Portfolio Models in Quantitative Risk Management
Conference at Frankfurt School on April 21 / 22, 2010
Frankfurt School of Finance & Management and Deutsche Bank are jointly organizeing a conference on Portfolio Models in Quantitative Risk Management. The conference takes place at Frankfurt School on April 21 and 22. The conference is part of the COMISEF project, a Research and Training Network, co-ordinated by Peter Winker, University of Giessen.
Speakers and delegates from all over Europe will attend.
For further details, please contact Professor Dr. Natalie Packham Assistant Professor for Quantitative Finance. The conference language is English.
Programme
April 21, 2010; 9 am – 5 pm
Economic Capital Tutorial: Risk Analytics & Instruments
This tutorial is focused on methodologies for measuring risk in financial institutions. Deutsche Bank experts will give an overview of its quantitative risk management framework. Portfolio models for measuring credit and operational risk will be presented.
April 22, 2010; 9 am – 5 pm
Invited Talks
• Rüdiger Frey, University of Leipzig: Pricing and hedging of credit derivatives via nonlinear filtering
• Rüdiger Kiesel,University Duisburg-Essen: Mathematical challenges in modelling energy markets
• Claudia Klüppelberg, Technical University Munich: Copula structure analysis for high-dimensional data
• Ludger Overbeck, University of Giessen: Risk measurement for structured credit products
• William Perraudin, Imperial College London: Title to be announced
• Wolfgang Schmidt, Frankfurt School of Finance & Management: State-dependent dependencies - A continuous time dynamics for correlations
