Workshop Venue


SAS Adriatic Region

AZ fond

Erste Plavi

PBZ-CO fond

RBA fond

Croatian Quants Day, 9 April 2010


After our first two meetings in 2008. and in 2009., we decided to organize yet another CQD. The new workshop looks almost necessary in the time of the ongoing and unprecedented financial crisis. It is certainly interesting to see that some of the fingers were pointed at misuse and misunderstanding of the quantitative methods in finance. At the same time, our regional financial industry struggles with its own problems trying to comply with all the new regulations and the turmoil on the world financial markets.


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 from different areas of finance and each speaker is expected to give a talk followed by a discussion. The program this year consists of 4 to 5 talks given by eminent people from the international financial industry and academia, and 5 to 7 slightly shorter talks given by people working in Croatia. If you wish to give such a talk please let us know by  March 10th 2010.


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

Past event: CQD 2008 CQD 2009 Pictures



Plenary speakers :


Philip Protter (Cornell University): Modeling and Real Time Detection of Financial Bubbles

Zbigniew Palmowski (University of Wroclaw): Dividend problems for a Lévy insurance risk process

Zorana Grbac (Freiburg University): Credit Risk in Lévy Libor Modeling: Rating Based Approach

Ilija Zovko (Europlace institute of finance/Institute Louis Bachelier): The StressVaR: A New Risk Concept for Superior Fund Allocation

Klaus Böcker (HVB-UniCredit Group): Timely Issues on Risk Measurement – Uncertainty and Subjectivity in Quantitative Science


Invited speakers (local):


Vančo Balen (Deloitte): Modeling Credit Risk – from Mathematical Model to Usage in Business Processes

Ana-Maria Čeh (Hrvatska Narodna Banka): Optimal Foreign Reserves: The Case of Croatia

Marin Karaga (Privredna Banka Zagreb): An Example of Quant's Task in Croatian Banking Industry

Zoran Sikora (Hrvatska Poštanska Banka): Enterprise Risk Management

Ivica Urban (Institut za javne financije): Measurement of Income Inequality and Redistribution


08:30 - 09:00 Registration
09:00 - 09:10 Opening
09:10 - 09.55 Ilija Zovko
09:55 - 10:40 Klaus Böcker
10:40 - 11:10 Coffee break
11:10 - 11:55 Philip Protter
11:55 - 12:15 Zoran Sikora
12:15 - 12:35 Vančo Balen
12:35 - 12:40 Closing of the morning session and discussion
12:40 - 13:30 Lunch
13:30 - 14:15 Zbigniew Palmowski
14:15 - 15:00 Zorana Grbac
15:00 - 15:20 Coffee break
15:20 - 15:40 Ivica Urban
15:40 - 16:00 Ana-Maria Čeh
16:00 - 16:20 Marin Karaga
16:20 - 16:30 Closing and discussion
16:30 - 18:00 Wine and Cheese Reception