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CRM > English > Activities > Curs 2012-2013 > Jornada CRM Empresa sobre finanzas quantitavas
Jornada CRM Empresa sobre finanzas quantitavas

This first  meeting was involve to the finance research that are developing in the companies. To the all companies that are dedicated on the finance world. Banks, Consulting, Insurance companies, broker companies, and also to all the public that have interest in this sector.

The meeting want to promote the cooperation between academic and professional ambit. First, we want identify the needs and the problems of current interest for the industry and the companies from the mathematical and statistical point of view. On the other hand, we want to introduce, from the research ambit, the know-how of our research groups.

The subject of this meeting is to talk about the apply math in finance. To do it, will be us different professional that they will explain us their research and how they apply math. Also we talk about the new methodologies that we are development on the finance research.

Date: Friday, February 22th, 2013.
Place: Audience of Mathematical Research Center. (Details).

Coordination,

Luis Ortiz, Mathematical Research Center.
Joan del Castillo, Universitat Autònoma de Barcelona.
Joaquim Berenguer, CRM Technology Transfer.

Organization: Neus portet.
E-mail: nportet@crm.cat
Number phone: +34 93 581 4086

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To consult the abstracts click in the following link. (Abstracts Conferences).

Conferences Program:

Javier Calvo, Management Solutions (pdf).
"Retos cuantitativos en las pruebas de resistencia (stress test) de entidades financieras"

Luis Ortiz, Centre de Recerca Matemàtica (pdf).
"Medición eficiente del riesgo de concentración en carteras de crédito con las onditas de Haar"

Javier Norte, Deloitte
"Calibración de PD en carteras low default: Alternativas cuantitativas al mapping"

Fernando Valles, PriceWaterHouseCoopers (pdf).
"Uso de cópulas en la estimación del capital económico"

Elisa Alòs, Universitat Pompeu Fabra (pdf).
"Calibration of stochastic volatility models via second order approximation: the Heston model case"

Josep Vives, Universitat de Barcelona (pdf).
"A Hull and White formula for a general stochastic volatility Levy model and some applications"

Llorenç Badiella, Servei d'Estadística Aplicada, UAB (pdf).
"Metodología para el análisis de la componente ambiental del riesgo financiero (pasivos ocultos)"

Isabel Serra, Universitat Autònoma de Barcelona (pdf).
"La distribución full-tails gamma en los modelos de riesgo"

Eduard Giménez, La Caixa.
"Más allà de Black-Scholes cuando los mercados se vuelven incompletos"

Ferran Carrascosa, AIS - Aplicaciones de Inteligencia Artificial (pdf).
"Generación de escenarios macroeconómicos para stress testing en riesgo de crédito"

Sergio Baena, Banc Sabadell.
"Cálculo del VaR como medida del riesgo"

Argimiro Arratia, Universitat Politècnica de Catalunya (pdf).
"Forecasting stock markets with Twitter"

Rafael de Santiago, IESE Business School (pdf).
"Geometric Mean Maximixation: Expected, Oberved, and Simulated Performance"

Chainarong Kesamoon, Universitat Autònoma de Barcelona.
"Estimating SV-Models with covariants"

Jorge Segura, Universidad de Córdoba (pdf).
"El cálculo de los requerimientos de capital en entidades aseguradoras: Sensibilidad de los parámetros de la fórmula estándar y motivación en el uso de modelos internos bajo el paradigma de Solvencia II"

Gerard Torrent, Tatine (pdf).
"El modelo Multi-Factor aplicado a las PIMEs"

José Manuel Corcuera, Universitat de Barcelona (pdf)
"Pricing contingent convertibles"



With the special participation of:


Santiago Carrillo, Universidad Autónoma de Madrid.(pdf).
"Bringing economic sense to economic capital in operational risk: the use of right truncated models for severity distribution"