Contact

   Prof. Dr. Erich Walter Farkas
   Home

ETH Risk Day 2017

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 15, 2017
Location: ETH Zurich, Room: HG E 7, Map
Organizer: Prof. Dr. Erich Walter Farkas
Conference Secretary: Ms. Galit Shoham

Program:

09.00-09.05

Opening Prof. Dr. Erich Walter Farkas, University of Zurich and ETH Zurich

Academic updates
09.05-09.40	Universal portfolios and model-free portfolio optimization Dr. Christa Cuchiero, University of Vienna
09.40-10.15	Behavioral finance driven investment strategies Prof. Dr. Rudi Zagst, TU Munich
10.15-10.45	Coffee break
10.45-11.20	It is a Hawkes process world! Dr. Matthias Kirchner, RiskLab ETH Zurich
11.20-11.55	Why risk is so hard to measure? Prof. Dr. Chen Zhou, Erasmus Univ. Rotterdam & De Nederlandsche Bank

12.00-14.00

Lunch break

Insurance: points of view
14.00-14.30	Machine learning in mortality modeling Dr. Philippe Deprez, Deprez Experten AG
14.30-15.00	Assuring future pensions: The danger of taking no risk Dr. Peter Blum, Chief Risk Officer, Suva – Finance Department
15.00-15.30	Value metrics for corporate insurance Dr. Markus Mende, Group Managing Director AGRC EMEA, Chairman AON Switzerland AG

15.30-16.00

Coffee break

Banking challenges
16.00-16.30	Swiss banking, negative rates and banking book regulation Dr. Dominik Lambrigger, Director, Head ALM & Market Risk, Credit Suisse (Schweiz) AG
16.30-17.00	Estimation of risk, model risk and all that Dr. Dirk Tasche, FINMA
17.00-17.30	Systemic stress testing: Fire sales, indirect contagion and systemic risk Dr. Eric Schaanning, Norges Bank

17.30-18.30

Cocktail