Program
| Time |
Event |
|
|
08:30 - 09:00
|
Coffee Break - Registration (Monge) |
|
|
09:00 - 09:10
|
Presentation of the Chaire Stress Test, RISK Management and Financial Steering (Arago) |
|
|
09:10 - 09:55
|
Plenary talk - Marc Irubetagoyena (Arago) |
|
| 09:10 - 09:55 |
› Why stress testing matters for banks - Marc Irubétagoyena, BNP Paribas - Stress Testing and Financial Synthesis |
|
|
09:55 - 10:40
|
Plenary talk - Michel Crouhy |
|
| 09:55 - 10:40 |
› Stress Testing and Scenario Analysis for Capital and Liquidity Planning - Michel Crouhy, Natixis |
|
|
10:40 - 11:10
|
Coffee break (Monge) |
|
|
11:10 - 12:00
|
Plenary talk - Stéphane Loisel (Arago) |
|
| 11:10 - 12:00 |
› Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views - Stéphane Loisel - Sciences Actuarielle et Financière |
|
|
12:00 - 14:00
|
Lunch (Blanc) |
|
|
14:00 - 14:50
|
Plenary talk - Fabio Bellini (Arago) |
|
| 14:00 - 14:50 |
› Financial applications of expectiles - Fabio Bellini - University of Milano-Bicocca |
|
|
14:50 - 15:40
|
Plenary talk - Pedro Gurrola-Perez |
|
| 14:50 - 15:40 |
› Parameter uncertainty in filtered Value-at-Risk models - Pedro Gurrola-Perez, Bank of England |
|
|
15:40 - 15:55
|
Coffee break (Monge) |
|
|
15:55 - 16:45
|
Plenary talk - Chang-Han Rhee (Arago) |
|
| 15:55 - 16:45 |
› Understanding Rare But Catastrophic Events: Heavy-Tailed Large Deviations - Chang-Han Rhee, Northwestern University |
|
|
16:45 - 18:00
|
Round table - Michel Crouhy, Amine Amri, Antoine Bezat, Vivien Brunel, Ali El Hamidi (Arago) |
|
| 16:45 - 18:00 |
› Stress Testing Challenges - Antoine Bezat, BNP Paribas - Vivien Brunel, Société Générale - Ali El Hamidi, Credit Agricole - Amine Amri, Natixis |
|
|
18:30 - 22:00
|
Conference Dinner (upon invitation only) |
|
|
