Scientific program (1st July – 2nd July)

1½ day programme:

The scientific program will follow the format of an academic conference. Concurrent sessions will be devoted to the dissemination of scientific findings on themes related to financial risk management.

Plenary Talks:

    Damiano Brigo (Managing Director and Global Head of the Quantitative Innovation

    team, Fitch Solutions)                                                                                    

    ~ Credit Index Options: The No-Armageddon Pricing Measure and The Role of Correlation after the Subprime Crisis

    Robert Engle (Nobel laureate, Michael Armellino Professor of Finance, Stern School of

    Business)

    ~ Anticipating Correlation

    Jianqing Fan (Frederick L. Moore '18 Professor of Finance and Professor of Statistics,

    Princeton University)

    ~ Modeling and Estimation of High-Dimensional Covariance Matrix for Portfolio Allocation and Risk Management

    Peter Ritchken (Kenneth Walter Haber Professor of Finance, Weatherhead School of

    Management, Case Western Reserve University)                                      

    ~ Predicting Credit Spreads

    Xunyu Zhou (Nomura Professor of Mathematical Finance, Oxford University)     

    ~ When to Sell a Stock, If You Must

In addition, over 20 internationally competitive papers will be presented. The topics include:

~        Derivative pricing models and empirical studies

~        Structured products design and analysis

~        Operational, market and credit risks modeling

~        Corporate risk management theory and practice

~        Optimization and computational tools for risk management

~        Statistical and econometric techniques for financial problems