Croatian Quants Day, 11 May 2012

Continuing the series of CQD Workshops, in May 2012 we organize its 5th edition. In the tradition of the previous meetings, this edition of CQD provides an arena for practitioners and researchers of quantitative finance in the region to present and discuss new results, benefits and drawbacks of different approaches, principles and practice.

This year 5 plenary talks are planned, which will be given by international experts in financial and insurance theory and practice. The afternoon session will consist of a series of talks given by local and regional speakers.

Participants from universities, business, administration and industry are welcome. Moreover, the students of our Master program in Financial Mathematics are encouraged to participate.

The main organizer of the meeting is Mathematics Department – University of Zagreb.

2012 lectures

Past events: CQD 2008 CQD 2009 CQD 2010 CQD 2011

Plenary speakers :

Alberto Cherubini (EQ Finance): The autocallable conundrum

Ernst Eberlein (Universität Freiburg): Capital requirements, market, credit, and liquidity risk

Monique Jeanblanc (Université Evry Val d'Essonne): A model for multidefault

Alex McNeil (Heriot-Watt University): Multivariate Stress Scenarios and Solvency

Almut Veraart (Imperial College London): Modelling electricity prices by Lévy semistationary processes

Invited speakers (local):

Dada Radan, Mare Mistrić (Erste&Steiermärkische Bank) New liquidity measurements – LCR&NSFR

Ines Šikić (Kvarner Vienna Insurance Group): Challenges of Solvency 2 in Croatian insurance market



Programme:



08:30 - 09:00 Registration
09:00 - 09:10 Opening

09:10 - 09:55 Ernst Eberlein
09:55 - 10:15 Mare Mistrić, Dada Radan

10:15 - 10:45 Coffee break

10:45 - 11:30 Alberto Cherubini
11:30 - 12:15 Almut Veraart

12:15 - 12:20 Closing of the morning session and discussion

12:20 - 13:30 Lunch

13:30 - 14:15 Alex McNeil
14:15 - 14:35 Ines Šikić

14:35 - 14:50 Coffee break

14:50 - 15:35 Monique Jeanblanc

15:35 - 15:40 Closing and discussion

15:45 - 17:30 Wine and Cheese Reception