insurance Seminar 2003/04)
Thursday,
November 27, 2003, 17.15 h (ETHZ, HG F5)
- Dr. M. Koller (Swiss Life)
Life
Insurance Economics
Abstract:
We discuss the valuation of life insurance contracts in relation to risk
and ALM.
(Federal
Office of Private Insurance Seminar 2003/04)
Tuesday, November 11, 2003, 12.15 h (ETHZ,
Hermann-Weyl-Zimmer, HG G43)
Abstract:
Tail dependencies, or extremal dependencies, exist in many observed
multivariate time series, such as stock returns, internet traffic data,
etc. Constructing a test statistic for tail independence has been
regarded as an open problem. Existing models, such as the widely used
Gumbel type copulas, are not adequate to discover the true extremal
independencies or dependencies within observed multivariate time series.
A new characterization of the tail dependence index between two random
variables is developed in this paper. Based on this characterization, a
new test statistic, which we call the gamma test (statistic), is
proposed. The gamma test effectively detects tail independencies or tail
dependencies of all simulation examples, and provides insightful
findings of real stock index returns. The gamma test not only tests tail
independencies or dependencies between random variables within a random
vector, but also tests lag-$k$ tail dependencies within each univariate
sequence.
(Lunchtime Seminar)
Monday, November 3, 2003, 17.15 h (ETHZ, HG
F1)
- Dr. H.-P. Boller (Converium Ltd)
Solvabilität im Wandel:
Internationale Überlegungen
und Umsetzung in der Schweiz
(Federal
Office of Private Insurance Seminar 2003/04)
Friday, November 1, 2003, 17.15 h (ETHZ, HG G26.1)
- Dr. J. Li (Shandong University)
Nonlinear Expectation, Nonlinear Evaluations and Risk Measures
Abstract: In
this paper, we will give the formulations of filtration
consistent evaluations and expectations under the filtration which is
generated by a Brownian Motion. Then we present BSDE theory and
introduce a large sort of filtration consistent nonlinear evaluations
and expectations, i.e.,g-evaluations and g-expectations.This
g-evaluation is entirely determined by a simple real function g.We also
present a nonlinear decomposition theorem of Doob-Meyer's type, for the
related g-supermartingale. After that, we will prove that the notion of
g-expectations is large enough to represent all "regular" filtration
consistent nonlinear expectations. This result permit us to find the
simple mechanism,i.e., the function g,of the above apprently very
abstract evaluations. We also provide a simple method to test and find
the function g.
(Seminar on Financial and Insurance Mathematics)
Thursday, October 30, 2003,
17.15 h (ETHZ,
Hermann-Weyl-Zimmer, HG G43)
- Dr. M. Rasonyi (Hungarian Academy)
Absence of arbitrage in one-period large financial markets
Abstract: We consider
one-period market models with countably many securities. We recall some
known results about absence of arbitrage in this context and present
some new developments. In particular, in the Arbitrage Pricing Model of
S. A. Ross we look for conditions on the market parameters which are
necessary and/or sufficient for the existence of martingale measures. We
point out how this problem is related to some classical questions in the
theory of orthogonal series.
(Seminar on Financial and Insurance Mathematics)
Announcement: Risk
Day 2003, ETH Zürich, October 17, 2003.
Announcement: S-PLUS Essentials for Finance,
Introductory course at ETH Zürich, Oct. 14-16, 2003.
Announcement: 2nd Zurich Workshop on Quantitative
Risk Management, ETH Zürich, 8-10 October 2003.
Links to
Talk Series:
Risk Days and Previous Talks:
- Risk Day 2004, 2003, 2002, 2001, 2000, 1999, 1998
- Talks SS 2003, WS 2002/03, SS
2002, WS 2001/02, SS 2001, WS
2000/01, SS 2000, WS 1999/2000, SS
1999, WS 1998/99, SS 1998, WS
1997/98
[Finance and Insurance][Department of Mathematics][ETH Zürich]
Created and supported by Uwe Schmock
until September 12, 2003. Please send comments and suggestions to Gallus Steiger/Jörg Osterrieder,
email: finance_update@math.ethz.ch.
Last update: April 15, 2004