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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Hilda Geiringer Lecture 2018

 

17:00 o'clock, 12.11.2018 Berlin, Germany

Venue: Room 22/23, School of Business and Economics
Humboldt-Universität zu Berlin
Spandauer Str. 1, 10178 Berlin

 

 

Lecture: Correlations in credit stress testing 

 

Stress tests, as an integral part of risk management and banking supervision, are by nature conducted within models and as such vulnerable to model side effects. In this lecture, we shed some light on the model behaviour in stress testing models that are currently in use in the finance industry.

 

Speakers

 

  Natalie Packham 

  Berlin School of Economics 

Natalie Packham is Professor of Mathematics and Statistics at Berlin School of Economics and Law. Natalie has several years of industry experience as a front office software engineer at an investment bank, and is frequently involved in industry-related research and consulting projects. Her research expertise includes Mathematical Finance, Financial Risk Management and Computational Finance, and her academic work has been published in Mathematical Finance, Finance & Stochastics, Quantitative Finance, Journal of Applied Probability and many other academic journals. She is associate editor of “Methodology and Computing in Applied Probability” and co-chair of the GARP Research Fellowship Advisory Board. Natalie holds an M.Sc. in Computer Science from the University of Bonn, a Master’s degree in Banking & Finance from Frankfurt School of Finance & Management, and a Ph.D. in Quantitative Finance from Frankfurt School. She is an associated researcher with the International Research Training Group 1792 at Humboldt University Berlin.

 

 

This year's Hilda Geiringer Lecture will be introduced by Prof. Annette Vogt, who will open the event with a short talk with the title "Hilda Pollaczek-Geiringer - the first female Privatdozent for applied mathematics at a German university". In her intervention she will discuss Hilda Pollaczek-Geiringer's contributions to applied mathematics and statistics during her stay in Berlin. She offered several lectures on different topics of applied mathematics and statistics. And she was one of the leader of the special seminar on applied mathematics between 1927 and 1933. Her last course at the Berlin University was on mathematical statistics in winter 1932/33. Because of the Nazi's she was forced to leave the country, she escaped into exile, first in Brussels, from 1934 to 1939 in Istanbul, and finally to the USA.

 

Registration

As the seats in the venue are limited, we cordially invite you to register before the 8th of November 2018 in order to reserve your seat (entrance is free). 

Please click here to register.

 

Schedule

 

1. Opening speech

2. Lecture

3. Drinks and Networking

 

 

(click to enlarge)

 

Organization and Contact Information

 

Prof. Dr. Wolfgang Härdle
Dr. Ioana Ceaușu

Elena Ivanova
Dr. Alona Zharova

Humboldt-Universität zu Berlin
Wirtschaftswissenschaftlich Fakultät

Ladislaus von Bortkiewicz Chair of Statistics

Spandauer Str. 1
10178 Berlin, Germany

 

Tel.: +49 - 30 - 2093 99469
E-Mail:

ceausuio@hu-berlin.de