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5th RiskLab-Madrid International Conference


Madrid, october 13rd, 2005
BBVA Auditorium, Paseo de la Castellana, 81

 


09.00 h. Accreditation

09.30 h. Presentation of the Day
Santiago Carrillo Menéndez. Director of RiskLab-Madrid

09.45 h. Opening of the Day

10.00 h. The Search for Alpha
Robert B. Litterman. Investment Management Division, Goldman Sachs

11.00 h. A Bayesian solution to the equity premium puzzle
Chris Rogers. Statistical Laboratory, Cambridge University

11.50 h. Coffee Break

12.10 h. Least Squares Monte Carlo in energy markets
Cyriel de Jong. Maycroft Consultancy

13.00 h. Valuation of CDO's
Ben Diprisco. Vice President, Financial Engineering and Research, Algorithmics

13.50 h. Rest

16.00 h. Riesgo Operacional: Algunas consideraciones críticas relativas al uso de modelos avanzados
Alberto Ferreras Salagre. Analista, Unidad Central de Riesgo Operacional, BBVA

16.40 h. A hybrid optimization strategy for portfolio selection
Alberto Suárez. Computer Science Department, UAM and RiskLab-Madrid

17.20 h. Defaultable forward contracts
Luis Seco. RiskLab, Toronto University

18.00 h. Spanish Wine


 

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


 

Sponsors by: Algorithmics, BBVA, Indra, CRF, Sun, The Mathworks.



Golden Sponsors:


 





 

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