09.00 h. Acreditación
09.30 h. Bienvenida
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. Café
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. Receso
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. Vino español
Organizadores: Santiago Carrillo Menéndez y Antonio Sánchez (RiskLab-Madrid), y Luis Seco
(RiskLab-Toronto).
Sponsors: Algorithmics, BBVA, IBM, Indra, Standard & Poor's, SAS, The Mathworks.
|
