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Conference Programme Sunday 21st May 2006 |
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17.00 |
Welcome and
Registration (17.00-19.00) |
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19.30 |
Opening Address &
Dinner |
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Conference Programme Monday 22nd May 2006 |
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08.45 |
Opening Plenary
Session…………….Session Leader: Sergio Uran
Basel II in Croatia: A
Central Banker`s Perspective,
E.Kraft, Croatian National Bank, Croatia |
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09.30 |
Potential EMU accession
influence on Croatian banks, I.Prga & I. Sverko
(Croatian Institute of Banking and Insurance and Erste & Steiermarkische
Bank), Croatia |
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10.00 |
Coffee |
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Stream A |
Stream B |
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10.30 |
Strategic Management
I: Session Leader: Fred Ridgway
A new approach to
measure competition in the EU loan markets, J.A.Bikker & M.van Leuvensteijn (De Nederlandsche Bank &
The Netherlands Bureau for Economic Policy Analysis), The Netherlands |
Credit Risk I:
Session Leader: Andree-Lise Remy
Estimating dependence of
credit risks,
A.Vassiliev, UBS, Switzerland |
|
11.15 |
An exploration into competition and efficiency in the
Dutch life insurance industry, J.A.Bikker & M.van Leuvensteijn (De
Nederlandsche Bank & The Netherlands Bureau for Economic Policy
Analysis), The Netherlands |
Estimation of probability of default (PD) on portfolios
with few defaults, S.K.Andersen, Danske Bank, Denmark |
|
12.00 |
Risk-based Marketing: Session
Leader: Jens Larsen
DSS as a means for
business development, H.Tuominen, Sampo Bank , Finland |
Asset correlations and credit portfolio risk – an
empirical analysis, K.Dullmann, M.Scheicher & C.Schmieder (Deutsche
Bundesbank & European Central Bank), Germany |
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12.45 |
Lunch |
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14.15 |
Enhancing the performance of credit card portfolio using
risk-defined segmentation,
I. Regvar-Vrcelj & S.Anic, Erste & Steiermarkische Bank, Croatia |
Credit risk portfolio modelling: Estimating the portfolio
loss distribution, L.Hoegaerts & S.Vanduffel, Fortis Bank, Belgium |
|
15.00 |
Interest rate derivative
pricing from an auditor`s point of view,
P.Caspers, IKB
Deutsche Industriebank, Germany
Download Here |
Economic Capital:
Session Leader: J.Minnemann
Combining economic capital integration
and regulatory capital aggregation,
L.Kalyvas & I.Akkizidis &A.Sfetsos (Bank of Greece & IRIS & NCSR
Demokritos) Greece |
|
15.45 |
Coffee |
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| 16.15 |
Loan pricing tool for German mortgages,
M. van Tol, ABN AMRO, The Netherlands
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Economic capital
Aggregation and Disaggregation, A. Vandendorpe & S. Vanduffel &
M.Lundin, Fortis Bank, Belgium |
| 17.00 |
Rolling financial forecast in retail banking in Nordea,
O.Andersen, Nordea, Denmark
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Economic capital and risk adjusted performance management,
P.Viertio,
Sampo Bank, Finland |
| 17.45 |
Free
Evening |
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Conference
Programme Tuesday 23rd May 2006 |
| 09.00 |
IT & Payment
Systems: Session Leader: Tom Conlon
Reducing operational
risk with information stability, I.Valencic, NOVA KBM, Slovenia
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Tutorial Session on
Credit Derivatives: Default Swaps, First to Default Baskets & Synthetic
CDOs:
Session Leader:
Mordecai Avriel
Credit Derivatives
I, A.Arensburg, Bank Hapoalim, Israel |
| 09.45 |
Securing card number generation, O.Hays,
Credit Agricole, France |
Credit Derivatives II, A.Arensburg, Bank Hapoalim,
Israel |
| 10.30 |
Coffee |
| 11.00 |
Financial Markets:
Session Leader: Mladen Stariha The
demand for money market funds, K.Kauko, Bank of Finland, Finland |
Credit Derivatives III, A.Arensburg, Bank Hapoalim,
Israel |
| 11.45 |
We are that different!
The Households` Financial Assets, A.Elomaa,
The Finnish Bankers Association, Finland |
Credit Risk II:
Session Leader: Diederik Fokkema
Important
charateristics in customer revolving credit, N.Sarlija, M.Bensic &
Z.Bohacek (University of Osijek & Croatian Banking Association), Croatia |
| 12.45 |
Lunch |
| 14.15 |
ALM: Session Leader:
Pege Persson Dynamic management of
a pension fund under uncertainty, A.Korhonnen, Eurobanking, Finland |
Managing credit
risk for retail low-default portfolios, G.Sabato, ABN AMRO &
University of Rome “La Sapienza”, The Netherlands |
| 15.00 |
Liquidity risk
model at bank Hapoalim, N.S.Belfer, Bank Hapoalim, Israel |
Basel II and
public sector entities – rating obligors that (almost) never default,
E.Marot, Caisse d`Epargne, France |
| 15.45 |
Coffee |
| 16.15 |
Plenary Discussion
Session: Session Leader: Tom Conlon -
Discussion starter:- "My life as a Quant" – Based loosely on
the book of the same name by Emmanuel Derman - some perspectives on the
role of quantitative methods in banking |
| 17.45 |
Social Programme (night out) |
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Conference Programme Wednesday 24th May 2006 |
| 07.30 |
Eurobanking Executive Committee Meeting |
| 09.00 |
Strategic Management
II: Session Leader: K. Arnneger
RAROC and smart data quality analytics, P.Fransen, ING Wholesale
Banking, The Netherlands |
Rating system and transition matrices,
Christele Baranco, Credit Agricole, France |
| 09.45 |
Financing the
new economy: Are ICT firms really that different?, W.A.Bruinshoofd & L.de
Haan , De Nederlandsche Bank, The Netherlands |
Rating systems
for the retail segment in the context of Unicredit Group divisional
structure, Maria Valle, Unicredit Group, Italy |
| 10.30 |
Coffee |
| 11.00 |
Risk & ERM: Session
Leader: Antti Korhonen Risk across
the time, Z.Bohacek, Croatian Banking Association, Croatia |
| 11.45 |
Closing Plenary Session
Eurobanking Montreux 2007 |
| 12.30 |
Lunch and early departure |
