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