invite you to attend the
Risk Day 2008
Mini-Conference on Risk Management in Finance and Insurance
Friday, September 19, 2008, full day
ETH Zürich, Main Building,
Room HG G-60 (Semper Aula),
Rämistrasse 101, 8092 Zürich.
The Risk Day 2008 is free of charge
but given the limited numer of places in the Aula of ETH Zurich you are kindly requested to register
electronically following the
Places will be offered on a "first came, first served" basis.
Organizer: Walter Farkas
Prof. Dr. Paul Embrechts
(Department of Mathematics,
Prof. Dr. Semyon Malamud
(Department of Mathematics,
Information Percolation with Equilibrium Search Dynamics
Abstract: This is a joint work with Gustavo Manso (MIT) and Darrell Duffie (Stanford University).
We solve for the equilibrium dynamics of information sharing in a large
population. Each agent is endowed with signals regarding the likely outcome of a
random variable of common concern. Individuals choose the effort with which
they search for others from whom they can gather additional information. When
two agents meet, they share their information. The information gathered is further
shared at subsequent meetings, and so on. Equilibrium exist in which agents search
maximally until they acquire sufficient information precision, and then minimally.
Endowing agents with public signals can in some cases reduce welfare.
Dr. Michel Andenmatten
UBS Investment Bank):
A Practitioner's View on Risk Methodology
Abstract: An overview on the broad range of
activities that form part of quantitative risk management in large financial
institutions is given from a practical standpoint, with a deliberate bias towards
the speaker's employer where dedicated teams focus on, amongst other things,
developing methodologies required to measure market, credit and model risk.
A selection of current projects is motivated and presented.
(Deloitte Zurich and PhD student at the
Swiss Banking Institute,
University of Zurich):
On Operational Risk Quantification using Extreme Value Theory and Copulas:
From Theory to Practice
Abstract: In this work, jointly done with Donato Abbate (Deloitte Zurich) and Walter Farkas (University & ETH Zurich)
we point out several pitfalls of the standard methodologies for quantifying
operational losses. Firstly, we use Extreme Value Theory to model real heavy-tailed data.
We show that using the Value-at-Risk as a risk measure may lead to a mis-estimation of
the capital requirements. In particular, we examine the issues of stability and coherence
and relate them to the degree of heavy-tailedness of the data. Secondly, we introduce
dependence between the business lines using Copula Theory. We show that standard
economic thinking about diversification may be inappropriate when infinite-mean distributions
Dr. David Ardia
Erasmus University Rotterdam):
Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model
Abstract: A Bayesian estimation of a regime-switching threshold asymmetric GARCH
model is proposed. The specification is based on a Markov-switching
model with Student?s t innovations and K separate GJR(1,1) processes
whose asymmetries are located at free non-positive threshold parameters.
The model aims at determining whether or not: (i) structural breaks are
present within the volatility dynamics; (ii) asymmetries (leverage
effects) are present, and are different between regimes; (iii) the
threshold parameters (locations of bad news) are similar between
regimes. A novel MCMC scheme is proposed which allows for a fully
automatic Bayesian estimation of the model. The presence of two distinct
volatility regimes is shown in an empirical application to the Swiss
Market Index log-returns. The posterior results indicate no differences
with regards to the asymmetries and their thresholds when comparing
highly volatile periods with the milder ones. Comparisons with a
single-regime specification indicates a better in-sample fit and a
better forecasting performance for the Markov-switching model.
|| Prof. Dr. Nizar Touzi
(Centre de Mathematiques Appliquees,
Ecole Polytechnique, Paris):
Probabilistic Numerical Methods for fully nonlinear PDEs
Dr. Patrick Schünemann
(CEO Dixendris AG, Basel):
a new comprehensive Sales Management Methodology incorporating risk dimensions
Abstract: Nowadays, most markets -- especially in finance, insurance and consumer goods --
can be characterized as saturated commodity markets.
At the same time, marketing and sales are among the last business functions
to become process oriented. We therefore developed a new systematic methodology
to acquire new customers bound to competitors and retain them, called Approach Management,
i.e. implementing a marketing and sales "Approach".
Introducing this methodology the first time at PostFinance
showed dramatic results in improving sales performance.
However, marketing and sales organizations primary focus
is fulfilling sales quota and not managing risk.
It has been shown, that indeed Approach management is
a very well suited tool to implement risk management in
the whole customer and market lifecycle, specifically regarding
market risk, counterparty risk, credit risk and operational risk.
In this talk we discuss the mechanics of Approach Management and how
risk management can be integrated.
Dr. Gilles Zumbach
(Risk Metrics Group, Petit Lancy):
The RiskMetrics 2006 risk methodology and Backtesting: from 1 day to 1 year
Abstract: The basic concepts used in market risk evaluations are reviewed, as
well as the standard methodologies to compute quantitatively the risk.
A new methodology is introduced with the goal to incorporate the state-of-the-art
knowledge about financial time series, in particular fat-tails and the long memory for
the volatility clustering. It is designed to be robust, to be more accurate than the existing
methodologies, and to be able to reach long risk horizons, up to one year. The performance
evaluation of risk methodologies is explained. To compare the performance measures of
the main risk methodologies, we present a systematic backtesting study using
233 time series covering all geographic areas and asset classes,
for time horizons ranging from one day to one year.
Prof. Dr. Loriano Mancini
(Swiss Banking Institute,
University of Zurich):
Robust Value at Risk Prediction
Abstract:We propose a general robust semiparametric bootstrap method
to estimate conditional predictive distributions of GARCH-type models.
Our approach is based on a robust estimator for the parameters in
GARCH-type models and a robustified resampling method for standardized GARCH residuals,
which controls the bootstrap instability due to influential observations in the tails of
standardized GARCH residuals. Monte Carlo simulation shows that our method
consistently provides lower VaR forecast errors, often to a large extent,
and in contrast to classical methods never fails validation tests at usual significance levels.
We test extensively our approach in the context of real data applications to VaR
prediction for market risk, and find that only our robust procedure passes all validation
tests at usual confidence levels. Moreover, the smaller tail estimation risk of robust VaR
forecasts implies VaR prediction intervals that can be nearly 20% narrower and 50% less
volatile over time. This is a further desirable property of our method,
which allows to adapt risky positions to VaR limits more smoothly and thus more efficiently.
- Prof. Dr. Nizar Touzi is Professor at Ecole Polytechnique in Paris and his research is focused on
deterministic and stochastic control problems related to finance and insurance and on Monte Carlo methods in finance.
Dr. Michel Andenmatten is an Executive Director in Risk Methodology at UBS Investment Bank in Zurich.
He holds a MSc in Mathematics from ETH Zurich and a PhD in Mathematics from New York University.
Elise Gourier graduated in spring 2008
the "Master of Advanced Studies in Finance", joint degree program of the University of Zurich and
of ETH Zurich. She is a Consultant in the Risk Management team at Deloitte Zurich and will start in fall 2008
as a PhD student at the Swiss Banking Institute of the University of Zurich.
Dr. David Ardia graduated in 2003 the "Master of Advanced Studies in Finance",
joint degree program of the University of Zurich and of ETH Zurich.
He holds a PhD from the University of Fribourg and a MSc in Financial Mathematics from
the University of Neuchatel.
Prof. Dr. Semyon Malamud was appointed in 2007 as a Professor for
Quantitative Risk Management at the Department of Mathematics at the ETH Zurich.
Dr. Patrick Schünemann is founder and CEO of Dixendris AG, a company focusing on
Approach Management and holds a PhD in Physical Chemistry, a MSc in Chemistry
and a bachelor in Business Administration.
Dr. Gilles Zumbach is a senior researcher at the RiskMetrics Group. Before his move to finance
he had held research positions at the University of Roma, the Max Planck Institut in Stuttgart and at Harvard University.
He holds a PhD from the Swiss Polytechnic School in Lausanne.
Prof. Dr. Loriano Mancini was appointed in 2007 as a Professor for Quantitative Finance at the Swiss
Banking Institute of the University of Zurich.
Dr. Philipp Halbherr is since July 2008 Head of Investment Banking
at Zürcher Kantonalbank (ZKB).
Prior to that he was CFO at ZKB.
Ms. Galit Shoham,
HG G21.3 (IFOR),
Phone 044/632 40 16,
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Last update: August 16, 2008