invite you to attend the
Risk Day 2009
Mini-Conference on Risk Management in Finance and Insurance
Friday, September 11, 2009,10.00-18.00
ETH Zürich, Main Building,
Room HG F-5,
Rämistrasse 101, 8092 Zürich.
Organizer: Prof. Dr. Walter Farkas
The Risk Day 2009 is free of charge but due to administrative reasons you are kindly requested to register
electronically following the
Prof. Dr. Martin Schweizer
(Department of Mathematics,
Prof. Dr. Josef Teichmann
(Department of Mathematics,
A new approach to scenario generation for risk management
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.
(Institute for Operational Research,
Department of Mathematics,
Design of allocation mechanisms for cap and trade schemes
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
Following this insight we show to adapt allocation mechanisms to reduce
(Partner, Oliver Wyman):
Liquidity risk - lessons learned in the crisis
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.
Dr. Mario Wüthrich
(Department of Mathematics,
Cost-of-capital approach in non-life Insurance
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.
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.
Dr. Pieter Klaassen
(Head of Firm-Wide Risk Aggregation,
The future of economic capital after the sub-prime crisis
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
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.
Torsten de Santos,
LGT Capital Management
From the UNI/ETH Zuerich joint degree Masters program to the financial
Graduation Ceremony for the sixth cycle (2007/2009) of the joint degree program
Master of Advanced
Studies in Finance of the University of Zurich and of ETH Zurich
The speakers: (in alphabetical order)
Simon Cooper is a partner in Oliver Wyman's European Finance & Risk practice, and leads an initiative in liquidity risk management.
Max Fehr is researcher at the Department of Mathematics of ETH Zurich.
Dr. Pieter Klaassen is Managing Director and Head of Firm-Wide Risk Aggregation at UBS AG.
Before joining UBS, he worked at ABN AMRO N.V. as Head of Enterprise Risk Modelling, and at Rabobank International
as Head of Exotic Options. He also held a part-time appointment at Vrije Universiteit in Amsterdam, and has (co-)authored various
articles on asset-liability management, option valuation, and credit risk modeling. He has a Ph.D. degree in Operations Research from
the MIT Sloan School of Management, and a Master's degree in Econometrics
from Erasmus University. He is co-author of the book: "Economic Capital: How it works, and what every manager needs to know".
Dr. Andreas Kull is CRO at AXA Winterthur. Prior to joining AXA Winterthur,
Andreas was an executive director at Ernst & Young's Global Financial Services Risk Management practice
and had various actuarial and risk management positions at Converium (now Scor) and Zurich Financial Services.
He is a fully qualified actuary (SAV, DAV) and has a Ph.D. in Physics from Ludwig-Maximilans-University of Munich
and a Master's degree in Physics from University of Bern.
Torsten de Santos is CEO of LGT Capital Management.
Prof. Dr. Josef Teichmann is since June 2009 Professor for Financial Mathematics at the Department of Mathematics at ETH Zurich.
Dr. Mario Wüthrich is senior researcher at the Department of Mathematics of ETH Zurich.
Ms. Galit Shoham,
HG G21.3 (IFOR),
Phone 044/632 40 16,
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Last update: August 21, 2009