Courses and Talks of RiskLab Members and Visitors

[Talks 1998/99] [Conference visits 1999/2000] [Talks 1999/2000] [Conference visits 2000/01] [Talks 2000/01] [Conference visits 2001/02] [Talks 2001/02] [Conference visits 2002/03] [Talks 2002/03]

Academic Year 2002/03
Date Speaker Title Place
Sep. 6-9, 2003 Enrico De Giorgi (former member) Reward-Risk Portfolio Selection and Stochastic Dominance (presentation of prize winning paper) erc/METU International Conference in Economics, Ankara, Turkey
July 3, 2003 PD Dr. Wolfgang Breymann An Intraday Analysis of Diversified World Stock Indices ETH Zürich
April 21, 2003 Christian Buhl (former member) Liquidation in Capital Markets: An Experimental Study Carisma Workshop I/2003, Zürich
April 4, 2003 Christian Buhl (former member) Extremal Dependence between Return Risk and Liquidity Risk 6th Conference of the Swiss Society for Financial Market Research, Zürich/Rüschlikon
March 2-8, 2003 Filip Lindskog Multivariate Regular Variation for Additive Processes Mathematisches Forschungsinstitut Oberwolfach, Meeting on Stochastic Analysis in Finance and Insurance
Feb. 6, 2003 PD Dr. Uwe Schmock (former member) Modelling Credit Risks with Mixture Models Séminaire du Laboratoire de Finance-Assurance, Malakoff, Paris
Jan. 23-25, 2003 Filip Lindskog Multivariate Regular Variation for Additive Processes EURANDOM workshop Dependence in Extreme Value Theory, Eindhoven, The Netherlands
Jan. 16, 2003 PD Dr. Uwe Schmock (former member) Mixture Models for Dependent Credit Risks Z-Quants Workshop VII, Credit Risk, Zürcher Kantonalbank, Stettbach
Jan. 13, 2003 Enrico De Giorgi Reward-Risk Portfolio Selection for the Two-Periods Model (Slides PDF, Postscript) Finance Brown Bag Seminar, University of Zürich
Dec. 18, 2002 Dr. Ursula A. Theiler (guest) Risk-Return Management Approach for the Bank Portfolio ETH Zürich
Dec. 10, 2002 PD Dr. Wolfgang Breymann Dependence Structures for Multivariate High-Frequency Data in Finance Quantitative Methods in Finance 2002 Conference, Cairns, Australia
Dec. 9, 2002 Christian Buhl Experimentelle Untersuchung zur Marktliquidität - Experimentaufbau Carisma Workshop III/2002, Zürich
Dec. 9, 2002 Prof. Dr. Georg Pflug (guest) A Measure for Income Streams University of Zürich
Dec. 3, 2002 PD Dr. Wolfgang Breymann Dependence Structures for Multivariate High-Frequency Data in Finance ETH Zürich
Nov. 25, 2002 Prof. Dr. Philippe Artzner Multiperiod Risk Measurement: Where Are We? (Slides) Quantitative Finance Seminar, Toronto Fields Institute
Nov. 15, 2002 PD Dr. Uwe Schmock (former member) Modelling Dependent Credit Risks with Mixture Models University of Bochum, Germany
Nov. 14, 2002 Filip Lindskog Multivariate Regular Variation for Additive Processes Forschungsseminar Finanz- und Versicherungsmathematik, LMU and TU München, Germany
Nov. 11, 2002 PD Dr. Wolfgang Breymann Volatility Forecasting with a Cascade Model Dept. of Public and Business Administration, University of Cyprus, Nicosia
Nov. 7-9, 2002 PD Dr. Wolfgang Breymann Market Volatility From Short to Long Time Horizon: Deseasonalization, Modeling, Estimation, Prediction European Working Group on Financial Modeling, 31st meeting, Agia Napa, Cyprus
Nov. 8, 2002 PD Dr. Uwe Schmock (former member) Studiengang Master of Advanced Studies in Finance Workshop Wirtschaftsmathematik, organized by TU Darmstadt at EUMETSAT, Darmstadt
Oct. 24, 2002 Dr. Ana-Maria Matache Fast Deterministic Deterministic Pricing of Options on Lévy Driven Assets University of Freiburg
Oct. 21, 2002 Dr. Céline Azizieh (guest) Time Series Modeling With a Multifractal Model ETH Zürich
Oct. 18, 2002 PD Dr. Uwe Schmock (former member) Presentation of the New Master of Advanced Studies in Finance Risk Day 2002,ETH Zürich
Oct. 18, 2002 Prof. Dr. Karl Frauendorfer (guest) Portfolio Selection Using Multi-Stage Stochastic Quadratic Programming Risk Day 2002,ETH Zürich
Oct. 18, 2002 Prof. Dr. Philippe Artzner Multiperiod Risk Measurement: Where Are We? Risk Day 2002,ETH Zürich
Oct. 18, 2002 Dr. Ana-Maria Matache Fast Deterministic Deterministic Pricing of Options on Lévy Driven Assets Risk Day 2002,ETH Zürich
Oct. 18, 2002 PD Dr. Uwe Schmock (former member) How an Insurance Company Loses Its Capital Given Ruin Occures Risk Day 2002,ETH Zürich
Oct. 5, 2002 Christian Buhl Extremal Dependence between Return Risk and Liquidity Risk: An Analysis for the Swiss Market German Finance Association,University of Cologne, 9th annual meeting


Workshops, Conferences and Courses (mostly) outside Zürich attended by RiskLab Members
(without giving a presentation)
Date Participant(s) Conference/Course Location
Feb. 7, 2003 PD Dr. Uwe Schmock (former member) Journée Risque de crédit Université d'Evry-Val d'Essonne, France


Academic Year 2001/02
Date Speaker Title Place
Sep. 19, 2002 Roger Kaufmann Modelling Extremes in Insurance and Finance Séminaire "Risque et valeurs extrêmes en climatologie, finance et assurance", EDF - Electricité de France, Clamart/Paris.
Sep. 11, 2002 Prof. Dr. David G. Luenberger (guest) Beyond Derivatives ETH Zürich
Sep. 10, 2002 Prof. Dr. David G. Luenberger (guest) Long-Term Investment ETH Zürich
Aug. 9, 2002 Prof. Spiros H. Martzoukos (guest) Real Option Games with Incomplete Information and Spillovers ETH Zürich
Aug. 5, 2002 Dr. Jesper Lund Pedersen An Optimal Selling Strategy for Stock Trading - Based on Predicting the Ultimate Maximum Price Laugarvatn Workshop on Stochastic Analysis and its Applications, Laugarvatn, Iceland
Aug. 5, 2002 PD Dr. Uwe Schmock (former member) Modelling Dependent Credit Risks within Homogeneous Groups Istituto Nazianale di Alta Matematica (INdAM), Summer Meeting of the Junior Scholars, Università di Perugia, Italy
July 4, 2002 PD Dr. Wolfgang Breymann Prediction of Market Volatility with a Cascade Model Institute of Mathematics, Humboldt University, Berlin, Germany
June 28, 2002 Enrico De Giorgi Liquidity shocks in an Evolutionary Portfolio Theory - Reward-Risk Portfolio Selection for the Two-Period Model ETH Zürich
June 24, 2002 Wolfgang Bauer Risk Management Strategies for Banks ETH Zürich
June 17, 2002 Christian Buhl Exogenous Liquidity in the Swiss Stock Market - Empirical Results ETH Zürich
June 13/14, 2002 Wolfgang Bauer Optimal Capital Structure and Risk Management Strategies for Banks First Swiss Doctoral Workshop on Finance, Ascona
June 13, 2002 Enrico De Giorgi An Intensity-Based Non-Parametric Default Model for Residential Mortgage Portfolios 2nd World Congress, Bachelier Finance Society, Sofitel Capsis Palace Center, Agia Pelagia, Crete
June 13, 2002 Pierre Patie Pricing and Hedging of Derivatives in Illiquid Markets ETH Zürich
June 10, 2002 Pierre Patie On the Pricing of Path Dependent Options on Yields in the Affine Term Structure Model with Jumps ETH Zürich
June 10, 2002 Dr. Uwe Schmock (former member) Practical Techniques and Strategies for Managing Model Risk (half-day pre-congress seminar) Risk 2002 USA, Boston, USA
June 3-7, 2002 Prof. Paul Embrechts,
Roger Kaufmann		 Modeling Extreme Events and Dependence in Finance: Risk Management Beyond Value-at-Risk (one-week workshop) Geneva 2002 Executive Courses in Finance (International Center for Financial Asset Management and Engineering (FAME)), Geneva, Switzerland
May 23, 2002 Dr. Uwe Schmock (former member) Dealing with Dangerous Digitals 4. Minisymposium on Stochastic Methods in Financial Models, Centro Stefano Franscini, Monte Verità, Ascona
May 1, 2002 Dr. Uwe Schmock (former member) Modelling Dependent Credit Risks with Mixture Models XXX Euro Working Group for Financial Modeling Meeting, Capri, Italy
April 29, 2002 Dr. Ana-Maria Matache Fast Deterministic Computation of Valuations for Assets Driven by Lévy Processes ETH Zürich
April 24, 2002 Dr. Jeffrey Collamore Ruin for Multidimensional Risk Processes Invited talk, Scientific Conference on Insurance and Finance, Weimar
April 24, 2002 Dr. Uwe Schmock (former member) Valuation of Exotic Options under Shortselling Constraints Invited talk, Scientific Conference on Insurance and Finance, Weimar
April 17, 2002 Henrik Hult (guest) Multivariate Extremes for Stochastic Processes ETH Zürich
April 8, 2002 Dr. Jeffrey Collamore Extremal Behavior of Multidimensional Risk Processes TU Berlin
April 4, 2002 Dr. Uwe Schmock (former member) Term Structure Models for Credit Risks Frankfurt MathFinance Workshop
March 15, 2002 Dr. Uwe Schmock (former member) Modellierung abhängiger Kreditrisiken Seminar on Financial and Actuarial Mathematics, TU Vienna
March 14, 2002 Dr. Uwe Schmock (former member) Modelling Dependent Credit Risks 8. Ökonometrie Workshop, Universität Karlsruhe
March 1, 2002 Dr. Jeffrey Collamore Extremal Behavior of Multidimensional Risk Processes Seminar on Financial and Actuarial Mathematics, TU Vienna
Feb. 5, 2002 Dr. Richard B. Olsen (guest) The Inside of Currency Markets ETH Zürich
Jan. 31, 2002 Dr. Jeffrey Collamore Multidimensional Risk Processes and Large Deviations TU Munich
Jan. 17, 2002 Dr. Jesper Lund Pedersen An Optimal Selling Strategy for Stock Trading International Workshop on Applied Probability, Universidad Simon Bolivar
Jan. 15, 2002 Dr. Chris Kenyon (guest) A Multi-Factor Forward Price Model for Network-Based Commodities ETH Zürich
Jan. 14, 2002 Dr. Jeffrey Collamore Multidimensional Risk Processes and Large Deviations University of Helsinki
Dec. 14, 2001 Enrico De Giorgi Random Dynamical Systems (Slides) Seminar on Evolutionary Finance, University of Zurich
Dec. 14, 2001 Dr. Uwe Schmock (former member) Modelling Dependent Credit Risks with Mixture Models Universität Zürich
Dec. 10, 2001 Christian Buhl,
Rico von Wyss		 Empirische Untersuchungen zu Liquiditätsrisiken CARISMA Workshop III/2001, Credit Suisse Forum St. Peter
Dec. 10, 2001 Dr. Uwe Schmock (former member) Term Structure Models for Credit Risks ETH Zürich
Nov. 30, 2001 Dr. Jeffrey Collamore Multidimensional Risk Processes 19. Journée des séminaire actuariels ISFA Lyon et ISA-HEC Lausanne, Université de Lausanne
Nov. 30, 2001 PD Dr. Wolfgang Breymann Prediction of Market Volatility with a Cascade Model UBS Warburg, London
Nov. 29, 2001 Filip Lindskog Multivariate extremes, aggregation and dependence in elliptical distributions Frankfurter MathFinance-Kolloquium, Goethe Universität, Germany
Nov. 29, 2001 PD Dr. Wolfgang Breymann Prediction of Market Volatility with a Cascade Model Nomura Centre for Quantitative Finance, Mathematical Institute,University of Oxford
Nov. 26, 2001 PD Dr. Wolfgang Breymann Prediction of Market Volatility with a Cascade Model Math Week 2001, London
Nov. 23, 2001 Prof. Stavros A. Zenios (visitor) Dynamic Portfolio Optimization for Tracking Corporate Bond Indices in an Integrated Market and Credit Risk Environment ETH Zürich
Nov. 22, 2001 Pierre Patie Pricing and Hedging of Derivatives in Illiquid Markets Frankfurter MathFinance-Kolloquium, Goethe Universität, Germany
Nov. 16, 2001 Dr. Ali Hirsa (visitor) Credit Spreads Implied from Option Markets ETH Zürich
Nov. 13, 2001 Dr. Ali Hirsa (visitor) Pricing American Options under Variance Gamma ETH Zürich
Nov. 12 - 13, 2001 Prof. Dr. Rüdiger Frey,
Prof. Dr. Alexander McNeil,
Dr. Uwe Schmock		 Extremal Events and Dependence Modelling with Applications in Risk Management
(two-day workshop)		 Swiss Re, Rüschlikon, Switzerland
Nov. 8, 2001 Dr. Jesper Lund Pedersen Optimal Selling Rules for Stock Trading Seminar on Financial and Insurance Mathematics, ETH Zürich
Nov. 8, 2001 Dr. Jeffrey Collamore Multidimensional Risk Processes and Large Deviations Seminar on Financial and Insurance Mathematics, ETH Zürich
Oct. 24, 2001, 1-2 p.m. Enrico De Giorgi An Intensity-Based Non-Parametric Default Model for Residential Mortgages UBS Warburg, London
Winter Semester 2001/02 Dr. Uwe Schmock Finanzmathematik (course, three hours per week) Universität Zürich
Winter Semester 2001/02 Prof. Freddy Delbaen,
Dr. Damir Filipovic,
Dr. Thorsten Rheinländer,
Dr. Uwe Schmock		 Introduction to Mathematical Finance: Interest-Rate Models (course, two hours per week) ETH Zürich
Winter Semester 2001/02 Prof. Paul Embrechts,
Dr. Uwe Schmock
(supervision)		 Asymptotic Behaviour of Risk Processes Given Ruin Occurs (Diploma thesis of Giacomo Mazzola) RiskLab, ETH Zürich
Winter Semester 2001/02 Prof. Paul Embrechts,
Dr. Dirk Tasche
(supervision)		 Optimal Dynamic Trading Strategies with Risk Limits (Diploma thesis of Michael Rey) RiskLab, ETH Zürich
Oct. 19, 2001 PD Dr. Wolfgang Breymann Volatility Estimation and Risk Measurement: From Short to Long Time Horizons Risk Day 2001,ETH Zürich
Oct. 19, 2001 Enrico De Giorgi An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios Risk Day 2001,ETH Zürich
Oct. 19, 2001 Filip Lindskog Multivariate Extremes, Aggregation and Dependence in Elliptical Distributions Risk Day 2001,ETH Zürich
Oct. 19, 2001 Pierre Patie Risk Management for Derivatives in Illiquid Markets Risk Day 2001,ETH Zürich
Oct. 19, 2001 Dr. Jesper Lund Pedersen An Optimal Selling Strategy Based on Predicting the Ultimate Maximum Price Risk Day 2001,ETH Zürich
Oct. 19, 2001 Dr. Dirk Tasche Expected Shortfall and Beyond Risk Day 2001,ETH Zürich
Oct. 19, 2001 Prof. Dr. Philippe Artzner Coherent Acceptability for Multiperiod Risk and Applications Risk Day 2001,ETH Zürich
Oct. 17, 2001, 2pm Enrico De Giorgi An Intensity Based Approach for Mortgage Portfolios Credit Risk Summit, Europe 2001, London
Oct. 11, 2001 Dr. Uwe Schmock Modelling Dependent Credit Risks SVOR/ASRO/RiskLab Tutorial, Thun, Switzerland
Oct. 5, 2001 Prof. Dr. Philippe Artzner Coherent Multiperiod Measures of Risk Judge Institute of Management, Cambridge University


Workshops, Conferences and Courses (mostly) outside Zürich attended by RiskLab Members
(without giving a presentation)
Date Participant(s) Conference/Course Location
Sep. 12, 2002 Roger Kaufmann Workshop II/2002 of CARISMA Credit Suisse Forum St. Peter, Zürich
August 20 - 27, 2002 Wolfgang Bauer Summer School: From Lévy Processes to Semimartingales - Recent Theoretical Developments and Applications to Finance Aarhus
June 7 - 8, 2002 Enrico De Giorgi The World's Academics in Evolutionary Finance meet at SWX Swiss Exchange SWX Swiss Exchange, Zürich
June 5, 2002 Dr. Jeffrey Collamore,
Dr. Jesper Pedersen		 Swiss Probability Seminar Universität Bern
April 9 - 12, 2002 Ana-Maria Matache Spring School on Mathematical Finance TU Munich
Mar. 4 - 8, 2002 Enrico De Giorgi The Regulation of Banking and Financial Markets Crans Montana
May 17/18, 2002 Wolfgang Bauer Basel II: An Economic Assessment Basel
Jan. 14 - 25, 2002 Dr. Jeffrey Collamore Research visit (invited guest of Prof. Harri Nyrhinen) Department of Mathematics, University of Helsinki
Oct. 24 - 26, 2001 Filip Lindskog Convergence rates of Markov chains (concentrated lecture series) Gothenburg
Oct. 23, 24, 26, Nov. 14, 16, 2001 Roger Kaufmann
Pierre Patie		 English for Scientists: Writing English for Science ETH Zürich
Oct. 24 - 27, Dec. 17, 2001 Dr. Uwe Schmock
 Basismodul Führung Gersau, Switzerland
Oct. 21 - 23, 2001 Dr. Uwe Schmock Awarding on the David Garrick Halmstad Prize 2001 at the SOA Annual Meeting New Orleans, Louisiana, USA
Oct. 11, 2001 Prof. Dr. Philippe Artzner,
Dr. Celine Azizieh,
Wolfgang Bauer,
Dr. Jeffrey Collamore,
Dr. Jesper Lund Pedersen		 Current Trends in Financial Modelling (SVOR/ASRO/RiskLab Tutorial) Thun, Switzerland


Academic Year 2000/01
Date Speaker Title Place
Sep. 20, 2001 Dr. Uwe Schmock Mathematical Models for Operational Risk
(contribution to panel discussion)		 Seminar Operational Risk, Zürcher Kantonalbank, Hauptsitz ZKB
Sep. 5, 2001 Prof. Dr. Philippe Artzner Measurement of Multiperiod Risk Swiss Re New Markets, New York, 44B-Park Avenue Plaza
Aug. 31, 2001 Prof. Dr. Philippe Artzner Lunch bag discussion on Multiperiod Measurement of Risk University of Waterloo,
Aug. 24, 2001 Dr. Dirk Tasche On the Coherence of Expected Shortfall Center for Computational Finance Workshop, Pittsburgh, USA
Aug. 24, 2001, 10:30am Enrico De Giorgi An Intensity Based Approach for Mortgage Portfolios UBS, DINO-Center, Oerlikon, Switzerland
Aug. 20, 2001, 8:15-12:00 Enrico De Giorgi Repetitorium Statistik, Teil I (LionsExchange) Universität Zürich, Hörsaal 180
Aug. 7, 2001 Dr. Uwe Schmock Integrated Risk Management (one-day course) FAME Certificate, Lausanne
Aug. 7, 2001 Enrico De Giorgi An Intensity Based Approach for Mortgage Portfolios FAME Certificate, Lausanne
Aug. 7, 2001 Pierre Patie Pricing and Hedging of Derivatives in Illiquid Markets FAME Certificate, Lausanne
July 23 - 27, 2001 Dr. Dirk Tasche Unbiasedness in Least Quantile Regression (poster presentation) International Conference on Robust Statistics 2001, Vorau, Austria
July 19, 2001 Filip Lindskog Multivariate Extremes and Dependence in Elliptical Distributions Center of Advanced European Studies and Research, Bonn, Germany
July 18, 2001 Dr. Uwe Schmock Modelling Dependent Credit Risks Actuarial Seminar, Zurich Re, Switzerland
July 10, 2001 Dr. Uwe Schmock Mischmodelle für abhängige Kreditrisiken Universität Ulm, Germany
July 4, 2001 Tom Fischer Differentiability of Coherent Risk Measures ETH Zürich
June 28, 2001 Dr. Dirk Tasche Approximations for the Value-at-Risk Approach to Risk-Return Analysis EFMA 2001 Annual Meeting, Lugano
June 29, 2001 Dr. Uwe Schmock Rangabhängige moderate Abweichungen für U-empirische Maße in starken Topologien Mathematisches Institut,Universität zu Köln, Germany
June 22, 2001 Dr. Uwe Schmock Stochastische Modelle in der Finanzwelt Eröffnungsfeier IDP,Zürcher Hochschule Winterthur, Switzerland
June 19, 2001 Aydin Akgün Three Essays on Model and Credit Risk (PhD defense) HEC, University of Lausanne
June 19, 2001 Dr. Jeffrey Collamore Multidimensional Risk Processes University of Copenhagen, Denmark
June 18 - 22, 2001 Prof. Paul Embrechts,
Roger Kaufmann		 Modeling Extremes and Dependence in Finance and Insurance (one-week workshop) Geneva 2001 ICMB/FAME Executive Courses in Finance (International Center for Monetary and Banking Studies), Geneva, Switzerland
June 12, 2001 Dr. Uwe Schmock Analysing the Practical Applications of Extreme Value Theory for Risk Management RISK 2001 USA, Boston
June 7, 2001 Aydin Akgün Capital Budgeting under Regulatory Constraints RiskLab workshop, ETH Zürich
June 7, 2001 Filip Lindskog Multivariate Extremes and Dependence in Elliptical Distributions RiskLab workshop, ETH Zürich
June 7, 2001 Roger Kaufmann Long-Term Financial Risks: The One-Dimensional Case RiskLab workshop, ETH Zürich
June 7, 2001 Enrico De Giorgi An Intensity Based Approach for Mortgage Portfolios RiskLab workshop, ETH Zürich
June 6, 2001 Dr. Jeffrey Collamore Multidimensional Risk Processes USI Finance Seminar, Lugano
June 6, 2001 Dr. Vicky Henderson Valuation of Claims on Untraded Assets using Utility Maximisation Seminar on Stochastic Processes, Zürich
June 5, 2001 Daniel Straumann Whittle Estimation in a Heavy-Tailed GARCH(1,1) Model ETH Zürich
May 30, 2001 Dr. Nicole Bäuerle Optimal Control of Stochastic Processes in Insurance Swiss Probability Seminar, Bern
May 22, 2001 Pierre Patie Pricing and Hedging of Derivatives in Illiquid Markets UBS Warburg, London
May 17, 2001 Pierre Patie Pricing and Hedging of Derivatives in Illiquid Markets USI Finance Seminar, Lugano
May 9, 2001 Dr. Uwe Schmock Bewertung exotischer Optionen bei Leerverkaufsbeschränkungen Universität Hamburg, Germany
May 8, 2001 Dr. Uwe Schmock Mean-Variance Portfolio Theory ETH Zürich
April 26, 2001 Dr. Uwe Schmock Modelling Dependent Credit Risks Frankfurter MathFinance-Kolloquium, Goethe Universität
April 12, 2001 Dr. Uwe Schmock A Case Study in Financial Engineering: Securitization of Insurance Risk Rechnergestützte Wissenschaften, ETH Zürich
April 10, 2001 Roger Kaufmann Copulas as an Integrated Risk Management Tool RISK 2001 Europe, Paris
April 10, 2001 Dr. Uwe Schmock Fixed-Income Securities ETH Zürich
Summer Semester 2001 Prof. Freddy Delbaen,
Dr. Thorsten Rheinländer,
Dr. Uwe Schmock		 Introduction to Mathematical Finance: Continuous-Time Models (course with two hours per week) ETH Zürich
Mar. 20, 2001 Aydin Akgün Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach (based on a paper by K. Froot and J. Stein) Lunchtime Seminar, ETH Zürich
Mar. 12, 2001 Dr. Uwe Schmock Securitization and Model Risk
(an intensive one-day course)		 Fac. de Sciences Economiques et de Gestion, Strasbourg, Frankreich
Winter 2000/01 Prof. Paul Embrechts,
Dr. Uwe Schmock
(supervision)		 Modelling Dependent Credit Risks (Diploma thesis of Daniel Seiler in connection with the RiskLab project Risk Modelling for a Swiss Retail/Middle Market Loan Portfolio) RiskLab, ETH Zürich
Feb. 28, 2001 Prof. Dr. Philippe Artzner Measures of Multiperiod Risk RiskLab Workshop, ETH Zürich
Feb. 28, 2001 Dr. Maria Kafetzaki Boulamatsis
Dr. Dirk Tasche		 Combined stress scenarios for market and credit risks produced by a generalised Merton model RiskLab Workshop, ETH Zürich
Feb. 28, 2001 Pierre Patie Pricing and hedging of derivatives in illiquid markets RiskLab Workshop, ETH Zürich
Feb. 28, 2001 Zheng Ziyu Quantile approximation of the Euler scheme for diffusion processes and its applications in finance RiskLab Workshop, ETH Zürich
Feb. 28, 2001 Prof. Rajna Gibson Capital Allocation under Regulatory Constraints (project proposal) ETH Zürich
Feb. 28, 2001 Prof. Dr. Philippe Artzner Measures of Multiperiod Risk and Time Allocation of Capital (project proposal) ETH Zürich
Feb. 28, 2001 Dr. Dirk Tasche Dynamic Setting and Revision of Position Limits (project proposal) ETH Zürich
Feb. 28, 2001 Prof. Christoph Schwab Fast Deterministic Computation of Valuations for Assets Driven by Lévy Processes (project proposal) ETH Zürich
Feb. 28, 2001 Patrick Wegmann An Empirical Investigation on the Illiquidity in Financial Markets (project proposal) ETH Zürich
Feb. 13, 2001 Henrik Hult On approximating some Volterra-type stochastic integrals and applications to parameter estimation. ETH Zürich
Feb. 12, 2001 Filip Lindskog Applying Copula Ideas to Market and Credit Stress Testing Workshop on Advanced Stress Testing, New York
Feb. 8 - 9, 2001 Prof. Rüdiger Frey,
Dr. Alexander McNeil,
Dr. Uwe Schmock		 Théorie des valeurs extrêmes (TVE) et ses applications à la gestion des risques
(two-day workshop)		 AXA Corporate Solutions 4, rue Jules Lefevre, 75009 Paris, France
Feb. 5, 2001 Filip Lindskog Applying Copula Ideas to Market and Credit Stress Testing Workshop on Advanced Stress Testing, London
Jan. 26, 2001 Jacqueline Henn Untersuchungen zum Marktpreis des Kreditrisikos in der Schweiz Risk Management Team Workshop I/2001, s/bf, HSG, in Zürich
Jan. 18, 2001 Pierre Patie The Finite Element Method for Finance Students Seminar on Finance and Insurance Mathematics, ETH Zürich
Jan. 18, 2001 Dr. Uwe Schmock Bewertung exotischer Optionen bei Leerverkaufsbeschränkungen Fachgebiet Mathematik und Informatik, Universität Gießen, Germany
Dec. 18, 2000 Dr. Uwe Schmock Kapitalzuteilung und risikoberichtigter Ertrag für ein Versicherungsmodell Institut für Versicherungswissenschaft, Universität zu Köln, Germany
Dec. 5, 2000 Dr. Uwe Schmock Valuation of Exotic Options under Shortselling Constraints Quantitative Methods in Finance & Bernoulli Society 2000 Conference, Manly, Sydney, Australia
Dec. 4, 2000 Prof. Rüdiger Frey,
Dr. Alexander McNeil,
Dr. Uwe Schmock		 Workshop on Extreme Value Theory with Applications to Risk Management
(one-day workshop)		 Manly Pacific Parkroyal Hotel, Manly, Sydney, Australia
Nov. 30, 2000 Filip Lindskog Modelling Dependent Credit Risks Maths Week 2000, London
Nov. 16, 2000 Filip Lindskog Modelling Dependent Credit Risks Maths Week 2000, New York
Nov. 12, 2000 Dr. Uwe Schmock Model Risk and Securitization Problems in Insurance 2000 Annual meeting of the American Actuarial Society, JW Marriott Hotel,Washington, D.C.
Nov. 1, 2000 Dr. Jesper Pedersen Some Optimal Stopping Problems for the Maximum Process Seminar on Stochastic Processes, Zürich
Winter Semester 2000/01 Prof. Freddy Delbaen,
Dr. Thorsten Rheinländer,
Dr. Uwe Schmock		 Introduction to Mathematical Finance: Discrete-Time Models
(course with two hours per week)		 ETH Zürich
Oct. 20, 2000 Prof. Freddy Delbaen Welcome and Presentation of RiskLab Risk Day 2000, Zürich
Oct. 20, 2000 Dr. Uwe Schmock Modelling Dependent Credit Risks with Beta Mixture Models Risk Day 2000, Zürich
Oct. 20, 2000 Filip Lindskog Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling Risk Day 2000, Zürich
Oct. 20, 2000 Dr. Jeffrey F. Collamore Ruin for Multidimensional Risk Processes Risk Day 2000, Zürich
Oct. 20, 2000 Jacqueline Henn Investigation of the Market Price of Credit Risk for the Swiss Bond Market Risk Day 2000, Zürich
Oct. 20, 2000 Dr. Vicky Henderson Real Options with Constant Relative Risk Aversion Risk Day 2000, Zürich
Oct. 20, 2000 Roger Kaufmann,
Pierre Patie		 Overview and Comparisons of Long-Term Financial Risk Models Risk Day 2000, Zürich
Oct. 20, 2000 Aydin Akgün Model Risk in Defaultable Security Valuation Risk Day 2000, Zürich
Oct. 20, 2000 Zheng Ziyu Quality of Value-at-Risk Approximations by Numerical Solutions of SDEs Risk Day 2000, Zürich
Oct. 5, 2000 Dr. Vicky Henderson Passport Options Outside the Black Scholes World Workshop on Mathematical Finance, Universität Konstanz, Germany
Oct. 2 - 6, 2000 Prof. Paul Embrechts,
Roger Kaufmann		 Extreme Value Theory and Risk Management, Summer School Geneva 2000 ICMB/FAME
(Executive Courses in Finance International Center for Monetary and Banking Studies)


Workshops, Conferences and Courses (mostly) outside Zürich attended by RiskLab Members
(without giving a presentation)
Date Participant Conference/Course Location
Aug. 5 - 10, 2001 Filip Lindskog,
Roger Kaufmann		 International Symposium on Extreme Value Analysis: Theory and Practice Leuven, Belgium
June 12, 2001 Dr. Dirk Tasche Workshop II/2001 of CARISMA Credit Suisse Forum St. Peter, Zürich
June 8, 2001 Enrico De Giorgi 4th Workshop on Financial Mathematics: Credit Derivatives Universität Kaiserslautern, Germany
June 7 - 8, 2001 Dr. Dirk Tasche Managing Credit and Market Risk: New Techniques for New Sources of Risk Palazzo Giusti, Verona, Italy
May 30, 2001 Dr. Jeffrey Collamore,
Dr. Jesper Pedersen,
Dr. Uwe Schmock		 Swiss Probability Seminar Universität Bern
May 8, 15, 29, June 5 and 12, 2001 Eveline Fritsch Gestaltung einer eigenen Homepage Schule für Angewandte Linguistik, Zürich
March 29, April 5 and 12, 2001 Enrico De Giorgi English for Scientists: Effective Presentations ETH Zürich
Jan. 25, Feb. 1, Feb. 8, 2001 Roger Kaufmann
Pierre Patie		 English for Scientists: Effective Presentations ETH Zürich
Dec. 4./5., 2000 Pierre Patie Numerical Modelling in Finance Université Paris-Dauphine, Paris
Nov. 29, 2000 Dr. Jeffrey Collamore,
Dr. Jesper Pedersen,
Dr. Uwe Schmock		 Swiss Probability Seminar Universität Bern
Nov. 9, 2000 Enrico De Giorgi Credit Risk Modelling: Theory, Applications and Capital Regulation BSI Gamma Foundation, Lugano


Academic Year 1999/2000
Date Speaker Title Place
Sept. 27 - 29, 2000 Dr. Vicky Henderson Real Options with Constant Relative Risk Aversion Workshop, Stochastic Approaches in Finance, Insurance and Physics, TU München
Sept. 27 - 29, 2000 Filip Lindskog Modelling Dependence with Copulas and Applications to Risk Management Workshop, Stochastic Approaches in Finance, Insurance and Physics, TU München
Sept. 27 - 29, 2000 Roger Kaufmann,
Pierre Patie		 Strategic Long-Term Financial Risks Workshop, Stochastic Approaches in Finance, Insurance and Physics, TU München
Sept. 26, 2000 Dr. Vicky Henderson A Utility Maximisation Approach to Life Insurance Guarantees ETH Zürich
Sept. 22, 2000 Dr. Uwe Schmock Valuation of Exotic Options under Shortselling Constraints INRIA Sophia-Antipolis, France
Sept. 22, 2000 Jacqueline Henn Kreditspreads und der Marktpreis des Kreditrisikos im schweizerischen Bondmarkt Credit Suisse Forum St. Peter, Zürich
Sept. 11, 2000 Dr. Uwe Schmock Allocation of Risk Capital and Expected Risk-Adjusted Return Zurich International Actuarial Conference, Arosa
Aug. 18 - 26, 2000 Dr. Larbi Alili Further Results on some Singular Linear Stochastic Differential Equations ETH Zürich
Aug. 21 - 26, 2000 Prof. Paul Embrechts,
Dr. Alexander McNeil,
Roger Kaufmann		 Modelling Extremal Events for Insurance and Finance (one-week actuarial summer school) Georgia State University, Atlanta
Aug. 10 - 26, 2000 Dr. Jesper Lund Pedersen Optimal Prediction of the Ultimate Maximum of Brownian Motion ETH Zürich
Aug. 4, 2000 Dr. Michel Denault,
Prof. Freddy Delbaen		 The Coherent Allocation of Risk Capital Carnegie Mellon University
July 6, 2000 Filip Lindskog Modelling Dependence with Copulas and Applications to Risk Management Universität Karlsruhe
July 4, 2000 Dr. Uwe Schmock Kapitalzuteilung und risikoberichtigter Ertrag Technische Universität München
July 4, 2000 Dr. Vicky Henderson Passport Options in Asset Management Universität Zürich
July 4, 2000 Roger Kaufmann Dynamic Financial Analysis Universität Zürich
Summer 2000 Prof. Paul Embrechts,
Dr. Alexander McNeil,
Dr. Uwe Schmock
(supervision)		 On the Normality of Long-Term Financial Log-Returns
(Diploma thesis of Olaf Strub in connection with the SLTFR project in RiskLab)		 RiskLab, ETH Zürich
June 22, 2000 Prof. Dr. Philippe Artzner Measure of Risk for Two Periods and Two Lines of Business: Preliminary Report Workshop, Swiss Re, Zürich
June 22, 2000 Roger Kaufmann,
Pierre Patie		 Overview of Models Measuring Long-Term Financial Risk (part I) Workshop, Swiss Re, Zürich
June 22, 2000 Roger Kaufmann,
Pierre Patie		 Overview of Models Measuring Long-Term Financial Risk (part II) Workshop, Swiss Re, Zürich
June 20, 2000 Dr. Uwe Schmock Allocation of Risk Capital and Expected Risk-Adjusted Return Conference of "New Developments in Market and Credit Risk Measurement Methods", Monte Verita, Ascona
June 13, 2000 Prof. Olivier Scaillet Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall ETH Zürich
May 30, 2000 Dr. Artan Borici Fast Efficient Frontier Computations for the American Style Options ETH Zürich
May 19, 2000 Dr. Uwe Schmock Valuation of Exotic Options under Shortselling Constraints USI Finance Seminar, Lugano
May 4, 2000 Prof. Dr. Philippe Artzner Comments on Credit Risk Modelling: Current Practices and Applications RiskLab Workshop, ETH Zürich
May 4, 2000 Prof. Rüdiger Frey Dynamic Hedging in Markets which are not Perfectly Liquid (presentation of project proposal) RiskLab Workshop, ETH Zürich
May 4, 2000 Filip Lindskog Dependence Modelling in Risk Management RiskLab Workshop, ETH Zürich
May 4, 2000 Aydin Akgün Model Risk in the Valuation of Defaultable Securities RiskLab Workshop, ETH Zürich
May 4, 2000 Dr. Maria Kafetzaki Boulamatsis Combined Market and Credit Risk Stress Testing RiskLab Workshop, ETH Zürich
May 4, 2000 Jacqueline Henn Investigations of the Market Price of Credit Risk RiskLab Workshop, ETH Zürich
April 28, 2000 Filip Lindskog Modelling Dependence with Copulas and Applications to Risk Management Swiss Re, Zürich
April 19, 2000 Dr. Uwe Schmock Rank-Dependent Moderate Deviations of U-Empirical Measures Seminar on Stochastic Processes, Universität Zürich
Summer Semester 2000 Dr. Uwe Schmock Wahrscheinlichkeitsrechnung und Statistik II (course with 3 hours per week) Mathematisches Institut,Universität Basel
Summer Semester 2000 Prof. Freddy Delbaen,
Dr. Damir Filipovic,
Dr. Vicky Henderson,
Dr. Thorsten Rheinländer,
Dr. Uwe Schmock		 Exotic Options
(course with two hours per week)		 ETH Zürich
Spring 2000 Prof. Paul Embrechts,
Dr. Uwe Schmock
(supervision)		 Expected Risk-Adjusted Return for Insurance Based Models
(Diploma thesis of Tatiana Solcà)		 RiskLab, ETH Zürich
Spring, 2000 Dr. Maria Kafetzaki Boulamatsis,
Dr. Uwe Schmock
(supervision)		 A Company's Value in Respect to the Merton Model/Credit Metrics (Semester thesis of Michael Rey in connection with a RiskLab project) RiskLab, ETH Zürich
March 23, 2000 Pierre Patie Estimation of Value-at-Risk Using Extreme Value Theory ETH Zürich
March 17, 2000 Filip Lindskog Modelling Dependence with Copulas and Applications to Risk Management ETH Zürich
Feb. 24, 2000 Zheng Ziyu Model Risk Management ETH Zürich
Feb. 17, 18;
March 13, 14, 2000		 Dr. Uwe Schmock Interest Rate Models
(a 16-hour course)		 Fac. de Sciences Economiques et de Gestion, Strasbourg, Frankreich
Feb. 10, 2000 Dr. Uwe Schmock Bewertung exotischer Optionen bei Leerverkaufsbeschränkungen Technische Universität München
Feb. 1, 2000 Roger Kaufmann Strategic Long-Term Financial Risks ETH Zürich
Jan. 13, 2000 Dr. Uwe Schmock Bewertung exotischer Optionen bei Leerverkaufsbeschränkungen Universität Freiburg, Deutschland
Dec. 9, 1999 Daniel Straumann Correlation and Dependence in Risk Management Derivative Day, Technische Universiteit Twente, Enschede, NL
Dec. 3, 1999 Dr. Uwe Schmock Model Risk USI Finance Seminar, Lugano
Nov. 24, 1999 Dr. Uwe Schmock Valuation of Exotic Options under Shortselling Constraints Swiss Probability Seminar, Universität Bern
Nov. 18, 1999 Dr. Dirk Tasche Risk Contributions and Performance Measurements ETH Zürich
Nov. 15, 1999 Dr. Uwe Schmock Bewertung exotischer Optionen bei Leerverkaufsbeschränkungen Universität Linz, Austria
Nov. 11, 1999 Prof. Rajna Gibson The Impact of Model Risk on Risk Management for Derivative Securities (presentation of project proposal) ETH Zürich
Nov. 11, 1999 Prof. Rüdiger Frey Risk Management for Derivatives with Market Illiquidities
(presentation of project proposal)		 ETH Zürich
Nov. 11, 1999 Dr. Marco Finardi Combined Market and Credit Risk Stress Testing (presentation of project proposal) ETH Zürich
Nov. 11, 1999 Prof. Heinz Zimmermann,
Dr. M. Ammann		 Kreditrisikomanagement
(presentation of project proposal)		 ETH Zürich
Nov. 11, 1999 Dr. Alexander McNeil Monte Carlo Approaches to RM and Implications for Dependence Modelling (presentation of project proposal) ETH Zürich
Nov. 11, 1999 Prof. Freddy Delbaen Rules of Capital Allocation and Coherent Measures of Risk
(presentation of project proposal)		 ETH Zürich
Nov. 11, 1999 Aydin Akgün Model Risk with Jump-Diffusions ETH Zürich
Nov. 4, 1999 Dr. Uwe Schmock Modellrisiken Ecofin, Zürich
Nov. 4, 1999 Dr. Nicole Bäuerle Comparing Dependencies in Risk Models ETH Zürich
Oct. 22, 1999 Prof. Paul Embrechts Teaching and Research in Insurance and Finance in Zurich Risk Day 1999, Zürich
Oct. 22, 1999 Dr. Uwe Schmock Allocation of Risk Capital and Performance Measurement Risk Day 1999, Zürich
Oct. 22, 1999 Dr. Michel Denault Coherent Allocation of Risk Capital Risk Day 1999, Zürich
Oct. 22, 1999 Dr. Alexander McNeil Correlation and Dependence in Risk Management Risk Day 1999, Zürich
Oct. 22, 1999 Roger Kaufmann Dynamic Financial Analysis Risk Day 1999, Zürich
Oct. 22, 1999 Dr. Vicky Henderson Passport Options - A Tool for Fund Managers Risk Day 1999, Zürich
Oct. 22, 1999 Prof. Rüdiger Frey The Hedging of Derivatives in the Presence of Market Illiquidities Risk Day 1999, Zürich
Oct. 22, 1999 Prof. Rajna Gibson Model Risk Analysis for Bond Options in a Heath-Jarrow-Morton Framework Risk Day 1999, Zürich
Winter Semester 1999/2000 Dr. Uwe Schmock Wahrscheinlichkeitsrechnung und Statistik I
(course with 3 hours per week)		 Mathematisches Institut,Universität Basel
Winter Semester 1999/2000 Prof. Freddy Delbaen,
Dr. Uwe Schmock		 Introduction to mathematical finance: interest rate models (course with two hours per week) ETH Zürich
Oct. 7, 8, 20;
Nov. 8, 1999		 Dr. Uwe Schmock Securitization and Model Risk
(a 16-hour course)		 Fac. de Sciences Economiques et de Gestion, Strasbourg, Frankreich


Workshops and Conferences outside Zürich attended by RiskLab Members
(without giving a presentation)
Date Participant Conference Location
Sep. 27-29, 2000 Roger Kaufmann
Filip Lindskog
Pierre Patie		 Workshop «Stochastic Approaches in Finance, Insurance, and Physics» Technische Universität München
Sep. 22, 2000 Jacqueline Henn,
Prof. Dr. Heinz Zimmermann		 Zur Aussagekraft externer Ratings Riskteam, Zürich
Sep. 14-15, 2000 Dr. Victoria Henderson Options: Recent Advances FORC, University of Warwick
June 28-30, July 1 2000 Aydin Akgün
Roger Kaufmann
Filip Lindskog
Pierre Patie		 Bachelier Conference 2000 Paris
June 22-24, 2000 Aydin Akgün SwissRe-Fame: Risk and Capital Management Geneva
May 24, 2000 Aydin Akgün,
Dr. Victoria Henderson,
Dr. Maria Kafetzaki Boulamatsis,
Roger Kaufmann,
Filip Lindskog,
Pierre Patie,
Dr. Uwe Schmock		 Swiss Probability Seminar Universität Bern
Nov. 24, 1999 Roger Kaufmann Swiss Probability Seminar Universität Bern
Sept. 1999 Roger Kaufmann DFA-Conference Sydney, Australia
Feb. 15./16., 1999 Dr. Uwe Schmock
(future member)		 Workshop on Probability Theory and Its Applications Fakultät für Mathematik, Universität Bielefeld, Germany


Academic Year 1998/99 and before (incomplete list)
Date Speaker Title Place
Sep. 7, 1999 Dr. Uwe Schmock
(future member)		 Allocation of Risk Capital Conference on Risk Theory, Oberwolfach, Germany
Aug. 9 - 13, 1999 Prof. Dr. Paul Embrechts,
Dr. Alexander McNeil,
Daniel Straumann,
Roger Kaufmann		 Modelling Extremal Events for Insurance and Finance,
(15th International Summer School 1999 of the Swiss Association of Actuaries)		 ISA, Ecole des HEC, University of Lausanne
July. 17, 1999 Dr. Uwe Schmock
(future member)		 Allocation of Risk Capital Conference on Quantitative Methods in Finance 1999, Sydney, Australia
June 24, 1999 Dr. Uwe Schmock
(future member)		 Das Modellrisiko bei der Verbriefung von Versicherungsrisiken Kolloquium des Mathematischen Instituts der Universität Basel
June. 23, 1999 Dr. Uwe Schmock
(future member)		 Perspektiven für das Finanz-Kompetenzzentrum RiskLab Credit Suisse, Nüschelerstr. 1, Zürich
April 16, 1999 Dr. Uwe Schmock
(future member)		 Rankabhängige moderate Abweichungen für U-empirische Maße in starken Topologien Kolloquium für Statistik, Universität Bern


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Created and supported by Uwe Schmock until September 2003. Please send comments and suggestions to Jörg Osterrieder/ Gallus Steiger  email: finance_update@math.ethz.ch.
Last update: October 1, 2005


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