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) |