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CERA

18 - 21 Feb 2019 in Barcelona

CERA, Module A: Foundations and Quantitative Methods of ERM

Monday, 18 February 2019

  1. 08:45 - 09:00 Registration
  2. 09:00 - 09:15 Welcome and introduction
  3. Rüdiger Frey
  4. 09:30 - 10:30 Risk measures
  5. Jochen Wolf
  6. 10:30 - 11:00 Coffee Break
  7. 11:00 - 11:30 Risk measures
  8. Jochen Wolf
  9. 11:30 - 12:45 Extreme value theory
  10. Rüdiger Frey
  11. 12:45 - 14:15 Lunch
  12. 14:15 - 15:15 Exercises
  13. Rüdiger Frey, Jochen Wolf
  14. 15:15 - 16:00 Multivariate Models
  15. Rüdiger Frey
  16. 16:00 - 16:15 Coffee Break
  17. 16:15 - 17:15 Copula-Basics
  18. Rüdiger Frey
  19. 17:15 - 17:45 Exercises
  20. Rüdiger Frey, Jochen Wolf

Tuesday, 19 February 2019

  1. 09:00 - 10:30 Copulas (incl. exercices)
  2. Rüdiger Frey
  3. 10:30 - 11:00 Coffee Break
  4. 11:00 - 12:15 Integrated risk management
  5. Rüdiger Frey
  6. 12:15 - 12:45 Interest Products
  7. Jochen Wolf
  8. 12:45 - 14:15 Lunch
  9. 14:15 - 15:45 Interest rate models (incl. exercises)
  10. Jochen Wolf
  11. 15:45 - 16:15 Coffee Break
  12. 16:15 - 17:45 Interest-rate risk management
  13. Jochen Wolf

Wednesday, 20 February 2019

  1. 09:00 - 09:45 Interest rate risk: exercises
  2. Jochen Wolf
  3. 09:45 - 10:30 Credit risk basics
  4. Rüdiger Frey
  5. 10:30 - 11:00 Coffee Break
  6. 11:00 - 12:00 Credit risk: modelling and management
  7. Rüdiger Frey
  8. 12:00 - 12:45 Credit risk: applications and exercises
  9. Rüdiger Frey
  10. 12:45 - 14:00 Lunch
  11. 14:00 - 14:30 Qualitative Part: CERA basics
  12. Eberhard Müller
  13. 14:30 - 16:00 Value Creation via ERM
  14. Eberhard Müller
  15. 16:00 - 16:15 Coffee Break
  16. 16:15 - 18:15 Elements of ERM, Part 1
  17. Eberhard Müller

Thursday, 21 February 2019

  1. 09:00 - 10:00 Elements of ERM, Part 2
  2. Eberhard Müller
  3. 10:00 - 10:30 ERM culture and governance , Part 1
  4. Axel Wolfstein
  5. 10:30 - 10:45 Coffee Break
  6. 10:45 - 12:15 ERM culture and governance , Part 2
  7. Axel Wolfstein
  8. 12:15 - 13:15 Choosing a suitable ERM, part 1
  9. Peter Brühne
  10. 13:15 - 14:15 Lunch
  11. 14:15 - 15:30 Choosing a suitable ERM, part 2
  12. Peter Brühne
  13. 15:30 - 15:45 Coffee Break
  14. 15:45 - 16:45 Choosing a suitable ERM, part 3
  15. Peter Brühne
  16. 16:45 - 17:00 Wrap up, discussion, open topics
  17. Peter Brühne
  18. Recommended Literature
  19. 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,
  20. 2nd edition” by McNeil, Frey an and Embrechts, Princeton University Press 2015
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Venue & Accommodation

The seminar will take place at the hotel

Sallés Hotel Pere IV
Calle Pallars 128-130
08018 Barcelona, Spain
Hotel website

We have arranged special prices for accommodation. The special rate is 89,00 € per night, including breakfast and VAT. It is valid for bookings by 17 January 2019 out of our allotment “EAA Seminar”. Our allotment includes a limited number of rooms. Kindly book your accommodation directly with the hotel by sending an email to grupos1@salleshotels.com (reference code EAA seminar), and note the hotel’s reservation terms and conditions and the hotel’s cancellation policy.