International Summer School

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International Summer School in

“Risk Measurement and Management”
Rome, June 9-17, 2005

The 2005 International Summer School is jointly organised by the University of Lugano (Switzerland), the University of Rome “La Sapienza” (Italy), and the University of Rome “Tor Vergata”, and Finance-and-Physics in cooperation with:

Charles University, Prague

Collegium Budapest, Budapest

ESSEC, Paris

Erasmus University, Rotterdam

ETH, Zürich

Finance-and-Physics, Rome

GME (IPEX – Italian Power Exchange), Rome

Hochschule fur Bankwirtschaft, Frankfurt

Imperial College, London

Journal of Banking and Finance

LSE, London

Norwegian University of Science and Technology, Trondheim

University of Bergamo, Bergamo

University of Milano Bicocca, Milano

University of Modena, Modena

University of Cyprus, Nicosia

University of Firenze, Firenze

University of Lausanne, Lausanne

University of Roma "Tor Vergata", Rome

University of Wien, Wien

University of Zürich, Zurich

University Paris Dauphine, Paris

Organizing Committe

Prof. Rita Laura D’Ecclesia, University of Rome “La Sapienza”

Prof. Giovanni Barone Adesi, Università della Svizzera Italiana

Dr. Gabriele Susinno, University. of Rome “Tor Vergata”

Dr. Randa Morgan, University of Rome “La Sapienza”

Istituto Svizzero di Roma

Via Ludovisi 48

The Summer School will be held on June 9-17, 2005 in Villa Maraini, the venue of the Swiss Institute in Rome.

The aim of this School is to present selected topics and advanced quantitative approaches in the area of financial risk measurement and control. The event is targeted toward and audience of skilled professionals and researchers with the aim to join both operational needs in financial engineering and risk management, with the latest advances in academic research.

The first session of the School (June 9 – 11) is devoted to selected topics in Risk Measurement and Structured Finance; the second session (June 13- 14) to Topics in Risk Management and Asset Allocation. The third session (June 15) focuses on Computational Finance while, Energy Risk control and optimisation techniques are the subject of the fourth session (June 16-17). Contributed papers will be presented at the end of each session.

A selection of the contributed paper will be published in the Journal of Banking and Finance.

Call for Papers

Participants who want to present a contributed paper in the corresponding session may send an abstract by May 20^Th to the following address :

morgan_randa@yahoo.it

For registration on line please contact:

http://www.finance-and-physics.org

Registration FORM:

http://www.finance-and-physics.org/formConference.php

Submissions and enquires should be addressed to:

morgan_randa@yahoo.it

Preliminary Grid

	08:15-09:00	09:00-09:15	09:15-10:45	10:45-11:15	11:15-12:45	13:00:14:15	14:30-16:00	16:00-16:30	16:30-18:00	18:00-18:45
	Registration	Welcome	Lecture	Pause	Lecture	Pause	Lecture	Pause	Lecture	Talk
			Risk Measurement				Financial Instruments and Structures
9-Jun	Thursday	Welcome	TBD	Coffee	TBD	Lunch	Acerbi	Tea	Acerbi	Ceci
			Beyond Black-Scholes				Credit Derivatives
10-Jun	Friday		Minenna	Coffee	Minenna	Lunch	Cont	Tea	Cont	TBD
			New Fronteers in Financial Engineering
11-Jun	Saturday		TBD	Coffee	Cont
12-Jun
			Credit Risk Models				Derivatives Markets and Default
13-Jun	Monday		Brigo	Coffee	Brigo	Lunch	Laurence	Tea	Albanese[1]	Galluccio
			Portfolio Risk				Operational Risk
14-Jun	Tuesday		De Giorgi	Coffee	Gianin	Lunch	Carrillo	Tea	Carrillo	Roncoroni
			Computational Finance
15-Jun	Wednesday	Welcome	Bertocchi	Coffee	Baviera	Lunch	Renò	Tea	Szego	Cartea
			Energy Risk I				Energy Risk II
16-Jun	Thursday	Welcome	Mari	Coffee	Stefani	Lunch	Geman	Tea		TBD
			Energy Commodities
17-Jun	Friday		Geamn	Coffee	Barone-Adesi	Lunch	Barone Adesi	Tea		Consigli