Cherry Bud Workshop 2005

Quantitative Risk Management: Theory and Practice


Proceedings of The Cherry Bud Workshop

Wednesday 23 February 2005

10.30Coffee/tea break
Lectures by Paul Embrechts (ETH Zurich, Switzerland)
11.00Quantitative Risk Management. Concepts, Techniques and Tools
13.30Quantitative Risk Management. Concepts, Techniques and Tools (continued)
15.00Coffee/tea break
15.30Dynamic Dependence Structures for Multivariate High-Frequency Data in Finance
18.00Welcome party at Hotel The Ellcy

Thursday 24 February 2005

Lectures by Paul Embrechts (ETH Zurich, Switzerland)
09.00Multivariate Extremes and Market Risk Scenarios
10.00Coffee/tea break
10.30Quantifying Regulatory Capital for Operational Risk: Utopia or Not?
11.30Excursion to Kamakura

Friday 25 February 2005

09.00Weather extremes and climate risk: stochastic modeling of hurricane damageRick KatzNational Center for Atmospheric Research, USA
09.45Risk forecasting models for New Zealand hydro catchment inflowsPeter ThomsonStatistics Research Associates Ltd, New Zealand
10.30Coffee/tea break
11.00Quantification of earthquake risk and application for insurance portfolio managementYoshiaki Oogane
Shumpei Okada
Tokio Marine & Nichido Fire Insurance Co.,Ltd., Japan
11.45Insurance risk management for catastrophic eventsDietmar PfeiferUniversity of Oldenburg, Germany
13.30Comparative risk assessment: earthquakes and other hazardsWarwick SmithInstitute of Geological & Nuclear Sciences, New Zealand
14.15Quantitative risk management: practice of Japanese non-life insurance companyYasuhiro SadayukiSompo Japan Insurance Inc., Japan
15.00Coffee/tea break
15.30Robustness aspects in risk managementElvezio RonchettiUniversity of Geneva, Switzerland
16.15Financial risk control: theory and practiceToshifumi Ikemori
Daisuke Nakazato
Mizuho-DL Financial Technology, Japan
18.00Workshop dinner at Hotel The Ellcy

Saturday 26 February 2005

09.00Correlation and dependenceKunihiro BabaKeio University, Japan
09.45An approach to the extreme value distribution of non-stationary processHang ChoiUniversity of Tokyo, Japan
10.30Coffee/tea break
11.00Dependence of multivariate extreme value distributionsMasaaki SibuyaTakachiho University, Japan
11.45Rare event simulation with heavy tailsSoren AsmussenAarhus University, Denmark
13.30A large scale Basel II compliant application of operational riskJohn DonnellyCSIRO Mathematical and Information Sciences, Sydney, Australia
14.15Operational risk modelling and quantificationPavel ShevchenkoCSIRO Mathematical and Information Sciences, Sydney, Australia
15.00Coffee/tea break
15.30Discussion on structural default risk modeling for implementationHidetoshi NakagawaCenter for Research in Advanced Financial Technology, Tokyo Institute of Technology, Japan
16.15Models for dependent credit risks and their calibrationUwe SchmockTechnical University of Vienna, Austria