SFB Workshop

Workshop on Risk Analysis in Finance and Insurance

- Schedule -

Time Allocation: 35 minutes (+ 5 minutes discussion) per talk

Abstracts: Click on the title of the talk to read the abstract !

	Thursday, June 17, 2004

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9.30 - 10.10	Peter Brockwell
9.30 - 10.10	Non-linear continuous-time models in finance
10.10 - 10.50	Stephan Haug
10.10 - 10.50	Fitting irregularly sampled time series by CARMA models
10.50 - 11.30	Marc Paolella
10.50 - 11.30	Improved Autoregressive Point Estimation in the ARMAX(1,q) Model
11.30 - 12.10	Gennady Samorodnitsky
11.30 - 12.10	Asymptotic distribution of unbiased linear estimators in the presence of heavy-tailed stochastic regressors and residuals
12.10 - 14.00	Lunch Break
14.00 - 14.40	Thierry Jeantheau
14.00 - 14.40	Complete models with stochastic volatility
14.40 - 15.10	Christian Pigorsch
14.40 - 15.10	EMM estimation of time-changed Lévy processes
15.20 - 15.50	Coffee Break
15.50 - 16.30	Alexander Kukush
15.50 - 16.30	Reselling of European Call Options: Optimal Strategies
16.30 - 17.10	Stefan Krieger
16.30 - 17.10	Directly Optimising the Area under the ROC Curve in Credit Scoring Models: Selection and Best Linear Combination of Predictor Variables
17.10 - 17.50	Marlene Müller
17.10 - 17.50	Redesigning Ratings: Assessing the Discriminatory Power of Credit Scores under Censoring

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	Friday, June 18, 2004
9.00 - 9.40	Michael Auer
9.00 - 9.40	Quantification of Operational Risk and related practical problems
9.40 - 10.20	Ludger Overbeck
9.40 - 10.20	Some topics in modeling operational risk
10.20 - 11.00	Bernd Hofmann
10.20 - 11.00	Procyclicality: The Impact of Economic and Regulatory Capital Ratios
11.00 - 11.30	Break
11.30 - 12.10	Krassimir Kostadinov
11.30 - 12.10	Tail approximation for credit risk portfolios with heavy-tailed risk factors
12.10 - 12.50	Dirk Tasche
12.10 - 12.50	Modelling dependent loss given default rates
12.50 - 13.30	Christian Bluhm
12.50 - 13.30	Semi-analytic default distributions for portfolios with low granularity

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