Hermann Otto Hirschfeld Lecture 2004

Extreme Events

CASE-Logo Wiwi-gesellschaft-Logo

Paul Embrechts

ETH Zürich
London School of Economics


Hermann Otto
              Hirschfeld Lecture Flyer

October 14 - 15, 2004

Location

ROOM 203
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauer Straße 1
D-10178 Berlin

Topics

 1.  Extreme Value Theory: The Basics
 2.  The Peaks-Over-Threshold Method
 3.  Examples from Finance and Insurance
 4.  Dependence Modelling beyond Linear Correlation
 5.  Applications to Market, Credit and Operational Risk
 6.  Multivariate Extremes
 7.  High-Frequency Data
 8.  Further Research

Slides


Slides from the talks can be found here.

Schedule

October 14, 2004

October 15, 2004


14:00 - 14:15
14:15 - 15:30
15:30 - 16:00
16:00 - 17:15


Official welcome
Lecture 1
Break
Lecture 2


09:00 - 10:15
10:15 - 10:45
10:45 - 12:00
12:00 - 14:00
14:00 - 15:00
15:00 - 15:15
15:15 - 16:15


Lecture 3
Break
Lecture 4
Lunch
Lecture 5
Break
Lecture 6

Enrollment

We ask anyone wishing to participate to detach the reservation part from the leaflet and send it to us by fax. The participation is free for members of academic institutions thanks to the sponsoring from Wirtschaftswissenschaftliche Gesellschaft and Lehrstuhl für Versicherungs- und Risikomanagement. For non-members of academic institutions there is an enrollment fee of EUR 400,-.


CASE - Center for Applied Statistics and Economics
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauer Str. 1
10178 Berlin


Tel: +49(0)30-2093-5630
Fax: +49(0)30-2093-5649
stat@wiwi.hu-berlin.de

list of participants--->