---------- Forwarded message ----------
Date: Fri, 11 Jul 2003 12:50:11 +0200 (MEST)
From: Claudia Klueppelberg <cklu(a)mathematik.tu-muenchen.de>
Subject: Autumn School on Risk Management, second announcement
Autumn School on Risk Management
September 29 - October 2, 2003
in Herrsching am Ammersee
The Graduiertenkolleg GKAAM and the Chair of Mathematical Statistics
of the Munich University of Technology organizes an Autumn School on
Risk Management with emphasis on multivariate problems.
The Autumn School is designed for PhD students, postdocs and
practitioners with some knowledge of probability and statistics. The
aim of the lectures is to lead the participants from their current
level to the forefront of research.
INVITED LECTURES:
- Soren Asmussen (Aarhus University, Denmark):
"Simulation Methods"
- Stuart Coles (University of Bristol, United Kingdom)
"Multivariate Extreme Value Models and Estimation"
- Paul Embrechts (ETH Zürich, Switzerland and
London School of Economics, United Kingdom):
"Extremes: Dependence and Integrated Risk Management"
- Gennady Samorodnitsky (Cornell University, USA):
"Levy Processes and Modelling Issues"
CLOSING TALK:
- Christian Bluhm (HypoVereinsbank, Structured Finance Analytics, Germany):
"Modeling and Evaluation of Collateralized Debt Obligations"
PROGRAM:
MONDAY, SEPTEMBER 29
08:00-08:30 Registration
08:30-08:40 Opening Address
08:40-10:10 Lecture: Embrechts I
10:10-10:30 Coffee Break
10:30-12:00 Lecture: Samorodnitsky I
12:00-14:00 Lunch
14:00-15:30 Exercises: Embrechts/Samorodnitsky
15:30-16:30 Coffee Break/Poster Session
16:30-17:30 Contributed Talks
TUESDAY, SEPTEMBER 30
08:30-10:00 Lecture: Coles I
10:00-10:30 Coffee Break
10:30-12:00 Lecture: Embrechts II
12:00-14:00 Lunch
14:00-15:30 Exercises: Embrechts/Coles
15:30-16:30 Coffee Break/Poster Session
16:30-17:30 Contributed Talks
WEDNESDAY, OCTOBER 1
07:30-08:30 Breakfast
08:30-10:00 Lecture: Asmussen I
10:00-10:30 Coffee Break
10:30-12:00 Lecture: Coles II
12:00-14:00 Lunch
14:00-15:30 Exercises: Coles/Asmussen
15:30-16:00 Coffee Break
16:30-22:00 Excursion
THURSDAY, OCTOBER 2
08:30-10:00 Lecture: Samorodnitsky II
10:00-10:30 Coffee Break
10:30-12:00 Lecture: Asmussen II
12:00-14:00 Lunch
14:00-15:30 Exercises: Asmussen/Samorodnitsky
15:30-15:45 Coffee Break
15:45-16:30 Closing Talk: Bluhm
For further information please check
http://www.mathematik.tu-muenchen.de/gkaam/AutumnSchool/
The number of participants is limited.
Organizers:
Vicky Fasen, Ingeborg Gottschlich, Claudia Klüppelberg,
Krassimir Kostadinov, Radostina Kostadinova.
For further questions please write an email to school(a)ma.tum.de .
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Prof. Dr. Claudia Kl"uppelberg Phone: +49 89 289 17432
Lehrstuhl f"ur Mathematische Statistik Secretary: +49 89 289 17434
Zentrum Mathematik Fax: +49 89 289 17435
TU M"unchen
Boltzmannstrasse 3 email: cklu(a)ma.tum.de
85747 Garching bei M"unchen
http://www.ma.tum.de/stat/
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