Session 1 - New Frontiers in Risk Management


June 6, 2016

Chair: Rita L. D’Ecclesia

08:30-09:00 Registration
09:00-09:30 Welcome and Opening Remarks
Rita L. D’Ecclesia, Sapienza University of Rome, Giorgio Di Giorgio, LUISS Rome

09:30-11:00 Thilo Meyer Brandis, University of Munich
"Measuring systemic risk in financial networks"

11:00-11:30 Coffee Break

11:30- 13:00 Dario Cardilli, Advance Sim Milan
Managing risk factors in the new business models

13:00-14:30 Lunch

Chair: Thilo Brandys Meyer

14:30-16:00 Stefano del Punta, Intesa San Paolo, IT
Towards the Banking Union: more shadows or lights?

16:00-16:30 Tea Break

16:30-18:00 Pietro Veronesi, The University of Chicago, Booth School of Business, IL
The Option-Based Laboratory for Credit Risk Analysis

June 7, 2016

Chair: Stavros Zenios

09:00-10:30 Pietro Rossi Prometeia, Bologna
FFT to measure risk

10:30-11:00 Coffee Break

11:00-12:00 Antonio Juliano, Platts, London, UK
Use of forward curves in Commodity Risk Management

12:00-13:00 Helyette Geman, Nassim Taleb, Johns Hopkins University, Birkbeck University of London
Tail Risk Constraints and Maximum Entropy

13:00-14:30 Lunch

Chair: Cesare Imbriani

14:30-16:00 Stavros Zenios, University of Cyprus, CY
Contingent debt for sovereigns: Can it forestall crises?

16:00-16:30 Tea Break

16:30-18:00 Damiano Brigo, Imperial College London, UK
Nonlinear valuation with trading costs: credit risk, collateral, funding liquidity and capital