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From left to right: Mr. Takis Clerides - Minister
of Finance, Dr. Ron S. Dembo - CEO of Algorithmics Inc., Mr. Afxentis
Afxentiou - Governor of the Central Bank of Cyprus, the HERMES Director
Prof. Stavros A. Zenios, Prof. Harry M. Markowitz, and Prof. Theodore
Panayotou, Harvard University
Asset & Liability
Management:
From Institutions to Households May
16 - 18, 2001
An international conference on the state-of-the-art
in asset and liability management. Academics and practitioners from
the United States, European Union, and Pre-Accession States gathered
to discuss the challenges facing individuals and institutions in managing
assets and liabilities in the Enterprise Wide Risk Management framework.
Modeling, management and institutional issues were addressed.
A Workshop
with tutorial talks by leading academic and industry experts took place
before the Conference.
Professor Harry M. Markowitz was the Honorary speaker at the event.
Organisers
HERMES European Center of Excellence
on Computational Finance and Economics, Cyprus International Institute
of Management, Central Bank of Cyprus.
Sponsors
Algorithmics Inc, Prometeia Calcolo, Cyprus Development Bank
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Conference Program
Wednesday, May 16th:
3.30 p.m. - 4.00 p.m. - Conference Registration
4.00 p.m. - 6.30 p.m. - Opening Session
Panel discussion: "Financial Risk Management for Cyprus on the
road to European Union"
Panelists:
Mr. Takis Klerides, Minister of Finance
Professor Harry M. Markowitz, City University of New York
Mr. Afxentis Afxentiou, Governor, Central Bank of Cyprus
Mr. Ioannis Ioannides, General Manager, Cyprus Development Bank
Mr. Yiannis Kypri, Group General Manager Finance, Bank of Cyprus
Dr. Ron S. Dembo, Chief Executive Officer, Algorithmics Inc., Canada
Professor Stavros A. Zenios, University of Cyprus
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7.00 p.m. - 8.00 p.m.
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Award of Honorary Doctorate to Professor Harry M.Markowitz by the
School of Economics & Management, University of Cyprus
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(University of Cyprus, Main Hall)
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Thursday, May 17th
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9.00 a-m. - 10.30 a.m. -
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PENSIONS & SOCIAL SECURITY
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Asset-Liability Management for Social Security Systems
Dr. Landis MacKellar, IIASA, AT
Download
Paper
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The Innovest Austrian Pension Fund Financial Planning model
Professor William T. Ziemba, University of British Columbia,
CD
Download Paper
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Personal Asset Allocation for Virtual Banks
Dr. Flavio Cocco, Prometeia Calcolo, IT
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10.30 a.m. - 11.00 a.m. -
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Coffee Break
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11.00 a.m. - 12.45 p.m. -
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INSURANCE FIRMS
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Asset/Liability Management for Insurers in the new Millennium
Professor David F. Babbel, University of Pennsylvania, USA
Download Abstract Download
Notes
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Life Insurance Liabilities at Market Value: Insolvency
Risk, Bonus Policy and Regulatory Intervention Rules
Professor Peter Løchte Jørgensen, University of Aarhus,
DK
Download
Paper
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Stochastic Programming Models for Asset Allocation: Experiences
from a Norwegian Asset Manager
Dr. Kjetil Høyland, Gjensidige Insurance, Norway
Download Abstract Download
Slides
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Asset and Liability Management for Endowments with Guarantees
Prof. Stavros A. Zenios and Prof. Andrea Consiglio, HERMES Center
Download
Paper 1 Download
Paper 2
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1.00 p.m. - 2.30 p.m. -
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The Chartered Institute of Bankers (Cyprus) Speaker:
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Dr. Ron S. Dembo, CEO Algorithmics Inc.
The Bank of the future
Download
Abstract
(Hilton Hotel)
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2.30 p.m. - 4.00 p.m. -
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STOCHASTIC PROGRAMMING MODELS
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Multi-Period Optimization Models for Long-term Investors
Professor John M. Mulvey, Princeton University, USA
Download
Paper 1 Download
Paper 2 Download
Slides
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The AURORA Asset/Liability Management System:
From data to solutions
Professor Georg Ch. Pflug, University of Vienna
Download
Paper
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Global Asset Liability Management
Professor Michael Dempster, Cambridge University, UK
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Mortgage Refinancing
Professor Søren Nielsen, Technical University of Denmark
Download
Paper
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8.00 p.m. -
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Conference Dinner
Archeon Yefsis,
Stassandrou 29 Str., Nicosia, Tel. 452830
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Friday, May 18th
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9.00 a.m. - 10.45 a.m. -
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CREDIT RISK MANAGEMENT and INDEXATION
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Portfolio Optimization under Credit Risk
Professor Rudi Zagst, Risklab Germany
Download
Abstract Download
Paper Download
Slides
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A Libor Market Model with Default Risk
Professor Philipp J. Schönbucher, University of Bonn
Download
Paper
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Tracking Corporate Bond Indices
Norbert Jobst, Brunel University, UK & HERMES Center
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Asset / Liability Management Models in Insurance and Portfolio
Tracking
Prof. Alexei Gaivoronski, Norwegian University of Science and Technology
Download
Paper
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10.45 a.m. - 11.15 a.m. -
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Coffee Break
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11.15 a.m. - 12.45 p.m. -
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SCENARIO MODELING AND VaR
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Asset and Liability Management with Downside Risk and VaR Constraints
Professor Gautam Mitra, Brunel University, UK
Download
Abstract
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Asset-Liability Management for Pension Funds using
CVaR Constraints
Professor Stan Uryasev, University of Florida, USA
Download
Paper
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Selective Hedging and CvaR Models for Managing Risk
in International Portfolios
Professor Hercules Vladimirou, University of Cyprus
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1.00 p.m. - 2.30 p.m. -
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Lunch Break (Hilton Hotel)
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2.45 p.m. - 4.15 p.m. -
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OPTIMIZATION IN FINANCE
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Pricing Derivative Securities in Incomplete Markets
Dr. David Saunders, RiskLab, Cyprus International Institute
of Management
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Artificial Neural Networks for Valuation of Financial Derivatives
and Customized Option Embedded Contracts
Dr. Spyros Martzoukos, University of Cyprus
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Portfolio Choice, Habit Formation and Stock Market Participation
over the Life Cycle
Dr. Alexander Michaelides, University of Cyprus
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6.30 p.m. -
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Plenary talk: Convergence In the Financial Services Industry:
Banking and Insurance
Professor David Cummins, University of Pennsylvania, USA
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The Ninth lecture in Economics organized by the Cyprus Economic
Society in collaboration with the Bank of Cyprus
(Bank of Cyprus Conference Room)
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