Thomas Breuer
Welcome > Upcoming and Recent Talks

Upcoming and Recent Talks

The New Normal cannot be charted with traditional stress tests - How can science help?, BVI Risikomanagement-Tag, Frankfurt, 13 September, 2017

Systematic Scenario Choice for Stress Tests, Stress Test Course, Joint Vienna Institute, 24 January, 2017


Systematic Stress Testing and Model Risk, Volkswirtschaftliches Seminar, Oesterreichische Nationalbank, 18 November, 2016

Information Geometry in Multiple Priors Models: Worst Case and Almost Worst Case Distributions9th Congress of the Bachelor Finance Society, New Zork, NY, 15-19 July, 2016, with I. Csiszar


An Information Geometry Problem in Mathematical Finance, Geometric Science of Information,  Ecole Polytechnique, Paris, 28-30 October 2015, with I. Csiszár

Systematic Stress Testing and Model Risk, Conference "Modelling in Life Insurance", ISFA, University Lyon 1, 7 October 2015, with I. Csiszar

Systematic Stress Testing and Model Risk, 17ieme Seminaire Parisien de Validation des Modeles Financiers, IAE Paris I, 17 June 2015, with I. Csiszar

Almost Worst Case Distributions in Multiple Priors Models, Financial Engineering and Banking Society, June 14-18, 2015, Nantes, with I. Csiszár

Endogenous Leverage and Asset Pricing in Double Auctions, European Economic Association, Mannheim, 24-27 August 2015, with M. Summer

Endogenous Leverage and Asset Pricing in Double Auctions, Programme Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches, Isaac Newton Institute of Mathematical Sciencies, Cambridge, 15-18 December 2014, with M. Summer

Endogenous Leverage and Asset Pricing in Double Auctions, IFABS, Lisbon, 18-20 June, 2014, with M. Jandacka, M. Summer, H.-J. Vollbrecht

Multiperiod Maximum Loss is Time Unit Invariant, Jahrestagung der GOR, Aachen, 4 September, 2014, with R. Kovacevic

Multiperiod Maximum Loss is Time Unit Invariant, Financial Engineering and Banking Society, Guildford, 20-23 June, 2014, with R. Kovacevic

Systematic Stress Testing and Model Risk, Stress Testing 1-Day Conference University of Edinburgh Business School, 25 April 2014, with I. Csiszár

Information geometry in mathematical finance: Model risk, worst and almost worst scenarios, 2013 IEEE International Symposium on Information Theory, 7-12 July 2013, Istanbul, with I. Csiszár, 
DOI 10.1109/ISIT.2013.6620257

Stress Tests: From Arts to Science An Overview, SIAM Conference on Financial Mathematics and Engineering, SIAM 2012 Annual Meeting, Minneapolis, 9-13 July, 2012 , with M. Summer

Measuring Model Risk, 29th GdRE Annual International Symposium on Money, Banking and Finance , Nantes, 28 June, 2012, with I. Csiszár

Stress Tests: From Arts to Science, International Finance and Banking Society, Rome,  29 June - 3 July, 2011, with I. Csiszár

Stress Tests: From Arts to Science
PRMIA Munich Chapter Event
Munich, 3 May 2010

If Worst Comes to Worst: Stress Testing with Discrete and Other Non-Normal Distributions
Quant Congress Europe, Call for Papers Winner
London, 3-4 November, 2009

GOR - Arbeitsgruppe Finanwirtschaft
Hannover, 17 April 2009

Symposium Marie Curie: Heilige gralen in de fysica
Nijmegen, 20 March, 2009

11th Symposium on Finance, Banking, and Insurance
Karlsruhe, 19 December 2008

International Conference on Price, Liquidity, and Credit Risks
Konstanz, 4 October, 2008

RISK Incisive Training: Quantitative Approaches to Calculating and Applying VaR
London, 3 October, 2008

RISK Incisive Training: Stress Testing - Regulation, Application, Risk Management
London, 15 September, 2008

European Economic Association: Annual Meeting 2008
Milano, 28 August, 2008

Macro Stress and Worst Case Analysis of Loan Portfolios

Stress Testing of Credit Risk Portfolios: The Link Between Macro and Micro, Basel Committee on Banking Supervision, De Nederlandsche Bank, Amsterdam, 7 March 2008


Workshop on the Interaction of Credit and Market Risk,
Basel Committee on Banking Supervision, Deutsche Bundesbank
Berlin, 6-7 December 2007

Dangerous Interaction between Credit and Market Risk:
A Case Study in Foreign Currency Loan Portfolios

EIASM Workshop on Default Risk and Financial Distress
Université de Rennes, 13 September 2007

Thomas Breuer
Risk Training: Quantitative Approaches to Calculating and Applying VaR
London, 4 September, 2007

Presentation, Interpretation, and Use of Stress Test Results
Thomas Breuer
Risk Training: Advanced Stress Testing Techniques
London, 18 May, 2007

Stress Testing Foreign Currency Loan Portfolios
Thomas Breuer, Martin Jandacka, Gerald Krenn, Klaus Rheinberger, Martin Summer
Tagung der GOR-Arbeitsgruppe "Finanzwirtschaft und Finanzinstitutionen"
Augsburg, 16. Mai 2007

Temporal Aggregation of GARCH models: Conditional Kurtosis and Optimal Frequency
Thomas Breuer, Martin Jandacka
2007 Annual Meeting of the Swiss Society of Economists and Statisticians
St. Gallen, 22 March 2007

Inter-Risk Diversification Effects between Credit and Market Risk
Thomas Breuer, Martin Jandacka
Quantitative Methods in Finance 2006
Sydney, 13 December 2006

Stress Testing Macro Economic Scenarios
Thomas Breuer, Mar tin Summer
Credit Risk Summit 2006
London, 3 October 2006
 
Portfolio Selection with Transaction Costs under Coherent Dynamic Risk Constraints
Thomas Breuer
GOR Arbeitsgruppe "Praxis der Mathematischen Optimierung"
Ludwigshafen, May 2006

Using Stress Test Results
Thomas Breuer
Risk Training: Advanced Stress Testing Techniques
London, 25 April, 2006