18 de octubre
10.00 h. Apertura
Manuel Méndez del Río, General Manager and Chief Risk Officer BBVA
10.15 h. Presentación de la conferencia
Santiago Carrillo Menéndez, Director of RiskLab-Madrid
10.30 h. Financial Products with Guarantees: Applications, Modela and Internet-based
services
Stavros A. Zenios, HERMES Center on Computational Finance and Economics University of Cyprus RiskLab and Cyprus International
Institute of Management and The Wharton Financial Institutions Center
11.30 h. Café
12.00 h. Portfolio Optimisation under Credit Risk
Rudi Zagst, Director of RiskLab-Germany
13.00 h. Portfolio Credit risk with stochastic exposures, recoveries and collateral
Dan Rosen, Director of Research at Algorithmics.
14.00 h. Receso
16.00 h. Modelización del riesgo de crédito y BIS II
Juan Carlos García Céspedes, Head of Risk Methodologies at BBVA.
17.00 h. Non-gaussian simulation
Luis Ángel Seco, Director of RiskLab-Toronto.
18.00 h. Computational Tools for the Analysis of Market Risk
Alberto Suárez, RiskLab-Madrid.
19.00 h. Consideraciones finales
Dan Rosen, Director of Research at Algorithmics
19.15 h. Conferencia final: Optimal design of weather bonds
Nicole El Karoui, Professor of Finance at École Polytechnique
20.15 h. Vino español.
22 de octubre
19.00 h. Patents and R&D as Real Options
Eduardo Schwartz, U.C.L.A.
Organizado por: Santiago Carrillo Menéndez y Antonio Sánchez (RiskLab-Madrid) y Luis Ángel Seco
(RiskLab-Toronto).
Sponsors: Algorithmics, BBVA, IBM, PricewaterhouseCoopers.
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