Programme

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Programme: June 6 & 7

The workshop will include invited talks and contributed poster sessions.

Practitioners in banks, insurances and other financial institutions are encouraged to present their POSTER CONTRIBUTIONS  which will promote the desired interaction and lively discussions on Financial Extreme Values and Extreme Value Theory (EVT) as a practical risk mitigation tool to handle financial risks.

For further details please visit Poster Session.

During the Workshop, there will be informal discussions about important issues related to Financial Risk, opening the way for future collaborations.

 
Scientific Programme

For updated information on the programme, please visit this website regularly.

  Monday, June 6th Tuesday, June 7th
9:00

 

Registration

 

 
9:30

 

Poster Session

 

10:00

Welcome and Introduction

10:30

Chair: Casper de Vries

Thomas Mikosch

Precise large deviations probabilities for a heavy-tailed random walk

Chair: Holger Drees

Chen ZHOU

Systemic risk in financial system: an extreme value approach

11:30

Coffee break

12:00

Chair: Casper de Vries

Holger Drees

Extremal dependence of time series

Chair: Holger Drees

Casper de vries

Risk Measures of Autocorrelated Hedge Fund Returns

13:00

Lunch break

14:30

Chair: Antˇnia Turkman

Claudia klppeLberg

Modeling electricity markets: spots, forwards and risk premiums

Chair: Feridun Turkman

Paul embrechts

Mathematical Problems underlying Quantitative Risk Management (QRM)

15:30

Coffee break

Generali Prize Session

16:00

 

 

Poster Session

 

 

18:00

 

Taste of Portuguese wines at Viniportugal (Terreiro do Pašo)

19:30

Banquet

 
This page was last updated on 23/05/2011