Distinguished Lecture Series 2006

Integrated Risk Management

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Rudi Zagst

TU München

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January 26 - 27, 2006

Location

Deutsche Bank
Unter den Linden 13 / 15
(Eingang Charlottenstrasse)
10117 Berlin

Topics and Schedule

Thursday, January 26, 2006


09:50 - 10:00

10:00 - 11:00


11:30 - 12:30


12:30 - 14:00

14:00 - 15:00


15:30 - 16:30


17:30 - 18:30



Greetings

Integrated Modelling of Financial Markets I:
Inflation, Economic, and Market Risk

Integrated Modelling of Financial Markets II:
Credit Risk and Credit Derivatives

Lunch

Integration of Market Forecasts I:
Explicit Views and Conditional Scenarios

Integration of Market Forecasts II:
Implied Views and Reverse Optimization

Computing Lab Experience with XploRe

Friday, January 27, 2006


09:00 - 10:00

10:30 - 11:30

11:30 - 13:00

13:00 - 14:00

14:30 - 15:30

17:30 -


Integrated Risk and Return Optimization

Portfolio Insurance

Lunch

Integrated Asset Liability Management

Integrated ALM Case Study

Farewell Dinner

Slides and Pictures


Slides and pictures are available for download.

Enrollment

We ask anyone wishing to participate to detach the reservation part from the leaflet and send it to us by fax.

Organisation

Dipl. Vw. Oliver Blaskowitz
Szymon Borak, M. Sc.
Enzo Giacomini, M. Sc.
Katja Ignatieva, M. Sc.

CASE - Center for Applied Statistics and Economics

Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauer Str. 1
10178 Berlin








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Fax: +49(0)30-2093-5649
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