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3rd RiskLab-Madrid International Conference


Madrid, December 1st, 2003
BBVA Auditorium, Paseo de la Castellana, 81

 


09.00 h.   Accreditation

09.30 h.   Welcome
Juan Carlos Estepa, Director de Coordinación e Integración de Riesgos, BBVA

               Presentación de la Jornada
Santiago Carrillo Menéndez, Director de RiskLab-Madrid

10.00 h.  Risk Management in a Chaotic Environment
Myron S. Scholes, Chairman, Oak Hill Platinum Partners,
Frank E. Buck, Professor of Finance, Emeritus, Stanford University

10.50 h.  An Integrated Approach to Measuring and Managing Operational Risk
Ali Samad-Khan, Director de Global Operational Risk Strategy, SAS

11.35 h.   Coffe Break

11.55 h.  Dynamic Portfolio Credit Risk: Credit Derivatives, Credit Spreads and Infections in Credit Portfolios
Javier Martín Artajo, Global Head of Credit Derivatives Trading and Quantitative Research, Dresdner Bank

12.40 h.   Latest Developments in Portfolio Risk Modelling
Olivier Renault, Associate Director, Standard & Poor's Risk Solutions

13.25 h.   Alternative Asset Management  During Distressed Markets
Luis Angel Seco, Director, RiskLab-Toronto

14.00 h.   Rest

16.00 h.  Modelo de Gestión del Riesgo de Crédito de Titulizaciones
Juan Carlos García Céspedes, Director del Departamento de Metodologías de Riesgo Corporativo, BBVA

16.35 h.  A Generalization of the Schmid/Zagst-Model for the Pricing of Defaultable Bonds
Bernd Schmid, Director, RiskLab Germany

17.10 h.  Models for Managing Risk in International Investment Portfolios
Hercules Vladimirou, HERMES European Center of Excellence on Computational, Finance & Economics School of Economics and Management

17.45 h.  Effective Computation and Allocation of Enterprise Regulatory and Economic Credit Risk Capital for Large Retail and SME Portfolios
Dan Rosen, Vice President Strategy and head of Basel II project, Algorithmics

18.30 h.   Spanish Wine


Organiced by: Santiago Carrillo Menéndez and Antonio Sánchez (RiskLab-Madrid), and Luis Seco (RiskLab-Toronto).


 

Sponsors: Algorithmics, BBVA, IBM, Indra, Standard & Poor's, SAS, The Mathworks.

 



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