Croatian Quants Day, 6 May 2011

In May 2011 we organize a new edition of CQD. In the light of ongoing turmoil at local and international markets, we again expect very lively discussions at our workshop. Like the previous three meetings, this year's edition of CQD provides 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. Speakers from different areas of finance and insurance are invited, and each of them is expected to give a talk followed by a discussion. The program this year consists of 4 talks given by international experts in financial theory and practice, and 6 slightly shorter talks given by people working in Croatia.

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

2011 lectures

Past event: CQD 2008 CQD 2009 CQD 2010 Pictures

Plenary speakers :

Jean Jacod (Université Paris VI, France): High-frequency statistics of financial data: a quick review

Mihael Perman (University of Ljubljana/Insurance Supervision Agency, Slovenia): A look back at Solvency 2 negotiations

Mark Podolskij (University of Heidelberg, Germany): Inference for price characteristics under microstructure noise

Catalin Starica (Université de Neuchâtel, Switzerland): The facts behind Sector Rotation

Invited speakers (local):

Ita Ćirović Donev, Tihomir Zirdum (Hypo Banka): Concentration risk in credit portfolio

Ivo Krznar (HNB): Identifying business cycle turning points in Croatia

Stjepan Pavlek (Koios Consulting Ltd.): Structured Banking Product: Option and Deposit - Business Model and Valuation

Branka Skelin (Agram životno osiguranje): Application of Peaks Over Threshold method in insurance

Nataša Šarlija, Marina Jeger (Ekonomski fakultet, Osijek): What happens with distress prediction models when recession comes

Saša Žiković (Ekonomski fakultet, Rijeka): Can we even rank VaR and ES Models? Application to Developed and Emerging Markets





Programme:



08:30 - 09:00 Registration

09:00 - 09:05 Opening

09:05 - 09:50 Catalin Starica
09:50 - 10:10 Ivo Krznar

10:10 - 10:40 Coffee break

10:40 - 11:25 Jean Jacod
11:25 - 12:10 Mark Podolskij

12:10 - 12:15 Closing of the morning session and discussion

12:15 - 13:15 Lunch

13:15 - 14:00 Mihael Perman
14:00 - 14:20 Branka Skelin
14:20 - 14:40 Saša Žiković

14:40 - 15:10 Coffee break

15:10 - 15:30 Nataša Šarlija, Marina Jeger
15:30 - 15:50 Stjepan Pavlek
15:50 - 16:10 Ita Ćirović Donev, Tihomir Zirdum

16:10 - 16:20 Closing and discussion

16:20 - 18:00 Wine and Cheese Reception