1st RiskLab-Madrid International Conference

MADRID, october 18th and 22nd, 2001
BBVA Auditorium, Paseo de la Castellana, 81


October 18th

10.00 h.  Open
Manuel Méndez del Río, General Manager and Chief Risk Officer BBVA

10.15 h.  Presentación de la conferencia
Santiago Carrillo Menéndez, Director of RiskLab-Madrid

10.30 h.  Financial Products with Guarantees: Applications, Modela and Internet-based services
Stavros A. Zenios,  HERMES Center on Computational Finance and Economics University of Cyprus RiskLab and Cyprus International Institute of Management and The Wharton Financial Institutions Center

11.30 h.  Coffe Break

12.00 h.  Portfolio Optimisation under Credit Risk
Rudi Zagst, Director of  RiskLab-Germany

13.00 h.  Portfolio Credit risk with stochastic exposures, recoveries and collateral
Dan Rosen, Director of Research at Algorithmics.

14.00 h. Rest

16.00 h.  Modelización del riesgo de crédito y BIS II
Juan Carlos García Céspedes, Head of Risk Methodologies at BBVA.

17.00 h. Non-gaussian simulation
Luis Ángel Seco, Director of RiskLab-Toronto. 

18.00 h.  Computational Tools for the Analysis of Market Risk
Alberto Suárez, RiskLab-Madrid.

19.00 h.  Final considerations
Dan Rosen, Director of Research at Algorithmics

19.15 h.  Final Conference: Optimal design of weather bonds 
Nicole El Karoui, Professor of Finance at École Polytechnique

20.15 h.  Spanish Wine.

October 22nd

19.00 h. Patents and R&D as Real Options
Eduardo Schwartz, U.C.L.A.


Organiced by: Santiago Carrillo Menéndez and Antonio Sánchez (RiskLab-Madrid) and Luis Ángel Seco (RiskLab-Toronto). 


Sponsors: Algorithmics, BBVA, IBM, PricewaterhouseCoopers.