Workshop: Risk Measurement and Regulatory Issues in BusinessSeptember 11-14, 2017Program |
|||
|
||||||||||
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
Diapos / Slides |
|
10:00 - 10:45
|
Damir Filipovic
(EPFL and Swiss Finance Institute) Replicating Portfolio Approach to Capital Calculation | Abstract
Diapos / Slides |
|
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
Diapos / Slides |
|
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
Diapos / Slides |
|
14:45 - 15:30
|
Carlo Acerbi
(MSCI) General Properties of Backtestable Statistics | Abstract
Diapos / Slides |
|
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
Diapos / Slides |
|
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
Diapos / Slides |
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
Diapos / Slides |
|
10:45 - 11:15
|
Coffee break
|
|
Session VII
|
|
11:15 - 12:00
|
Christoph Hummel
(Secquaero Advisors AG) Sensitivity of Risk Aggregation in Practice | Diapos / Slides |
|
12:00 - 14:00
|
Lunch break
|
|
Session VIII
|
|
14:00 - 14:45
|
Andreas Tsanakas
(CASS - City University of London) 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
Diapos / Slides |
|
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
Diapos / Slides |
|
11:15 - 11:45
|
Coffee break
|
|
Session XI
|
|
11:45 - 12:30
|
Jan Marius Hofert
(University of Waterloo) Visualizing High-Dimensional Data: Zenplots and Zenpaths | Abstract
Diapos / Slides |
|
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
Diapos / Slides |
|
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
Diapos / Slides |
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
Diapos / Slides |
|
11:45 - 12:00
|
Closing remarks
|
Last modified : Monday, October 30, 2017 09:18