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Máster Executive en Gestión de Riesgos Financieros

 

 


VIII RiskLab-Madrid Meeting on Financial Risks

Thursday, September 17th, 2009
BBVA Auditorium, Paseo de la Castellana, 81, Madrid

08:00 Registration
09:00 Presentation of the Conference
Santiago Carrillo Menéndez, Director, RiskLab-Madrid.
09:15 Introductory Remarks
Ángel Mencía, Director de Metodologías de Riesgo Corporativo, BBVA.
09:30 Risk Management Lessons from the Credit Crisis
Philippe Jorion, Professor, The Paul Merage School of Business, University of California, and Managing Director, Pacific Alternative Asset Management Company (PAAMCO).
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10:20 Practical Modelling of the Incremental Risk Charge (IRC) in the Trading Book
Dan Rosen, CEO, R2 Financial Technologies, and Visiting fellow, Fields Institute.
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11:00 Coffee break
11:20 Does history repeat? Credit stress scenarios using sub-sampling in a multi-factor portfolio model
G. Bonti, Director, Department of Risk Management & Control, Deutsche Pfandbriefbank AG.
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12:10 The compensation for risk in credit markets
Jan Ericsson, Associate Professor of Finance, Desautels Faculty of Management, McGill University, and Research Affiliate, SIFR.
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13:00 Lévy VaR with ALaM processes
Olivier le Courtois, Associate Professor of Finance and Insurance, EM Lyon Business School.
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13:50 Lunch break
Afternoon:
16:00 Basis estocástico en un modelo HJM consistente con la construcción de curvas
Teresa Martínez, Quantitative Product Group, Grupo Santander.
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16:50 Mesa redonda: Gestión de riesgos en tiempos revueltos

Participantes:
Juan Carlos García Céspedes, Director de Gestión Global del Riesgo, BBVA.
Didac Artés, CEO, Director General, Próxima Alfa.
Javier Martín-Artajo, Chief Investment Officer EEMEA, Chief Investment Office, JP Morgan.
Ángel Sánchez Aristi, BBVA, Managing Director, Global Markets South America & USA


Moderador:
Luis Seco, Professor, University of Toronto.

18:15 Spanish wine

Organizers: Santiago Carrillo Menéndez and Antonio Sánchez Calle (RiskLab-Madrid) and Luis Seco (RiskLab-Toronto).


Sponsored by:BBVA, QRR.


Sponsors:


BBVA


QRR