Workshop on

Workshop Mathematical Methodologies for Operational Risk

April 16-17-18, 2007

EURANDOM, Eindhoven, The Netherlands


Sponsored by the EUROPEAN COMMISSION

New and Emerging Science and Technology (NEST)

Project MATHFSS


Programme & Abstracts| Speakers  & Participants |Registration | Practical Information


SUMMARY

This is the second workshop on risk and related methods. The first had the title "Risk Measures & Risk Management for High-Frequency Data" and was held on March 6-8, 2006. The details can be found on http://www.mathfss.org/reports.htm

Both workshops are funded under the MATHFSS which is funded project on the wider NEST programme of the EU Sixth Framework. The MATHFSS is of considerable interest because it is one of the few programmmes in which mathematical centres in the EU have a joint funded project.

It was always the intention in the second workshop to concentrate on the wider risk management issues. In the original contract the text says:

"A holistic approach to risk management .... should draw on the best and most relevant mathematical and statistical areas, whether from the financial perspective or the physical"

Thus, in this workshop the committee has decided to deliberately mix together scientists from overall risk methodology, financial risk, general reliability and software reliability. The overall theme is risk metrics and measurement and we trust that common ground can be found.

There will be plenty of time for discussion including a special "Round Table" .

SPEAKERS

Carina

Andersson

Lund University

Pauline

Barrieu

London School of Economics

Tim

Bedford

University of Strathclyde

Fevzi

Belli

University Paderborn

Michel

Chaudron

Eindhoven University of Technology

Frank

Coolen

Durham University

Michael

Grottke

Duke University

Dimitrios

Konstantinides

University of the Aegean

Julien

Chiquet

Université de Technologie de Compiègne

Martin Newby City University London

Fabrizio

Ruggeri

IMT Milano

Duane

Steffey

Statistical and Data Sciences Exponent Inc.

Florentina

Suter

University of Bucharest

Simon

Wilson

Trinity College Dublin

Michael

Wiper

Universidad Carlos III de Madrid

Jeannette

Woerner

Universität Göttingen

David

Wooff

Durham University

Henry

Wynn

London School of Economics

PROGRAMME

Monday April 16, 2007

09.00 Registration  
09.30 Opening Welcome by Prof.dr. O.M. Boxma, Scientific Director EURANDOM
  Software Reliability 1
09.45-10.30 Simon Wilson Decision theory approaches to the optimal  time to test or Bayesian analysis of beta testing
10.30-11.15 David Wooff Managing software testing risk via a  Bayesian graphical approach
11.15-11.45 Break  
11.45-12.30 Michael Wiper Bayesian software reliability models using metrics information 
12.30-14.00 Lunch  
  Risk measurement and metrics
14.00-14.45 Duane Steffey
Sequential Test Designs for Estimation of Extreme Quantiles
14.45-15.30 Pauline Barrieu
About financial risk measures
15.30-16.00 Break  
16.00-16.45 Jeanette Woerner Analysis of market microstructure; risk introduced by model missspecification
16.45-17.30 Tim Bedford Measuring societal risk
   

Tuesday April 17, 2007

  Risk and Reliability
9.30-10.15 Frank Coolen Imprecise probability and risk assessment
10.15-11.00 Julien Chiquet Modelling degradation processes through a Piecewise deterministic Markov process
11.00-11.30 Break  
11.30-12.15 Martin Newby Optimal Non-Periodic Inspection for a Multivariate Degradation Model
12.15-13.00 Henry Wynn Algebraic methods for system reliability bounds
13.00-14.00 Lunch  
  Software reliability 2 
14.00-14.45 Carina Andersson An industrial case study of a selection method for software reliability growth models
14.45-15.30 Michel Chaudron Effects of Defects in Software Models
15.30-16.00 Break  
16.00-18.00 ROUND TABLE chair H. Wynn
18.30 Workshop Dinner  

Wednesday April 18, 2007

  Financial Risk
09.45-10.30 Dimitrios Konstantinides Risk Models with extremal subexponentiality
10.30-11.00 Break  
  Software reliability 2 
11.00-11.45 Fevzi Belli Interaction systems and their vulnerabilities- a holistic approach to modeling and testing
  Software reliability 3
11.45-12.30 Florentina Suter
Risk assessment using software reliability simulation
12.30-13.30 Lunch  
13.30-14.15 Michael Grottke
Achieving high availibility via software rejuvenation and multiple levels of recovery
14.15-15.00 Fabrizio Ruggeri Some Bayesian models for software reliability
15.00 Closing  

REGISTRATION

There is no registration fee.

PLEASE REGISTER BY FILLING IN THE FORM

PRACTICAL INFORMATION

Location

How to come to Eindhoven.

Hotel

EURANDOM made preliminary group reservations in

hotel Hampshire Inn, Stratumsedijk 23d/f, Eindhoven. Special price single room  83* euro, double room 93* euro(breakfast included)

 * excl. tourist tax 3,50 euro per night

If you want EURANDOM to make a reservation, indicate the requested nights in the registration page.

For privat bookings we suggest to consult the web pages of the Tourist Information Eindhoven, Postbus 7, 5600 AA Eindhoven.

Lunches/dinner

April 16-17-18 lunches are being organised; free of costs for all participants, if ordered on the registration form.

On Tuesday evening, April 17 there will be a workshop dinner. For non-invitees an amount of 30 euro is requested, to be paid at arrival in cash (preferably exact amount in euros)

Contact

For more information please contact Mrs. Lucienne Coolen, workshop officer of  EURANDOM, at coolen@eurandom.tue.nl

ORGANIZERS

Tim Bedford tim.bedford@strath.ac.uk, Alessandro Di Bucchianico A.d.Bucchianico@tue.nl, Jef Teugels jef.teugels@wis.kuleuven.ac.be and Henry Wynn H.Wynn@lse.ac.uk .


Last up-dated 24-02-09

This page is maintained by Lucienne Coolen