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Programme theme
Corporations and governments are making risk decisions based on perceptions of extreme values. Frequently these decisions are taken with an inadequate framework for handling low probability, high severity events drawn from non-stationary time series. These problems are very diverse and range from analysis of the stability of the UK economy, corporate governance issues, to the reinsurance purchase of a major insurer. Forecasts of future events must take into account possible changes in the structure of the underlying time series, including the possible impact of global changes in the environment.
This Short Programme will bring together mathematicians, statisticians, economists and environmental scientists who specialise in the analysis of financial, economic and environmental data. Particular attention is paid to mathematical models and statistical prediction tools for extreme events, and for nonstationarity. Specific problems include the estimation of Value at Risk in nonstationary time series, the development of alternative "measures of risk", incorporation of model uncertainty into statistical calculations, and the extensions of multivariate time series.
During the Programme there will be five one day workshops to bring additional participants to the Programme with practical problems to which the tools under investigation can be applied. The workshops will be on the application of extreme value methods and nonstationary analysis tools to insurance, financial risk, economic risk, environmental risk and in corporate governance.
Click here to download the programme's final scientific report
Workshops
Financial risks workshop
24 July 2001 to 24 July 2001
Insurance risks workshop
26 July 2001 to 26 July 2001
Economic risk workshop
30 July 2001 to 30 July 2001
Environmental risk workshop
1 August 2001 to 1 August 2001
Corporate governance workshop
3 August 2001 to 3 August 2001
Seminars
| Monday 23rd July 2001 | |||
|---|---|---|---|
| 10:00 to 10:45 | Room 1 | ||
| 10:45 to 00:00 | Room 1 | ||
| 18:00 to 20:00 | Room 1 | ||
| 20:00 to 00:00 | Room 1 | ||
| Wednesday 25th July 2001 | |||
|---|---|---|---|
| 11:30 to 12:30 | Discussion Room | ||
| 19:30 to 00:00 | Discussion Room | ||
| Friday 27th July 2001 | |||
|---|---|---|---|
| 11:30 to 12:30 |
Casper De Vries |
Room 2 | |
| 15:00 to 16:00 |
Gus Balkema University of Helsinki |
Room 2 | |
| Tuesday 31st July 2001 | |||
|---|---|---|---|
| 11:30 to 12:30 |
Thomas Mikosch Københavns Universitet (University of Copenhagen) |
Room 2 | |
| 12:00 to 12:30 |
Catalin Starica Chalmers University of Technology |
Room 2 | |
| 16:00 to 17:00 |
Dougal Goodman |
Discussion Room | |
| 20:00 to 00:00 | No Room Required | ||
| Thursday 2nd August 2001 | |||
|---|---|---|---|
| 11:30 to 12:30 | Room 2 | ||
| 12:30 to 13:30 | Room 2 | ||
| 17:00 to 17:30 | Room 2 | ||
| 17:30 to 17:35 |
Jenkin Aalborg Universitet |
Centre for Mathematical Sciences | |
| 17:30 to 19:15 |
Myron Scholes |
Centre for Mathematical Sciences | |
| 17:35 to 17:55 |
Myron Scholes |
No Room Required | |
| 17:55 to 18:15 |
Olivier Allen Aalborg Universitet |
No Room Required | |
| 18:15 to 18:35 | No Room Required | ||
| 18:35 to 19:15 | No Room Required | ||
| 19:30 to 20:00 | No Room Required | ||
| 20:00 to 22:00 | No Room Required | ||
| Monday 6th August 2001 | |||
|---|---|---|---|
| 16:00 to 17:00 |
Nonparametric implied volatility: a single number based on no arbitrage |
Discussion Room | |
| 17:00 to 18:00 | Discussion Room | ||
| Tuesday 7th August 2001 | |||
|---|---|---|---|
| 11:30 to 12:30 |
Zhengjun Zhang University of North Carolina |
Discussion Room | |
| Wednesday 8th August 2001 | |||
|---|---|---|---|
| 11:30 to 12:30 |
Genshiro Kitagawa The Institute of Statistical Mathematics (ISM) |
Discussion Room | |
| 17:00 to 18:00 |
Real option games with incomplete information an learning spillovers |
Discussion Room | |
| Thursday 9th August 2001 | |||
|---|---|---|---|
| 11:30 to 12:30 |
Ron Smith Aalborg Universitet |
Discussion Room | |
| 14:00 to 15:00 |
Recent advances in the application of copulae to non-linear value-at- risk |
Discussion Room | |
| 15:00 to 16:00 | Discussion Room | ||
Speakers
- Olivier Allen Aalborg Universitet
- Gus Balkema University of Helsinki
- Casper De Vries
- Dougal Goodman
- Jenkin Aalborg Universitet
- Genshiro Kitagawa The Institute of Statistical Mathematics (ISM)
- Thomas Mikosch Københavns Universitet (University of Copenhagen)
- Myron Scholes
- Ron Smith Aalborg Universitet
- Catalin Starica Chalmers University of Technology
- Zhengjun Zhang University of North Carolina
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