RiskLab and the Center of Competence Finance in Zurich invite you to attend the

ETH Risk Day 2017

Mini-Conference on Risk Management in Finance and Insurance

The yearly “Risk Day” conference at ETH is intended as a platform of dialogue between leading academia and leading practitioners on current topics of risk management in banking and insurance.

Date: September 15, 2017
Location: ETH Zurich, Room: HG E 7, Map
Organizer: Prof. Dr. Erich Walter Farkas
Conference Secretary: Ms. Galit Shoham



Program:

09.00-09.05Opening
Prof. Dr. Erich Walter Farkas,
University of Zurich and ETH Zurich

Academic updates
09.05-09.40Universal portfolios and model-free portfolio optimization
Dr. Christa Cuchiero,
University of Vienna
Download Slides
09.40-10.15Behavioral finance driven investment strategies
Prof. Dr. Rudi Zagst,
TU Munich
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10.15-10.45Coffee break
10.45-11.20It is a Hawkes process world!
Dr. Matthias Kirchner,
RiskLab ETH Zürich
Download Slides
11.20-11.55Why risk is so hard to measure?
Prof. Dr. Chen Zhou,
Erasmus Univ. Rotterdam & De Nederlandsche Bank
Download Slides
12.00-14.00Lunch break
Insurance: points of view
14.00-14.30Machine learning in mortality modeling
Dr. Philippe Deprez,
Deprez Experten AG
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14.30-15.00Assuring future pensions: The danger of taking no risk
Dr. Peter Blum,
Chief Risk Officer, Suva – Finance Department
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15.00-15.30Value metrics for corporate insurance
Dr. Markus Mende,
Group Managing Director AGRC EMEA, Chairman AON Switzerland AG
15.30-16.00Coffee break
Banking challenges
16.00-16.30Swiss banking, negative rates and banking book regulation
Dr. Dominik Lambrigger,
Director, Head ALM & Market Risk, Credit Suisse (Schweiz) AG
16.30-17.00Estimation of risk, model risk and all that
Dr. Dirk Tasche,
FINMA
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17.00-17.30Systemic stress testing: Fire sales, indirect contagion and systemic risk
Dr. Eric Schaanning,
Norges Bank
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17.30-18.30Cocktail



Previous Risk Days:
2016 2015 2014 2013 2012 2011 2010 2009