RiskLab and the Center of Competence Finance in Zurich invite you to attend the

ETH Risk Day 2015

Mini-Conference on Risk Management in Finance and Insurance

The yearly “Risk Day” conference at ETH is intended as a platform of dialogue between leading academia and leading practitioners on current topics of risk management in banking and insurance.

Date: September 11, 2015
Location: ETH Zürich, Room: HG E 7, Map
Organizer: Prof. Dr. Erich Walter Farkas
Conference Secretary: Ms. Galit Shoham
Registration: This event is free of charge but due to administrative reasons you are kindly requested to register electronically:



Program:

09.30-09.55Welcome coffee
09.55-10.00Opening
Prof. Dr. Erich Walter Farkas,
University of Zürich and ETH Zürich
10.00-10.40Polynomial models in finance
Prof. Dr. Martin Larsson,
ETH Zürich
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10.40-11.20On the Emergence of Delta-Vega Hedging in the Black and Scholes Model
Sebastian Herrmann,
ETH Zürich
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11.20-12.00Risk Measure Preserving Approximation of Univariate Monte Carlo Simulation Results with Insurance Applications
Dr. Philipp Arbenz,
Risk Manager, SCOR
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12.00-14.00Lunch break
14.00-14.40Variable Annuities and Policyholder Behaviour
Prof. Dr. Michael Koller,
ETH Zürich & Group Risk Director, Prudential Assurance
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14.40-15.20Insurance-Linked Securities
Dr. Roman Muraviev,
Executive Director, Twelve Capital
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15.20-15.50Coffee break
15.50-16.30Risk Models in Practice: the view of a non-mathematician
Dr. Peter Giger,
Deputy CEO & Head Insurance Division, FINMA
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16.30-17.10Backtesting Trading Book Models Using Estimates of VaR, Expected Shortfall and Realized p-Values
Prof. Dr. Alexander J. McNeil,
Herriot-Watt University, Edinburgh
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17.15-17.30Book launch: “Quantitative Risk Management“ (Revised Edition) by A. J. McNeil, R. Frey, P. Embrechts
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17.30-18.30Cocktail



Previous Risk Days:
2014 2013 2012 2011 2010 2009