| Friday, October 17, 2014 |
| University of Freiburg, Main Campus (Humanities), University Building I, Lecture Hall 1015 |
| Platz der Universität 3, 79098 Freiburg i. Br., Germany |
|
| 09:30–09:40 |
Welcome |
| 09:40–10:30 |
Giovanni Puccetti
Fiorence (I) |
An academic response to Basel 3.5
|
| 10:30–10:50 |
Coffee Break |
|
| 10:50–11:40 |
Steven Vanduffel
Brussels (B) |
How robust is the Value-at-Risk of portfolios?
|
| 11:40–12:30 |
Wim Schoutens
Leuven (B) |
Recent advances in CoCo bonds, bail-in and contingent capital
|
| 12:30–14:00 |
Lunch Break |
|
| 14:00–14:50 |
Gerhard Stahl
Hanover (D) |
Model risk – from a practitioner's perspective
|
| 14:50–15:40 |
Rafael Schmidt
Basel (CH) |
Micro- and macro-prudential stress testing
|
| 15:40–16:00 |
Coffee Break |
|
| 16:00–16:50 |
Alexander Schied
Mannheim (D) |
Comparative and qualitative robustness for law-invariant risk measures
|
| 16:50–17:40 |
Thorsten Schmidt
Chemnitz (D) |
Credit risk: Modelling, risk management and new developments
|
| 19:00 |
Conference Dinner |
| |
| Saturday, October 18, 2014 |
| University of Freiburg, Natural Sciences Campus (“Institutsviertel”), Weismann-Haus |
| Albertstraße 21a, 79104 Freiburg i. Br., Germany |
| 09:30–10:20 |
Peter Tankov
Paris (F) |
Asymptotic methods in portfolio risk management |
| 10:20–11:10 |
Gechun Liang
London (GB) |
From backward to forward utility maximization |
| 11:10–11:50 |
Coffee Break |
(in Eckerstr. 1, room 331) |
| 11:50–12:40 |
Jan Kallsen
Kiel (D) |
Arbitrage-free modelling of liquid derivatives |
| 13:00 |
Lunch
|
|
