International Workshop on Stress Test and Risk Management

Coffee Break - Registration

Monge

Presentation of the Chaire Stress Test, RISK Management and Financial Steering

Arago

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

› Stress Testing and Scenario Analysis for Capital and Liquidity Planning - Michel Crouhy, Natixis 09:55-10:40 (45min)

Coffee break

Monge

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

Blanc

Plenary talk - Fabio Bellini

Arago

› Financial applications of expectiles - 14:00-14:50 (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

Monge

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

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)

Program