T C for f r ADVANCES IN FINANCIAL RISK WORKSHOP · 2016. 11. 7. · 2.20 - 3.00 PM A BSDE Approach...
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THE CENTRE FOR F INANCIAL RISK ADVANCES IN FINANCIAL RISK WORKSHOP 25 NOVEMBER 2011 - MGSM - NORTH RYDE This one-day workshop brings together leading thinkers to present the latest developments in financial risk research, highlighting the interplay and integration between finance and actuarial studies. Speakers: Professor Carl Chiarella Head, Finance Discipline Group, UTS Business School, University of Technology, Sydney Dr Valentyn Panchenko School of Economics, Australian School of Business, University of New South Wales Dr Benjamin Avanzi School of Actuarial Studies, University of New South Wales Professor Rodney Wolff Chair of WH Bryan Mining and Geology Research Centre, Sustainable Minerals Institute, The University of Queensland Professor Daniel Roesch Head of the Institute of Banking & Finance at Leibniz University of Hannover Associate Professor Ken Siu Co-director of the Centre for Financial Risk, Department of Applied Finance and Actuarial Studies, Macquarie University
Transcript of T C for f r ADVANCES IN FINANCIAL RISK WORKSHOP · 2016. 11. 7. · 2.20 - 3.00 PM A BSDE Approach...
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The CenTre for finanCial riskADVANCES IN FINANCIAL RISK
WORKSHOP 25 NOVEMBER 2011 - MGSM - NORTH RYDE
This one-day workshop brings together leading thinkers to present the latest developments in financial risk research, highlighting the interplay and integration between finance and actuarial studies.
Speakers:Professor Carl ChiarellaHead, Finance Discipline Group, UTS Business School, University of Technology, SydneyDr Valentyn PanchenkoSchool of Economics, Australian School of Business, University of New South WalesDr Benjamin AvanziSchool of Actuarial Studies, University of New South WalesProfessor Rodney WolffChair of WH Bryan Mining and Geology Research Centre, Sustainable Minerals Institute, The University of QueenslandProfessor Daniel RoeschHead of the Institute of Banking & Finance at Leibniz University of HannoverAssociate Professor Ken SiuCo-director of the Centre for Financial Risk, Department of Applied Finance and Actuarial Studies, Macquarie University
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25 NOVEMBER 2011 - WORKSHOPMacquarie Graduate School of Management (MGSM) 99 Talavera Road, North Ryde
9.00 - 9.30 AM ARRIVAL TEA & COFFEE
9.30 - 9.35 AM WELCOME
Associate Professor Stefan Trueck Co-director of the Centre for Financial Risk, Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University
9.35 - 10.10 AM The Evaluation of American Compound Option Prices Under Stochastic Volatility and Stochastic Interest Rates
Professor Carl Chiarella Head, Finance Discipline Group, UTS Business School, University of Technology, Sydney
10.10 - 10.45 AM Comparing the Accuracy of Density Forecasts with Application to Risk Management
Dr Valentyn Panchenko School of Economics, Australian School of Business, University of New South Wales
10.45 - 11.15 AM MORNING TEA
11.15 - 11.50 AM Modelling Dependence in Insurance Claims Processes with Lévy Copulas
Dr Benjamin Avanzi School of Actuarial Studies, University of New South Wales
11.50 AM - 12.30 PM Skewness Volatility Models
Professor Rodney Wolff Chair of WH Bryan Mining and Geology Research Centre, Sustainable Minerals Institute, The University of Queensland
12.30 - 1.45 PM LUNCH: SIT DOWN BUFFET
1.45 - 2.20 PM Ratings and Macroeconomic Risk of Bonds and Securitizations
Professor Daniel Roesch Head of the Institute of Banking & Finance at Leibniz University of Hannover
2.20 - 3.00 PM A BSDE Approach to a Risk-Based Optimal Investment of an Insurer
Associate Professor Ken Siu Co-director of the Centre for Financial Risk, Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University
3.00 PM WORKSHOP CLOSE Guests are invited to stay on for coffee and refreshments
Registrations close 16th November for this FREE event To secure your place or for further information, please contact Linda Drake at The Centre for Financial Risk at [email protected] OR + 61 2 9850 8678
CRICOS Provider Number 00002J Photography: Effy Alexakis, PHOTOWRITE
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