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Programme
Thursday, September 26 2013
| 08.30 - 09.00 |
Registration |
| 09.00 - 09.15 |
Opening Remarks: Paul Embrechts (ETH Zurich) |
| 09.15 - 11.00 |
Session I
Chairman: Loriana Pelizzon (Università Ca' Foscari di Venezia) |
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- Systemic Risk in Europe
Robert Engle (New York University), Eric Jondeau (Swiss Finance Institute & University of Lausanne) and Michael Rockinger (Swiss Finance Institute, University of Lausanne, & CEPR)
Discussant: Alain Monfort (CREST, Banque de France & University of Maastricht)
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- TRC Networks and Visualizations: Combining Credit Risk Measures and Network Analysis to Characterize Systemic Risk
Andrew W. Lo (Massachusetts Institute of Technology & AlphaSimplex Group, Cambridge) and Roger Stein (Massachusetts Institute of Technology & State Street Global Exchange, New York)
Discussant:Andrea Giacomelli (GRETA, Venice)
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| 11.00 - 11.30 |
Coffee break and presentation of the SYRTO - SYstemic Risk TOmography project (funded by the European Union under the 7th Framework Programme (FP7-SSH/2007-2013) Grant Agreement n° 320270) |
| 11.30 - 13.15 |
Session II
Chairman:Jorgen Vitting Andersen (CNRS & CES Université Paris 1) |
- Key-note talk: Adapting the Solvency Regulations in Time of Crisis
Michel Dacorogna (SCOR, Zurich)
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| 13.15 - 14.45 |
Networking Lunch |
| 14.45 - 15.45 |
Session III
Chairman: Roberto Savona (Università di Brescia) |
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- Dynamic Prudential Regulation
Ajay Subramanian (Georgia State University) and Baozhong Yang (Georgia State University)
Discussant: Alberto Plazzi (University of Lugano)
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| 15.45 - 16.45 |
Coffee break and Poster Session 1 |
| 16.45 - 18.15 |
Session IV
Chairman: Petros Dellaportas (Athens University of Economics and Business) |
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| 20.30 |
Networking dinner |
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Friday, September 27 2013
| 09.00 - 10.45 |
Session V
Chairman: Paul Embrechts (ETH Zurich) |
- Key-note talk: Examples of Regulatory Constraints in Insurance
Jean Lemaire (University of Pennsylvania)
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- Catastrophe Risk Transfer
Jinjing Wang (Georgia State University) and Ajay Subramanian (Georgia State University)
Discussant: Dale Gray (International Monetary Fund)
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- Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks
Monica Billio (Università Ca' Foscari di Venezia), Mila Getmansky (University of Massachusetts), Dale Gray (International Monetary Fund), Andrew W. Lo (Massachusetts Institute of Technology & AlphaSimplex Group, Cambridge), Robert C. Merton (Massachusetts Institute of Technology) and Loriana Pelizzon (Università Ca' Foscari di Venezia)
Discussant: Jean Paul Renne (Banque de France)
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| 10.45 - 11.15 |
Coffee break |
| 11.15 - 13.00 |
Session VI
Chairman: Pierluigi Gilibert (European Investment Bank) |
- Key-note talk: Correlation, Contagion and Systemic Risk
Rama Cont (Imperial College, London)
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| 13.00 - 14.30 |
Networking Lunch |
| 14.30 - 15.30 |
Session VII
Chairman: Davide Alfonsi (Intesa Sanpaolo, Milan) |
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| 15.30 - 16.30 |
Coffee break and Poster Session 2 |
| 16.30 - 18.00 |
PANEL SESSION: WORLD WIDE INTERCONNECTIONS: RISK AND OPPORTUNITIES
Chairman: Fabrizio Galimberti (ll Sole 24 Ore) |
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Participants:
- Davide Alfonsi (Head of Risk Management, Intesa Sanpaolo)
- Filippo Casagrande (Head of Investments, Generali Investments Europe)
- Paul Embrechts (Full Professor of Mathematics, ETH Zurich)
- Mauro Grande (Director General, Directorate General Financial Stability, ECB)
- Nadia Linciano (Head of Economic Studies Unit, CONSOB)
- Richard Olsen (CEO of OLSEN Ltd and Co-founder of OANDA Corp)
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| 18.00 |
End of Conference |
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