CCFZ_MASFinance

 

Contact

About me

Research

Teaching

Conferences

Grants

The Press

   Prof. Dr. Erich Walter Farkas
   Home

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
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
10.40-11.20On the Emergence of Delta-Vega Hedging in the Black and Scholes Model
Sebastian Herrmann,
ETH Zürich
11.20-12.00Risk Measure Preserving Approximation of Univariate Monte Carlo Simulation Results with Insurance Applications
Dr. Philipp Arbenz,
Risk Manager, SCOR
12.00-14.00Lunch break
14.00-14.40Variable Annuities and Policyholder Behaviour
Prof. Dr. Michael Koller,
ETH Zürich & Group Risk Director, Prudential Assurance
14.40-15.20Insurance-Linked Securities
Dr. Roman Muraviev,
Executive Director, Twelve Capital
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
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
17.15-17.30Book launch: “Quantitative Risk Management“ (Revised Edition) by A. J. McNeil, R. Frey, P. Embrechts
17.30-18.30Cocktail


Please send comments and suggestions to Walter Farkas, email: farkas@math.ethz.ch.
Valid HTML 4.01!