IV Jornada de Riesgos Financieros RiskLab-Madrid

09.00 h. Acreditación

10.00 h. Presentación de la Jornada
Santiago Carrillo Menéndez. Director of RiskLab-Madrid

10.15 h. Apertura de la Jornada
Juan Carlos García Céspedes. Director de Metodología de Riesgos, BBVA

10.30 h. Multivariate extremes and market risk scenarios
Paul Embrechts. Professor ETH, Zürich.

11.30 h. Café

12.00 h. A Black-Litterman approach to credit derivatives portfolios
Javier Martín-Artajo. Head of Credit Derivatives, Dresdner Bank London

13.00 h. A simplified credit risk model for supervisory purposes in emerging markets
Javier Márquez Diez-Canedo. Gerente de Análisis de Riesgos y Proyectos Especiales, Banco de México

14.00 h. Receso

16.00 h. Medición y gestión del riesgo de cambio
Israel Pérez Corrales. Gestión Global del Riesgo, BBVA

16.45 h. A new model for the pricing of defaultable bonds
Rudi Zagst. Professor, Munich University of Technology.

17.30 h. A differential equation approach to the pricing of CDO's
Luis Seco. Professor, University of Toronto.

18.15 h. The practical application of economic credit capital allocation methodologies
Dan Rosen. Vice President of Strategy and Head of Basel II Project, Algorithmics

19.00 h. Vino español