Workshop: Risk Measurement and Regulatory Issues in Business

September 11-14, 2017

Program

 

Monday, September 11, 2017

08:30 - 09:00
Registration and Coffee & Croissants

09:00 - 09:15
Opening Remarks

Session I

09:15 - 10:00
Paul Embrechts
(ETH Zürich)
An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates
Abstract
10:00 - 10:45
Damir Filipovic
(EPFL and Swiss Finance Institute)
Replicating Portfolio Approach to Capital Calculation
Abstract

10:45 - 11:15
Coffee break

Session II

11:15 - 12:00
Gerhard Stahl
(Talanx AG)
Model Uncertainty of the Standard Formula and Implications for Internal Models
Abstract

12:00 - 14:00
Lunch break

Session III

14:00 - 14:45
Marie Kratz
(ESSEC Business School)
Procyclicality of Empirical Measurements of Risk in Financial Markets
Abstract
14:45 - 15:30
Carlo Acerbi
(MSCI)
General Properties of Backtestable Statistics
Abstract

15:30 - 16:00
Coffee break

Session IV

16:00 - 16:45
Chen Zhou
(De Nederlandsche Bank)
Why Risk is so Hard to Measure?
Abstract

Session V - Public Lecture
Meeting room(s) : HEC Montréal, Pavillon Decelles, Salle Sept-Îles, section nord, 3e étage

19:30 - 21:00
Paul Embrechts
(ETH Zürich)
Risk Management for Insurance and Banking: Then, Now and Tomorrow
Abstract

 

Tuesday, September 12, 2017

08:45 - 09:15
Coffee & Croissants

Session VI

09:15 - 10:00
Ludger Rüschendorf
(University of Freiburg)
Risk Bounds with Additional Structural and Dependence Information
Abstract
10:00 - 10:45
Giovanni Puccetti
(University of Milano)
VaR Bounds for Joint Portfolios with Dependence Constraints
Abstract

10:45 - 11:15
Coffee break

Session VII

11:15 - 12:00
Christoph Hummel
(Secquaero Advisors AG)
Sensitivity of Risk Aggregation in Practice

12:00 - 14:00
Lunch break

Session VIII

14:00 - 14:45
Andreas Tsanakas
(CASS)
The Model Ajar: Expanding the Culture of Quantitative Decision-Making in the London Insurance Market
Abstract
14:45 - 15:30
Daniel Bauer
(University of Alabama)
An Integrated Approach to Measuring Asset and Liability Risks in Financial Institutions
Abstract

15:30 - 16:00
Coffee break

Session IX - Panel Session on Risk Management and Regulation
Chair : Michel Dacorogna

16:00 - 17:30
Confirmed Panelists: Damir Filipovic, Marie Kratz, Etienne Marceau, Gerhard Stahl

18:00
Banquet at Le Cercle (HEC Montréal)

 

Wednesday, September 13, 2017

09:15 - 09:45
Coffee & Croissants

Session X

09:45 - 10:30
Rama Cont
(Imperial College London)
Beyond Passive Stress-Testing: Endogenous Risk, Indirect Contagion and Systemic Risk
Abstract
10:30 - 11:15
Agostino Capponi
(Columbia University)
Bail-ins and Bail-outs: Incentives, Connectivity, and Systemic Stability
Abstract

11:15 - 11:45
Coffee break

Session XI

11:45 - 12:30
Marius Hofert
(University of Waterloo)
Visualizing High-Dimensional Data: Zenplots and Zenpaths
Abstract

12:30 - 14:00
Lunch break

Session XII

14:00 - 14:45
Michael B. Gordy
(Federal Reserve Board)
Spectral Backtests of Forecast Distributions with Application to Risk Management
Abstract
14:45 - 15:30
Natalia Nolde
(University of British Columbia)
Elicitability and Backtesting: Perspectives for Banking Regulation
Abstract

Session XIII

15:30 - 16:00
Poster Introductions

16:00 - 17:30
Poster Session and Reception

Session XIV - Public Lecture
Meeting room(s) : HEC Montréal, Pavillon Decelles, Amphithéâtre Lévis, section sud, 3e étage

19:30 - 21:00
Michel Dacorogna
(DEAR Consulting, Suisse)
A Change of Paradigm for the Insurance Industry
Abstract

 

Thursday, September 14, 2017

08:30 - 09:00
Coffee & Croissants

Session XV

09:00 - 09:45
Étienne Marceau
(Université Laval)
Measuring Risk for a Portfolio of Exchangeable Bernoulli Risks
Abstract
09:45 - 10:30
Mélina Mailhot
(Concordia University)
Comparison of Multivariate VaR, TVaR, Expectiles and Geometric Risk Measures
Abstract

10:30 - 11:00
Coffee break

Session XVI

11:00 - 11:45
Alexander Schied
(University of Waterloo)
Robustness Issues in Risk Estimation
Abstract

11:45 - 12:00
Closing remarks