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Prof. Dr. Erich Walter Farkas
RiskLab and the Center of Competence Finance in Zurich invite you to attend the
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| 10.00–10.30 | Welcome Coffee |
| 10.30–10.35 |
Prof. Dr. Martin Schweizer
(Department of Mathematics,
ETH Zürich):
Opening |
| 10.35–11.25 |
Prof. Dr. Josef Teichmann
(Department of Mathematics,
ETH Zürich):
A new approach to scenario generation for risk management Abstract: We describe a new approach to scenario generation in risk management which combines the advantages of historical and distributional approaches. The approach is based on underlying stochastic differential equations. It allows for an easy calibration to the given time series and is flexible towards the inclusion of events, business time versus trading time, etc. Several implementations are presented. |
| 11.30–12.00 |
Max Fehr
(Institute for Operational Research,
Department of Mathematics,
ETH Zürich):
Design of allocation mechanisms for cap and trade schemes Abstract: Recent price development of carbon allowances in the EU ETS and it's impact on European electricity prices exhibits the importance of a clear understanding of such Trading Systems. We propose a stochastic equilibrium model for the price formation of allowances and products, whose production causes pollution. It turns out that for any cap and trade scheme, designed in the spirit of the EU ETS, the consumers' burden exceeds by far the overall reduction costs, giving rise for significant extra profits (windfall profits) for power producers. Following this insight we show to adapt allocation mechanisms to reduce windfall profits. |
| 12.00–14.00 | Lunch Break |
| 14.00–14.30 |
Simon Cooper
(Partner, Oliver Wyman):
Liquidity risk - lessons learned in the crisis Abstract: The recent crisis has shown that the banks' focus on capital over past years has left many institutions unprepared for the dramatic changes of liquidity in key markets they were dealing in. The presentation will review the drivers of liquidity and trading activity, and explore the new techniques that banks develop to protect their liquidity position. |
| 14.30–15.00 |
Dr. Mario Wüthrich
(Department of Mathematics,
ETH Zürich):
Cost-of-capital approach in non-life Insurance Abstract: Under new solvency regulation non-life insurance companies need to calculate a market-value margin for the runoff of their liabilities. We use the cost-of-capital approach for the calculation of this market- value margin. This involves multiperiod risk measures. Because multiperiod risk measures are often too difficult, several proxies are used in practice.We compare these proxies with the mathematically rigorous multiperiodversion within the chain ladder claims reserving model. |
| 15.00–15.30 | Coffee Break |
| 15.30–16.00 |
Dr. Andreas Kull
(Chief Risk Officer, AXA-Winterthur):
A simple proxy for the market value of insurance liabilities Abstract: We present a simple valuation method for insurance liabilities in the context of market consistent valuation. Based on an information theoretical argument and a non-arbitrage assumption, the method provides a proxy for the value of insurance liabilities in deep and liquid markets. Results are briefly discussed with a view towards the ongoing debate of valuation frameworks for IFRS Phase 2 and Solvency II. |
| 16.00–16.30 |
Dr. Pieter Klaassen
(Head of Firm-Wide Risk Aggregation,
UBS):
The future of economic capital after the sub-prime crisis Abstract: Economic capital has been adopted by many financial institutions in the last decade as a comprehensive risk measure to assess internal capital requirements and form the basis of risk-adjusted performance management. Also regulatory capital requirements have increasingly been based on economic capital concepts. In the sub-prime crisis, however, many people have started to doubt the value of economic capital models because they did not "predict" the losses that occurred. In this presentation we outline reasons for the failure of economic capital models during the sub-prime crisis, and translate these into a number of lessons for the successful use of economic capital in the future. |
| 16.30–17.00 |
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| 17.00–18.00 | Cocktail |
The speakers: (in alphabetical order)