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Eurobanking 2007

Montreux, Switzerland - 20-23 May 2007

EUROPEAN WORKING GROUP on OPERATIONAL RESEARCH in BANKING
The formal record

Eurobanking 2007 was held in the Hotel Victoria, Route de Caux, CH-1823 Glion sur Montreux, Switzerland - 20-23 May 2007  Click here for hotel details.

45 delegates and 10 partners attended.

The conference presentations are listed below in the order of presentation.  Where presentations have been made available for publication, they are shown below.  Other presenters are invited to submit their presentations for publication.

 

 What really happened! (the pictorial record)

A number of conference delegates have actually admitted to enjoying themselves.  To see how they did it, click here

 Eurobanking 2007 review click here to download
Name Affiliation Topic
Keynote Speeches

Stefan Walter

Basel Committee on Banking Supervison

Basel II and beyond

Rolf Enderli

Credit Suisse

Treasury functions and challenges
Conference Presentations

Elodie Teulé-Sensacq

Credit Agricole, France

Backtesting tools

Markus Westphalen

WestLB, Germany

Audit of Advanced IRBA and IAA - A Bank Perspective

Grzegorz Darkiewicz

KBC Group, Belgium

Facing the extreme: moving towards a group-wide stress testing framework

Vincent Martin

Credit Agricole, France

The Extreme Value Theory: some applications in Operational Risk

Sabine Detering

readybank ag, Germany

’Measuring’ rating philosophy with mobility indices

Etienne Marot

Caisse Nationale des Caisses d’Epargne, France

Rating SMEs Using Consolidated Information

Otto Huber,

Credit Suisse, Switzerland

Performance measurement of treasury activities

Wendy Lucas

UBS, Switzerland

Principles of Liquidity Risk Management  Download Slides

Andrey Vasnev

ABN AMRO, Netherlands

Using macro economic factors as drivers for consumer correlations

Luc Hoegaerts

Fortis, Belgium

Default correlations derived with an averaging model

Download this paper and slides

Mordecai Avriel and Alex Arensburg,

Bank Hapoalim, Israel

The path to residential mortgage securitization in Israel; Modeling cash flows of mortgage loan portfolios

Mats Nyman

Svenska Handelsbanken, Sweden

CPPI (constant proportion portfolio insurance) or OBPI (option based porfolio insurance)? Theoretical and practical issues for asset/liability managers [22]
Karlo Kauko Bank of Finland, Finland

Household loan loss risk in Finland - Estimations and simulations with micro data

Leonardo Salvagnini e Manuele Iorio

Unicredit Group, Italy

Low-Default Portfolios: the internal rating systems for Banks and Sovereigns in Unicredit
Johannes Wehinger UBS, Switzerland

Generating Interest Rate Risk Scenarios using Principal Component Analysis Download slides in .pdf format
Grzegorz Darkiewicz KBC Group, Belgium

Towards fair values: open gaps in valuation of insurance liabilities

Jo.e Glogov.ek and Mejra Festic,

Nova Kreditna Banka Maribor, d. d. and University of Maribor, Slovenia

Some macroeconomic variable influence on the loan portfolio quality: VAR method application

Download slides
Ulrich Krüger Deutsche Bundesbank, Germany Some aspects related to pro-cyclicality of the Basel II minimum required capital
Gianfranco Lertora, Carige Group, Italy Gianfranco Lertora, Carige Group, Italy

Competing in Retail Banking: Rapidly becoming an excellent service provider

Dimitrios Stamoulis, Alpha Bank, Greece

Revisiting the strategic role of banking in electronic channels: Perspectives and implications

Eric McCoy

Fortis, Belgium

Implications of the Maturity Adjustment for Credit Portfolio Management [4]

Klaus Belter and Lars Kier Andersen

Danske Bank, Denmark

 Estimation of conversion factors (CF)

Ole Andersen and Jesper Rasmussen

Nordea, Denmark

Product result calculation in Retail Banking in Nordea [11]
Michiel Lodewijk, Deloitte, Netherlands

Model development, model validation and model implementation in a mark-to-model environment

Elias Halamandaris

Greece

Key trends and issues in risk management