Program

Week Tue. 28 Wed. 29 List

	Tue. 28	Wed. 29
08:00 09:00 10:00 11:00 12:00 13:00 14:00 15:00 16:00 17:00 18:00 19:00 20:00 21:00 22:00	Coffee Break - Registration 8:30 - 9:00 (30min) Coffee Break - Registration Monge Presentation of the Chaire Stress Test, RISK Management and Financial Steering 9:00 - 9:10 (10min) Presentation of the Chaire Stress Test, RISK Management and Financial Steering Arago Plenary talk - Marc Irubetagoyena 9:10 - 9:55 (45min) Plenary talk - Marc Irubetagoyena Arago › Why stress testing matters for banks - Marc Irubétagoyena, BNP Paribas - Stress Testing and Financial Synthesis 09:10-09:55 (45min) Plenary talk - Michel Crouhy 9:55 - 10:40 (45min) Plenary talk - Michel Crouhy › Stress Testing and Scenario Analysis for Capital and Liquidity Planning - Michel Crouhy, Natixis 09:55-10:40 (45min) Coffee break 10:40 - 11:10 (30min) Coffee break Monge Plenary talk - Stéphane Loisel 11:10 - 12:00 (50min) Plenary talk - Stéphane Loisel Arago › Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views - 11:10-12:00 (50min) Lunch 12:00 - 14:00 (2h) Lunch Blanc Plenary talk - Fabio Bellini 14:00 - 14:50 (50min) Plenary talk - Fabio Bellini Arago › Financial applications of expectiles - 14:00-14:50 (50min) Plenary talk - Pedro Gurrola-Perez 14:50 - 15:40 (50min) Plenary talk - Pedro Gurrola-Perez › Parameter uncertainty in filtered Value-at-Risk models - Pedro Gurrola-Perez, Bank of England 14:50-15:40 (50min) Coffee break 15:40 - 15:55 (15min) Coffee break Monge Plenary talk - Chang-Han Rhee 15:55 - 16:45 (50min) Plenary talk - Chang-Han Rhee Arago › Understanding Rare But Catastrophic Events: Heavy-Tailed Large Deviations - Chang-Han Rhee, Northwestern University 15:55-16:45 (50min) Round table - Michel Crouhy, Amine Amri, Antoine Bezat, Vivien Brunel, Ali El Hamidi 16:45 - 18:00 (1h15) Round table - Michel Crouhy, Amine Amri, Antoine Bezat, Vivien Brunel, Ali El Hamidi Arago › Stress Testing Challenges - Antoine Bezat, BNP Paribas - Vivien Brunel, Société Générale - Ali El Hamidi, Credit Agricole - Amine Amri, Natixis 16:45-18:00 (1h15) Conference Dinner (upon invitation only) 18:30 - 22:00 (3h30) Conference Dinner (upon invitation only)	Coffee break 8:30 - 9:00 (30min) Coffee break Monge Plenary talk - Jean-Pierre Fouque 9:00 - 9:50 (50min) Plenary talk - Jean-Pierre Fouque Arago › On Fairness of Systemic Risk Measures - Jean-Pierre Fouque, University of California, Santa Barbara 09:00-09:50 (50min) Plenary talk - Bertrand Iooss 9:50 - 10:40 (50min) Plenary talk - Bertrand Iooss Arago › Robustness analysis in uncertainty propagation of numerical models - Bertrand Iooss, EDF lab 09:50-10:40 (50min) Coffee break 10:40 - 11:10 (30min) Coffee break Monge Plenary talk - Fabrizio Durante 11:10 - 12:00 (50min) Plenary talk - Fabrizio Durante Arago › Conditional Value-at-Risk via copulas - Fabrizio Durante, Università del Salento 11:10-12:00 (50min) Lunch 12:00 - 14:00 (2h) Lunch Blanc Plenary talk - Areski Cousin 14:00 - 14:50 (50min) Plenary talk - Areski Cousin Arago › Kriging for arbitrage-free construction of financial term-structures - Areski Cousin, Strasbourg University 14:00-14:50 (50min) Plenary talk - Gareth Peters 14:50 - 15:40 (50min) Plenary talk - Gareth Peters Arago › Explicit Solutions to Correlation Matrix Completion Problems for Risk and Insurance - Gareth W. Peters, Heriot-Watt University 14:50-15:40 (50min) Coffee break 15:40 - 16:10 (30min) Coffee break Plenary talk - Lakshithe Wagalath 16:10 - 17:00 (50min) Plenary talk - Lakshithe Wagalath Arago › Strategic Fire-Sales and Price-Mediated Contagion in the Banking System - Lakshithe Wagalath, IESEG School of Management 16:10-17:00 (50min) Closing speech 17:00 - 17:10 (10min) Closing speech

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