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nference and prediction in Financial risk management

Si annuncia che il programma provvisorio del 
workshop internazionale su:

" Inference and Prediction in Financial Risk
Management" (Tirano, SO, 10-12 settembre 1999 ) e' disponibile presso
il sito


http://3weco.unipv.it/users/staff/pgiudici/www/tirano99.html

Si ricorda agli interessati che, essendo la partecipazione al workshop
a numero chiuso, la scadenza per la registrazione e' il

31 MAGGIO 1999

La registrazione deve essere effettuata utilizzando la scheda di
registrazione per la seconda conferenza finale su: "Highly structured
stochastic systems" (Pavia), indicando l'opzione "partecipazione al
workshop". Tale scheda e' disponibile presso il sito

http://www.unipv.it/hsss99/hsss.html


Si allega, per comodita', e  in formato di testo, il programma del
workshop.

Tirano (Italian Alps), 9-12 september 1999.
Workshop on: "Inference and Prediction in Financial Risk Management".
Funded by: sponsors TBA Organisers: Paolo Giudici (Pavia), Gareth
Roberts and Joe Whittaker (Lancaster) The venue: Tirano (SO)

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Themes and topics of the workshop 

There is growing interest in management of risk by financial
institutions such as banks, mutual loan societies, loan providers,
chain stores, supermarkets, and credit agencies. Statistics is a major
contributor of techniques and methods and an aim of the workshop is to
provide a discussion of new developments in statistical modelling and
inference as applied to risk management. 

The focus of the conference is applications and specific topics
include prediction, discrimination, stochastic volatility, repeated
measures, latent variable and hidden Markov models, Bayesian and
simulated inference; market segmentation, data mining, targetting
models for risk evaluation, scorecard development, behaviour scoring,
account and portfolio management and stock market movements. 





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Organisation of the workshop 

The workshop will consist of invited talks, each for about one hour,
contributed talks and poster presentations, selected after a call for
participants. The workshop will include representatives from both
academia and industry, and will provide excellent opportunities for
discussion and interaction.



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Travel and accomodation 

A bus ride on Thursday September 9, at 4 p.m. will take partecipants
to the workshop from Milan Central railway station and, later, from
Malpensa airport of Milan directly to Tirano. Journey time is
approximately 2 hours 30 minutes. 

The workshop will start with a welcoming dinner on Thursday evening,
the 9th of September 1999 at 8.00 p.m.  Upon arrival participants will
receive a book of abstracts and local information. Accomodation will
be offered in comfortable hotels. Allocation will be on a first-come
first-served basis.

 Lectures will take place Friday and Saturday, with Sunday devoted to
 informal discussion. On Sunday there will also be a social excursion
 in an alpine valley, with an open-air lunch and a final conference
 dinner.  Partecipants will finally be taken by bus to Milan, at 9
 a.m. of Monday 13 September. The bus will then go to Pavia, for those
 attending the HSSS conference.



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The venue (Tirano, Valtellina) 

The workshop takes place in Tirano (Italy). Tirano is a small town
(10,000 people) in the central Italian alps, in the region known as
Valtellina, on the border with Switzerland (St. Moritz is at about 30
km). Although town is only about 450 meters height, it is sorrounded
by mountains and by beautiful vineyards on the lower part of the
mountains facing southwise. The town used to be one of the main
crossroads of the relationships between northern and southern Europe.
Because of this history it has quite a few interesting old buildings
and churches, including a 16th century sanctuary and a 11th century
small monastery.





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DRAFT PROGRAMME
Click on a title to see the corresponding abstract. 

Thursday, September 9
16:00 Bus departure from Malpensa Milano airport . (Exact meeting
point will be communicated later on this page). 

18:30 Arrival in Tirano. The bus goes directly to the hotels where a
double room (with bathroom) has been reserved for each single
participant, namely: Hotel Stelvio, Hotel Valchiosa, Hotel Sassella 

20:00 Welcome dinner at Hotel Sassella



Friday, September 10
8:45-9:00 Opening remarks. 

Session 1: Credit scoring, data mining, multivariate methods

Chair: TBA
9:00-10:00 Alan Lucas (Barclaycard):Statistical challenges in card
issuing 

10:00-11:00 Flavio Addolorato (Comit): Behavioural analysis of retail
customers: a case study from Banca Commerciale Italiana 

11:00-11:30 Coffee break 

11:30-12:00 Elio Vitucci (Experian-Scorex): The use of scoring in
small business lending

12:00-12:30 Paolo Giudici, Stefano Farro, Claudia Tarantola
(University of Pavia): Bayesian graphical models for credit scoring 

12:30-13:00 Alberto Saccardi, Guido Cuzzocrea (Nunatac): Data mining
applications in the Italian Banking sector

13:00-14:00 Lunch break 

Session 2: Discrete volatility models, assets allocation and
forecasting, value at risk 

Chair: TBA

14:00-15:00 Walter Zucchini and Kristin Neumann (University of
Goettingen): A comparison of several time models for assessing the
value at risk of stocks. 

15:00-15:30 Giuseppe Arbia (University of Chieti): Measuring the
sensitivity of assets' returns to portfolio variations in the case of
non-normal distributiuons 

15:30-16:00 Riccardo Bramante, Giuseppe Santamaria (Catholic
University of Milan): Forecasting stock index volatility 

16:00-16:30 Domenico Mignacca (Banca Nazionale del Lavoro): Dynamic
asset allocation 

16:30-17:00 Coffee break 

17:00-17:30 Stefano Fabi (Aifirm): An introduction to Monte Carlo
Methods in finance 

17:30-18:30 Poster session. Presentations of :

Francesco Ceci (Abn-Amro), Patrizia Campagnoli and Pietro Muliere
(Unipavia), Gianni Filomeni (RAS), Gabriella Schoier (Unitrieste),
Francesco Bartolucci and Giovanni De Luca (Uniperugia), Jozef Gemela
(Uniprague, Czech republic), Enzo Chieffo e Paolo Giudici (Unipavia),
Uttara Naik-Nimbalkar (Unipune, India), Andrea Spano' (Mathsoft)

20:00 Dinner at Restaurant Sassella (Grosio). 

Saturday, September 11
Session 3: Options and derivatives, stochastic processes, extremes
Chair: TBA

9:00-10:00 Giorgio Consigli (Unicredito): Intensity-based models for
default risk estimation: theory and applications. 

10:00-11:00 Eric Renault (CREST France): Iterative, Recursive and
indirect estimation of stochastic volatility option pricing models 

11:00-11:30 Coffee break

11:30-12:00 Francesco Rapisarda and Roberto Silvotti (Banca Intesa):
Implementation and performance of various stochastic models for
interest rate derivatives 

12:00-12:30 Attilio Gardini, Giuseppe Cavaliere and Michele Costa
(University of Bologna): A new approach to stock price forecasting 

12:30-13:00 Francesco Corielli and Sonia Petrone (Bocconi University
and University of Insubria): A no arbitrage model for dynamic
estimation of the discount function 

13:00-14:00 Lunch break 

Session 4: Bayesian analysis, Stochastic volatility, Latent factors 

Chair: TBA 

14:00-15:00 Petros Dellaportas (University of Athens): New approaches
on multivariate time-varying volatility models 

15:00-16:00 Neil Shephard (University of Oxford): Analysis of high
dimensional multivariate stochastic volatility models. 

16:00-16:30 Coffee break 

16:30-17:00 Carlo Giannini, Eduardo Rossi (University of Pavia): A
principal components multivariate Garch technique for medium size
portfolio management 

17:00-17:30 Viridiana Lourdes and Mike West (Duke University):
Multivariate dynamic models for commodity futures

17:30-18:00 Hedibert Lopes, Omar Aguilar and Mike West (Duke
University): Factor models: Tyme-varying loadings and stochastic
volatility 

18:00-18:30: Claudio Zucca (Unicredito): implied volatilities
forecasting: a practitioner point of view. 

 20:00 Dinner at Casa Vinicola Triacca (Bianzone)

Sunday, September 12
Social excursion to Grosio and Val Grosina. Open-air informal
discussion, lunch and hiking. Conference dinner at Hotel Sassella.





**********************************************************************
 Paolo Giudici Department of Economics and Quantitative Methods
University of Pavia Via San Felice, 5 I-27100, Pavia
**********************************************************************
 Tel +39-0382-506224 Fax +39-0382-304226 E-mail:
pgiudici@eco.unipv.it Internet:
http://3weco.unipv.it/users/staff/pgiudici/www/moreInfo.htm
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