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Prof. Dr. Erich Walter Farkas
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Program: |
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| 08.00–08.40 | Registration: at ICIAM 2007 Congress Office located that day in the main building of the University of Zurich, room KOL-F-103, Rämistrasse 71. |
| 08.45–09.30 |
ICIAM Invited Lecture
Prof. Dr. Nicole El Karoui (Ecole Polytechnique, Palaisseau) Title: Dynamic risk measures and optimal risk transfer in financial markets Prof. Nicole El Karoui is ICIAM Invited Speaker. Her lecture is closely related to mathematical aspects of risk management and will provide an excellent start of the Risk Day 2007. The program of this Industry Day is as follows: |
| 09.45–10.30 | Dr. Simone Farinelli,
Credit & Country Risk Control, UBS, Zurich, Switzerland Abstract: A scenario generator for both market
and credit risk drivers is developed. On the basis of historical
data, financial time series are projected into the future. The
foundations were given in 1998 by Andrew Smith, who developed
a coherent mathematical framework applicable to all stochastic
investment models, allowing for features commonly believed to
be essential and/or desirable: positive interest rates, mean
reversion (where appropriate), full term structures, efficient
markets, absence of arbitrage.
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| 10.30–11.15 | Coffee break |
| 11.15–11.55 | Dr. Jens Wiedmann, LGT Capital Management,
Pfäffikon, Switzerland jens.wiedmann@lgt.com Title: Tests of Covariance Matrices Abstract: How can be decided, which kind of estimator of covariance matrices is more suitable to reflect the expected portfolio risk. A kind of Maximum-Likelihood-test is introduced for solving this problem. Some concrete test results concerning different bond portfolios are shown. For these bond portfolios the simple historic covariance matrix and covariance matrices of two-factor- and three-factor-models have been tested. |
| 11.55–12.35 | Prof. Dr. Hans-Jürgen Wolter,
CRO and Chief Actuary, Swiss Life, Switzerland Title: Risk-based Capital Models in Life Insurance Abstract: A number of recent initiatives such as the preparation for Solvency II for instance have led to an increase in the extent to which insurance companies manage their risk and capital. Until now, economic capital models have been developed by the best part of the global insurance industry; it is no longer the domain of the sophisticated insurance undertakings. And yet the design of economic capital models is still under way. The aim of this talk is to discuss the characteristics of proper capital models. Often, the requirements are controversial. A model that is impeccable from a conceptual point of view might be hard to implement. We conclude with some remarks on risk measurement, motivated by the fact that some European insurance regulators have begun to demand for multi-period risk measures. |
| 12.35–13.15 | Dr. Jörg Behrens, Partner,
Head of Financial Risk Management Central Europe, Ernst & Young Title: Strategic Risk Management: Ideas and Questions Abstract: While risk management is highly sophisticated and forms an integral part of the financial services industry, most firms still struggle to benefit from their analytical know-how when it comes to strategic planning. We discuss problems and ideas to bridge the gap between the two worlds. |
| 13.15–14.30 | Lunch break |
| 14.30–15.15 | Dr. Oleg Zakharov, General Manager Europe, Lacima
Group, U.K. Title: In Full Swing: Optimizing Portfolios of Flexible Gas Contracts Abstract: After presenting a brief history
of gas markets and the origin of swing contracts we discuss realistic
examples of swing contracts and Stochastic Dynamic Programming
approaches in optimizing a single swing contract. |
| 15.15–15.45 | Coffee break |
| 15.45–16.30 | Dr. Alexander Boogert, Essent Trading BV, The Netherlands Title: Gas Portfolio and Transport Optimization Abstract: The transport of natural gas has received significant attention in the last months with the large price spikes in the UK facing sudden cold weather and the flow stop from Russia to Ukraine. Transport is a necessity in a world where gas sources are far removed from the gas demand, and in which a gas portfolio easily spans several countries. Meanwhile, the range of options within a gas portfolio is growing with an increasing number of instruments and increasing international gas trading. This has led to a situation where decisions have become non-trivial. The objective of this article is to describe the construction of an integrated approach for gas portfolio and transport optimization |
| 16.30–17.15 | Prof. Dr. Yves Smeers, Universite Catholique de
Louvain & Electrabel, Belgium. Title: Investment models in restructured electricity markets subject to risk Abstract: Capacity expansion optimization models dominated the area of investment in generation during the former days of the regulated electricity sector. These models have lost some of their appeal today and other tools, some inspired by the theory of real options, have replaced them. We reconsider the old capacity expansion model that we expand into equilibrium models in a risky environment. For the sake of tractability and robustness we assume no market power. We first model risk by assuming firms with different cost of capital; this equilibrium model deviates minimally from the usual capacity expansion model (which assumes a single cost of capital). Alternatively we also consider that the risk attitude of firms is represented through risk functions; this forces one to consider a stochastic equilibrium model. We compare the approach to equilibrium (not optimization) models of the real option type. |
| 20.00–21.00 |
ICIAM Public Lecture
Prof. Ivar Ekeland Title: The best of all possible worlds: the idea of optimization Prof. Ivar Ekeland is ICIAM Invited Speaker. His lecture will provide an excellent finish of the Risk Day 2007. |
The speakers:
Simone Farinelli holds a PhD in Mathematics from the Swiss Institute of Technology in Zurich (ETHZ) and works for UBS Credit & Country Risk Control. His main research interests include asset liability management, portfolio optimization, fixed income modelling and credit risk.
Jens Wiedmann works in the Quantitative Research at LGT Capital Management. He is also responsible for the optimisation of global bond portfolios and for the bond risk models. He holds a Ph.D. in mathematics and started at LGT nine years ago.
Hans-Jürgen Wolter is Chief Risk Officer and Chief Actuary at SwissLife and Professor for Financial Markets at the University of St. Gall in Switzerland.
Jörg Behrens is a partner of Ernst & Young in Switzerland and leads their Financial Risk Management practice in Central Europe. Prior to joining Ernst & Young, Jörg has led the Quantitative Risk Team of Andersen in Zürich, a position he assumed after 7 years with UBS in investment banking and risk management based in London and Zürich. He received his Ph.D. for his research in particle physics at ETH Zurich/CERN.
At Lacima Group, Oleg Zakharov is responsible for developing new business
opportunities and for supporting existing clients. He has over 17 years
academic and industry experience, 8 of those in the energy and financial
industry advising on risk management and pricing methods to developing
and implementing risk management and trading systems. Before joining
Lacima he was VP, Financial Engineering at KWI where he advised gas and
power market players on risk management issues and was responsible for
the analytical content of a multi-commodity trading and risk management
system. Prior to that, he held positions with a number of banks and commercial
organisations developing and commercialising market and credit risk systems.
Oleg has an MSc in Computer Science and a PhD in Physics from the University
of California at Berkeley.
Alexander Boogert works as a quantitative analyst at Essent Energy Trading
BV in the Netherlands. In this role he provides quantitative support
to the Risk Management department, while performing long-term research.
Previous research includes the modelling of short-term electricity prices
from the stochastic (mean-reverting jump diffusion) and economic (supply-demand)
perspective. Currently his attention is focussed on the valuation of
physical storage and the modelling of forward curve movements.
Yves Smeers is Professor of Industrial Engineering at the faculty of Applied Sciences of the Universite Catholique de Louvain, in Belgium. He is also Scientific Adviser to the Belgian power company Electrabel. An engineer and an economist by background Yves Smeers has been working in energy modelling now for more than 25 years. His initial interests in the field dealt with global multi-energy models. In the last ten year he has been concentrating on problems related to restructuring. He currently works on models of market power, transmission pricing, and risk management in the gas and electricity industries
Center of Competence Finance in Zurich (CCFZ)
The Center of Competence Finance in Zurich (CCFZ) is an internationally
oriented,
interdisciplinary competence center jointly run by the University of
Zurich and
Swiss Federal Institute of Technology in Zurich (ETH) and can draw on
the expertise
of more than 45 academic chairs from the two institutions, mainly in
the areas of
finance, financial mathematics, insurance, economics, law and computer
sciences.
The objective of the Center of Competence Finance in Zurich is to support
and to
coordinate the relevant research and teaching activities of the University
and ETH.
It is the knowledge transfer platform of the two universities and supports
cooperation
with other partners in academia and the financial industry. In addition,
the
CCFZ serves as an information platform and a hub for the financial service
sector,
regulatory authorities and the public at large.
Please send comments and suggestions to
Walter Farkas,
email: farkas@math.ethz.ch.