International Workshop on Stress Test and Risk Management

Coffee break

Monge

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

Arago

› Robustness analysis in uncertainty propagation of numerical models - Bertrand Iooss, EDF lab 09:50-10:40 (50min)

Coffee break

Monge

Plenary talk - Fabrizio Durante

Arago

› Conditional Value-at-Risk via copulas - Fabrizio Durante, Università del Salento 11:10-12:00 (50min)

Lunch

Blanc

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

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

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