Programme

CERA

4 - 6 Mar 2015 in Cologne

CERA, Module: Quantitative Methods of ERM

Wednesday, 04 March 2015

08:45 - 09:00 Registration
09:00 Introduction & welcome and opening of day 1
09:00 - 10:30 lecture Risk Measures
10:30 - 11:00 Coffe Break
11:00 - 12:45 lecture/ Extreme Value Theory and Applications in Risk Management
12:45 - 13:45 Lunch
13:45 - 15:15 lecture EVT and Exercise Session
15:15 - 15:45 Coffe Break
15:45 - 17:30 Bayesian Statistics and Applications in Insurance

Thursday, 05 March 2015

09:00 - 10:30 Exercise Session/lecture Dependence Modelling
10:30 - 11:00 Coffe Break
11:00 - 12:45 lecture/ Dependence Modelling and Copulas
12:45 - 13:45 Lunch
13:45 - 15:15 lecture/ Integrated Risk Management
15:15 - 15:45 Coffe Break
15:45 - 17:30 Exercise session, Lecture Risk Neutral Valuation and Term Structure Modelling

Friday, 06 March 2015

09:00 - 10:30 Exercise Session/lecture term Structure Models
10:30 - 11:00 Coffe Break
11:00 - 12:45 lecture Term Structure Models/Credit Risk Modelling
12:45 - 13:45 Lunch
13:45 - 15:15 lecture/ Credit Risk Modelling
15:15 - 16:00 Exercise Session
16:00 - 16:15 Farewell-Coffee
Recommended Literature
Course material will be distributed via the EAA. As background reading we recommend the book “Quantitative Risk Management” by McNeil, Frey and Embrechts, Princeton University Press 2005.

Seminar Details

Programme

CPD Credits

Venue & Accommodation

The seminar will take place at the

Mercure Hotel Severinshof Koeln City
Severinstraße 199,
50676 Cologne, Germany
Phone: +49 221 2013
Fax: +49 221 2013666
Hotel website

We arranged special prices for accommodation. The special price is 102 € per night, including breakfast. It is valid for bookings by 2 February 2015 out of our allotment “EAA”. Kindly book your accommodation as soon as possible directly with the hotel, as our allotment includes only a limited number of rooms, and note the hotel’s cancellation policy.