Cherry Bud Workshop 2005

Quantitative Risk Management: Theory and Practice

Programme

Proceedings of The Cherry Bud Workshop

Wednesday 23 February 2005

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

Thursday 24 February 2005

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

Friday 25 February 2005

09.00	Weather extremes and climate risk: stochastic modeling of hurricane damage	Rick Katz	National Center for Atmospheric Research, USA
09.45	Risk forecasting models for New Zealand hydro catchment inflows	Peter Thomson	Statistics Research Associates Ltd, New Zealand
10.30	Coffee/tea break
11.00	Quantification of earthquake risk and application for insurance portfolio management	Yoshiaki Oogane Shumpei Okada	Tokio Marine & Nichido Fire Insurance Co.,Ltd., Japan
11.45	Insurance risk management for catastrophic events	Dietmar Pfeifer	University of Oldenburg, Germany
12.30	Lunch
13.30	Comparative risk assessment: earthquakes and other hazards	Warwick Smith	Institute of Geological & Nuclear Sciences, New Zealand
14.15	Quantitative risk management: practice of Japanese non-life insurance company	Yasuhiro Sadayuki	Sompo Japan Insurance Inc., Japan
15.00	Coffee/tea break
15.30	Robustness aspects in risk management	Elvezio Ronchetti	University of Geneva, Switzerland
16.15	Financial risk control: theory and practice	Toshifumi Ikemori Daisuke Nakazato	Mizuho-DL Financial Technology, Japan
18.00	Workshop dinner at Hotel The Ellcy

Saturday 26 February 2005

09.00	Correlation and dependence	Kunihiro Baba	Keio University, Japan
09.45	An approach to the extreme value distribution of non-stationary process	Hang Choi	University of Tokyo, Japan
10.30	Coffee/tea break
11.00	Dependence of multivariate extreme value distributions	Masaaki Sibuya	Takachiho University, Japan
11.45	Rare event simulation with heavy tails	Soren Asmussen	Aarhus University, Denmark
12.30	Lunch
13.30	A large scale Basel II compliant application of operational risk	John Donnelly	CSIRO Mathematical and Information Sciences, Sydney, Australia
14.15	Operational risk modelling and quantification	Pavel Shevchenko	CSIRO Mathematical and Information Sciences, Sydney, Australia
15.00	Coffee/tea break
15.30	Discussion on structural default risk modeling for implementation	Hidetoshi Nakagawa	Center for Research in Advanced Financial Technology, Tokyo Institute of Technology, Japan
16.15	Models for dependent credit risks and their calibration	Uwe Schmock	Technical University of Vienna, Austria
17.00	Closing