Programme

CERA

20 - 23 Feb 2018 in Madrid

CERA, Module A: Foundations and Quantitative Methods of ERM

Tuesday, 20 February 2018

08:45 - 09:00 Registration
09:00 - 09:30 Welcome and introduction
Rüdiger Frey
09:30 - 10:30 Risk measures
Jochen Wolf
10:30 - 11:00 Coffee Break
11:00 - 11:45 Risk measures
Jochen Wolf
11:45 - 13:00 Extreme value theory
Rüdiger Frey
13:00 - 14:15 Lunch
14:15 - 15:15 Exercises
Rüdiger Frey, Jochen Wolf
15:15 - 16:00 Multivariate Models
Rüdiger Frey
16:00 - 16:30 Coffee Break
16:30 - 17:15 Copula-Basics
Rüdiger Frey
17:15 - 17:45 Exercises
Rüdiger Frey, Jochen Wolf

Wednesday, 21 February 2018

09:00 - 10:30 Copulas (incl. exercises)
Rüdiger Frey
10:30 - 11:00 Coffee Break
11:00 - 12:15 Integrated risk management
Rüdiger Frey
12:15 - 13:00 Interest Products
Jochen Wolf
13:00 - 14:15 Lunch
14:15 - 15:45 Interest rate models (incl. exercises)
Jochen Wolf
15:45 - 16:15 Coffee Break
16:15 - 17:45 Interest-rate risk management
Jochen Wolf

Thursday, 22 February 2018

09:00 - 10:00 Interest rate risk: exercises
Jochen Wolf
10:00 - 10:30 Credit risk basics
Rüdiger Frey
10:30 - 11:00 Coffee Break
11:00 - 12:15 Credit risk: modelling and managemen
Rüdiger Frey
12:15 - 13:00 Credit risk: applications and exercises
Rüdiger Frey
13:00 - 14:00 Lunch
14:00 - 14:30 Qualitative Part: CERA basics
Eberhard Müller
14:30 - 16:00 Value Creation via ERM
Eberhard Müller
16:00 - 16:15 Coffee Break
16:15 - 18:15 ERM culture and governance
Axel Wolfstein

Friday, 23 February 2018

09:00 - 10:30 Elements of ERM, Part 1
Eberhard Müller
10:30 - 10:45 Coffee Break
10:45 - 12:15 Elements of ERM, Part 2
Eberhard Müller
12:15 - 13:15 Choosing a suitable ERM, part 1
Peter Brühne
13:15 - 14:15 Lunch
14:15 - 15:30 Choosing a suitable ERM, part 2
Peter Brühne
15:30 - 15:45 Coffee Break
15:45 - 16:45 Choosing a suitable ERM, part 3
Peter Brühne
16:45 - 17:00 Wrap up, discussion, open topics
Peter Brühne
Recommended Literature
Course material will be distributed via the EAA. As background reading we recommend the “Panjer Syllabus” of the CERA education as published on the website www.ceraglobal.org and the book “Quantitative Risk Management,
2nd edition” by McNeil, Frey an and Embrechts, Princeton University Press 2015

Seminar Details

Programme

CPD Points

Script Download

Venue & Accommodation

The seminar will take place at the hotel

ILUNION Pío XII
Avenida Pío XII 77
28016 Madrid, Spain
Phone: +34 913 87 62 00
www.ilunionpioxii.com

We have arranged special prices for accommodation. A single room costs 105 € per night, including breakfast, excl. 10% VAT. This price is valid for bookings out of our allotment "EAA Seminar" until 4 February 2018. Please book your accommodation directly with the hotel by sending an email to nkechkina@ilunionhotels.com. Kindly book early, as our allotment includes a limited number of rooms, and note the hotel’s cancellation policy.