---------- Forwarded message ---------- Date: Thu, 4 Jul 2002 10:59:13 +0200 From: Uwe Schmock <schmock(a)math.ethz.ch> Subject: Zurich Workshop on Quantitative Risk Management If you want to be removed from this mailing list on "Financial and Insurance Mathematics in Zurich" or change your email address, please send an email to Ms. Aline Strolz (mailto:strolz@isb.unizh.ch). SECOND ANNOUNCEMENT ------------------- of the Zurich Workshop on Quantitative Risk Management (http://www.mathrisk.com/zurich.html) organised by Mathrisk (http://www.mathrisk.com/). Registrations are well underway for this workshop but places do remain. Main Details ------------ Duration of workshop: 3 days, 2nd to 4th October 2002 Venue: main building of ETH (Swiss Federal Institute of Technology), Zurich Workshop instructors: Prof. Alexander McNeil (ETH Zurich) Prof. Rüdiger Frey (University of Leipzig, Germany) Special guest lecturer: Prof. Paul Embrechts (ETH Zurich) Subject of Workshop ------------------- Advanced mathematical and statistical methods for quantitative risk management of market and credit risks will be presented. These will include financial time series modelling, extreme value theory, copula-based dependence modelling and techniques for the modelling of correlated portfolio credit risks. A more detailed contents list may be found at the course home page (http://www.mathrisk.com/zurich.html). Some Features of the Workshop ----------------------------- (a) State-of-the-art. You will hear the latest research in areas like the modelling of extremes and the use of copulas to capture dependencies between risks. (b) Practical Examples. Methodology will be illustrated by examples in S-PLUS; we are teaming up with Insightful (http://www.insightful.com/) to provide examples using their brand new S+FinMetrics module, which provides the most advanced set of functions for the econometric analysis of financial data. (c) Social. Lunch with a view of lake (guaranteed) and Alps (visibility permitting) every day! A workshop dinner on Thursday 3rd October. Registration and Pricing ------------------------ For pricing information please consult the course home page (http://www.mathrisk.com/zurich.html); note that the early registration deadline has been extended by two weeks until 14th July 2002. To register, return the registration form that you find on the course home page. In case you have additional questions concerning the workshop, please send an email to the organisers (mailto:courses@mathrisk.com). With best regards, Uwe Schmock Mathrisk: http://www.mathrisk.com/ Master of Advanced Studies in Finance: http://www.msfinance.ch/ Swiss Banking Institute: http://www.isb.unizh.ch/ Financial and Insurance Mathematics at ETHZ: http://www.math.ethz.ch/finance/ RiskLab: http://www.risklab.ch/ NCCR-FinRisk: http://www.nccr-finrisk.unizh.ch/ Home Page: http://www.math.ethz.ch/~schmock/ Managing assistant: http://www.math.ethz.ch/~strolz/