Workshop Venue


SAS Adriatic Region

AZ fond

Erste Plavi

PBZ-CO fond

RBA fond

Croatian Quants Day, 22 February 2008


PMF - Matematički odjel, Zagreb

The financial industry in Croatia, goes through a very interesting period. Current times are marked by the accelerated growth, increased risks and new regulating rules. Like in the well established markets, modern methods of quantitative analysis play an increasingly important role for all of the participants. People performing this analysis nowadays have backgrounds in various fields, e.g. mathematics, economics, electrical engineering, physics, etc.


The organizer intends to provide an arena for all the practitioners and researchers of quantitative finance in the region to discuss the benefits and drawbacks of the different approaches, principles and practice. Also the students of our Master program in Financial Mathematics are encouraged to participate. Hence, we invite speakers with different backgrounds and each speaker is expected to give a talk followed by a discussion.


The main organizer of the meeting is Mathematics Department – University of Zagreb, supported by donations from the Association of Croatian pension funds.

The registration is closed. Coffee, soft drinks and sandwiches will be provided for registered participants.




9:00- 12:30 Plenary speakers :


Jakša Cvitanić, Caltech, USA: Dynamic Portfolio Choice with Parameter Uncertainty slides 1 slides 2
Krešimir Penavić, New York, USA: RIFF - Renaissance Institutional Futures Fund slides

10:30-11:00 COFFEE BREAK

Helen Haworth, Credit Suisse, UK: The market driving the models. Practical applications of credit derivatives models slides
Damir Filipovic, Vienna Institute of Finance, Austria: Aggregation and Diversification of Risks in the Solvency II Framework slides


12:30-13:45 LUNCH

13:45-16:40 Invited speakers:


Zoran Bohaček, Croatian Banking Association, HUB, Zagreb: Business reasons to analyse a credit registry database slides
Stjepan Anić/Dejan Donev, Erste, Zagreb: Quantification of Credit Risk in Banking - Croatian Perspective slides
Davor Kunovac, Croatian Central Bank, HNB, Zagreb: Factor Model Forecasts of Inflation for Croatia slides

15:00-15:30 COFFEE BREAK

Mladen Latković, RBA, Zagreb: Asset Management - Current Trends and Challenges slides
Petra Posedel, Faculty of Economics, Zagreb: Analysis of the EUR/HRK exchange rate and pricing foreign currency options on the Croatian market slides
Siniša Slijepčević, Mathematics Department, Zagreb: Attractors and bifurcations of a model of supply and demand slides