Atelier: Évaluation du risque et questions de règlementation en affaires11 au 14 septembre 2017Programme |
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Le lundi 11 septembre 2017 |
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08:30 - 09:00
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Inscription et café croissants
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09:00 - 09:15
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Mot de bienvenue
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Session I
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09:15 - 10:00
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Paul Embrechts
(ETH Zürich) An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates | Résumé
Diapos / Slides |
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10:00 - 10:45
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Damir Filipovic
(EPFL and Swiss Finance Institute) Replicating Portfolio Approach to Capital Calculation | Résumé
Diapos / Slides |
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10:45 - 11:15
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Pause-café
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Session II
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11:15 - 12:00
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Gerhard Stahl
(Talanx AG) Model Uncertainty of the Standard Formula and Implications for Internal Models | Résumé
Diapos / Slides |
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12:00 - 14:00
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Pause-déjeuner
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Session III
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14:00 - 14:45
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Marie Kratz
(ESSEC Business School) Procyclicality of Empirical Measurements of Risk in Financial Markets | Résumé
Diapos / Slides |
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14:45 - 15:30
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Carlo Acerbi
(MSCI) General Properties of Backtestable Statistics | Résumé
Diapos / Slides |
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15:30 - 16:00
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Pause-café
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Session IV
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16:00 - 16:45
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Chen Zhou
(De Nederlandsche Bank) Why Risk is so Hard to Measure? | Résumé
Diapos / Slides |
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Session V - Conférence publique
Salle(s) de réunion : HEC Montréal, Pavillon Decelles, Salle Sept-Îles, section nord, 3e étage |
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19:30 - 21:00
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Paul Embrechts
(ETH Zürich) Risk Management for Insurance and Banking: Then, Now and Tomorrow | Résumé
Diapos / Slides |
Le mardi 12 septembre 2017 |
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08:45 - 09:15
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Café croissants
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Session VI
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09:15 - 10:00
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Ludger Rüschendorf
(University of Freiburg) Risk Bounds with Additional Structural and Dependence Information | Résumé |
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10:00 - 10:45
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Giovanni Puccetti
(University of Milano) VaR Bounds for Joint Portfolios with Dependence Constraints | Résumé
Diapos / Slides |
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10:45 - 11:15
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Pause-café
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Session VII
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11:15 - 12:00
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Christoph Hummel
(Secquaero Advisors AG) Sensitivity of Risk Aggregation in Practice | Diapos / Slides |
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12:00 - 14:00
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Pause-déjeuner
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Session VIII
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14:00 - 14:45
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Andreas Tsanakas
(CASS - City University of London) The Model Ajar: Expanding the Culture of Quantitative Decision-Making in the London Insurance Market | Résumé |
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14:45 - 15:30
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Daniel Bauer
(University of Alabama) An Integrated Approach to Measuring Asset and Liability Risks in Financial Institutions | Résumé
Diapos / Slides |
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15:30 - 16:00
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Pause-café
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Session IX - Panel Session on Risk Management and Regulation
Président(e) : Michel Dacorogna |
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16:00 - 17:30
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Panélistes confirmés: Damir Filipovic, Marie Kratz, Etienne Marceau, Gerhard Stahl
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18:00
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Banquet au restaurant Le Cercle (HEC Montréal)
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Le mercredi 13 septembre 2017 |
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09:15 - 09:45
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Café croissants
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Session X
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09:45 - 10:30
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Rama Cont
(Imperial College London) Beyond Passive Stress-Testing: Endogenous Risk, Indirect Contagion and Systemic Risk | Résumé |
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10:30 - 11:15
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Agostino Capponi
(Columbia University) Bail-ins and Bail-outs: Incentives, Connectivity, and Systemic Stability | Résumé
Diapos / Slides |
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11:15 - 11:45
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Pause-café
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Session XI
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11:45 - 12:30
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Jan Marius Hofert
(University of Waterloo) Visualizing High-Dimensional Data: Zenplots and Zenpaths | Résumé
Diapos / Slides |
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12:30 - 14:00
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Pause-déjeuner
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Session XII
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14:00 - 14:45
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Michael B. Gordy
(Federal Reserve Board) Spectral Backtests of Forecast Distributions with Application to Risk Management | Résumé
Diapos / Slides |
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14:45 - 15:30
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Natalia Nolde
(University of British Columbia) Elicitability and Backtesting: Perspectives for Banking Regulation | Résumé |
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Session XIII
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15:30 - 16:00
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Présentation des affiches
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16:00 - 17:30
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Session d'affiches et réception
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Session XIV - Conférence publique
Salle(s) de réunion : HEC Montréal, Pavillon Decelles, Amphithéâtre Lévis, section sud, 3e étage |
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19:30 - 21:00
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Michel Dacorogna
(DEAR Consulting, Suisse) A Change of Paradigm for the Insurance Industry | Résumé
Diapos / Slides |
Le jeudi 14 septembre 2017 |
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08:30 - 09:00
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Café croissants
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Session XV
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09:00 - 09:45
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Étienne Marceau
(Université Laval) Measuring Risk for a Portfolio of Exchangeable Bernoulli Risks | Résumé |
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09:45 - 10:30
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Mélina Mailhot
(Concordia University) Comparison of Multivariate VaR, TVaR, Expectiles and Geometric Risk Measures | Résumé |
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10:30 - 11:00
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Pause-café
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Session XVI
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11:00 - 11:45
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Alexander Schied
(University of Waterloo) Robustness Issues in Risk Estimation | Résumé
Diapos / Slides |
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11:45 - 12:00
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Conclusion
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Mise à jour: Le lundi 30 octobre 2017 09:18