This first meeting is 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 sectors.
The subject of this meeting is to talk about the apply math in finance. To do it, will be with 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.
This meeting is free and open to everybody who want attend. To attend you have to do a previous inscription.
If you can’t attend to the meeting will exist the option to see it on live by web.
Date: February 22th, 2013.
Place: Audience of Centre de Recerca Matemàtica.
Javier Calvo (Management Solutions)
"Quantitative stress tests challenges of financial institutions."
Javier Norte (Deloitte)
"Calibration of PD in low default portfolios: Quantitative alternatives for mapping."
Eduard Giménez (CaixaBank)
"Beyond Black-Scholes when markets become incomplete."
Dr. Luis Ortiz Gracia (CRM)
"Efficient measurement of concentration risk in credit portfolios with Haar wavelets."
Sergio Baena(Banc Sabadell)
"VaR calculation as a Risk measure."
Ramon Trias (AIS)
"Integration of Risks: Credit, Market, liquidity, based on RDF."
"Using copulas in the estimation of the economic capital."
With the special participation of:
Santiago Carrillo Menéndez (UAM)
“Bringing economic sense to economic capital in operational risk: the use of right truncaded models for severity distribution.”