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Newsletter 23. Sept 2004Risk Day, 15th of October 2004Mini-Conference on Risk Management in Finance and Insurance
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| 9.00–9.05 | Prof. Dr. Freddy Delbaen (Department of Mathematics, ETH Zürich) Welcome and Introduction |
| 9.05–9.45 | Prof. Dr. Hans-Jakob Lüthi and Dr. Juri Hinz (IFOR, Department of Mathematics, ETH Zürich) Risk Management for Power Utilities Abstract. More. Project overview (9.05-9.20): Prof. Dr. H.-J. Lüthi Arbitrage free valuation (9.20-9.45): Dr. Juri Hinz |
| 9.45–10.30 | Prof. Dr. Claudia Klüppelberg (Center of Mathematics, Technical University of Munich,
Germany) Modelling, Estimation and Visualization of Multivariate Dependence for Risk Management Abstract. |
| 10.30–11.00 | Coffee Break (Main Hall, F-Floor, «Uhrenhalle») |
| 11.00–11.30 | Prof.
Dr. Markus Leippold (Swiss
Banking Institute, University of
Zurich) A Simple Model of Credit Contagion Abstract. |
| 11.30–12.00 | Philippe Ehlers (Department
of Mathematics, ETH Zürich) Influence of FX Risk on Foreign Currency Denominated Bonds and CDSs Abstract. |
| 12.00–14.00 | Lunch Break |
| 14.00–14.30 | Dr. Peter Buomberger (Director, Center
for Corporate Responsibility and Sustainability, University of
Zurich) New Risks Springing from the Increased Responsibility of Transnational Corporations for Human Rights Abstract. |
| 14.30–15.00 | Prof.
Dr. Marc Chesney (Swiss
Banking Institute, University of
Zurich) Stock Options and Managers' Incentives to Cheat Abstract. |
| 15.00–15.30 | Dr. Christian Bluhm (Head
of Credit Portfolio Management, Credit Suisse) A Survey on Default Timing Abstract. |
| 15.30–16.00 | Coffee Break (Main Hall, F-Floor, «Uhrenhalle») |
| 16.00–16.30 | Abdel-Yazid Djaidja (Quantitative
Analyst, Swiss Union of Raiffeisen Banks) Applying Survival Analysis under Extreme Censoring for Modeling Retail Default Risk Abstract. |
| 16.30–17.00 | Graduation Ceremony for the first cycle (2002/2004) of the Uni/ETH Zurich
program Master of Advanced Studies
in Finance
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| 17.15–18.15 | Apero (Main Hall, F-Floor, «Uhrenhalle») |
Participation is free, and there is no official registration. Everyone is welcome, practitioners are especially encouraged to attend. We have not made any special arrangements for lunch since there are sufficient possibilities nearby, in particular at ETH and the University. There is also the Dozentenfoyer.
For hotel accommodation, please check the Zürich Tourism home page.
Organizers:| Please send comments and suggestions to Walter Farkas, email: farkas@math.ethz.ch. Last modified: Mon Jul 19 14:09:03 CEST 2004 |