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3rd Workshop on Assessment of Risk (3rd WAR)

3rd Workshop on Assessment of Risk (3rd WAR)
Qua, 30. Novembro 2016 - Sex, 2. Dezembro 2016
Sala da Congregação da FEA - USP - São Paulo, São Paulo



3rd Workshop on Assessment of Risk (3rd WAR)

November 30 - December 2, 2016

Sala da Congregação da FEA-USP, Av. Prof. Luciano Gualberto, 908


The 3rd WAR aims at providing a forum for the presentation of state-of -the-art research in the development, implementation, and real-world applications of risk assessment modeling of Industrial Processes, Finance and Actuarial Sciences. The 3rd WAR is open to both academic and non-academic communities from universities, insurance companies, banks, consulting firms and governmental agencies, and is specifically designed to contribute to fostering the cooperation between practitioners and theoreticians in the field. We are planning three short courses intended to attract graduate students as well as practitioners interested in the particular field.

Moreover, the workshop focus is to promote the meeting of researchers and students of the Risk Assessment Group at the CEPID-CeMEAI, disseminate relevant applications in risk modeling area, motivate students of the Bachelors in Statistics and of the Inter-Institutional Program of Graduate Studies in Statistics USP/UFSCar, Program of Graduate Studies in Statistics IME-USP and Programs of Undergraduate and Graduate Studies EAC-FEA-USP, showing the importance of research in the risk assessment risk area.


Adilson Simonis (Chair of the Department of Statistics, IME-USP)

Ana Carolina Maia (EAC-FEA-USP)

Cristiano Fernandes (PUC-Rio)

Francisco Louzada (ICMC-USP)

Nikolai Kolev (IME-USP)




DEADLINE for abstract submission: October 31, 2016; use the E-mail Este endereço de email está sendo protegido de spambots. Você precisa do JavaScript ativado para vê-lo.

Registration Fees: upon registration

Free for Students, R$ 100 (for Academics), R$ 350 (for Practitioners);

Conference dinner: R$ 80.



3rd WAR Provisional Programme

Invited Speakers Presentation

1. Uwe Schmock (Vienna University of Technology, Austria) is a Vice President of the Actuarial Association of Austria, former Scientific Director of the famous "RiskLab"at ETH Zurich (Switzerland). He is a head of TU Vienna’s Portfolio Risk Management Laboratory (PRisMa Lab), a large-scale scientific cooperation of his research group with selected partners from the financial industry in Austria. His current research interests include dependence modelling and risk aggregation. Uwe will give a key-note talk;

2. Wilfredo Palma (Pontificia Universidad Catolica de Chile) is well known expert with important contributions in Time Series Analysis, author of the monographs Long-Memory Time Series: Theory and Methods, 2007 Wiley and Time Series Analysis, 2016 Wiley. Wilfredo will give a key-note talk;

3. Umberto Cherubini and Sabrina Mulinacci (University of Bologna, Italy) are authors of the monograph Dynamic Copula Methods in Finance, 2012 Wiley. They are leaders in a field and will present a related short course in two days;

4. Lakshithe Wagalath (IESEG School of Management, France) is planned to give a short course on applied aspects of the Liquidity Risk. He has important recent contributions, coauthored by Rama Cont (one of world leaders in Financial Mathematics);

5. Alan de Genaro (he will present a short course on Stress Scenarios), Eduardo Hruschka, Hellinton Takada and Marcos Carreira are applied finance experts of the Brazilian Finance Industry. They will share their practical work and contributions to the Risk Assessment based on advanced Statistical, Optimization and Machine Learning tools;

6. Marcelo Medeiros, Flavio Ziegelmann, Cristiano Fernandes and Jorge Zubelli are world recognized experts in Time Series and Stochastic Analysis with applications in Econometrics, Finance and Insurance. They will present current research in invited talks;

7. Ana Carolina Maia is coordinator of the Actuarial Program at EAC-FEA-USP;

8. José Cuminato, Julio Stern, Francisco Louzada, Nikolai Kolev, Alexandre Delbem and Rafael Izbicki are researchers associated to the CEPID-CeMEAI project and will report their current results.


1. All students outside São Paulo will be hosted at the USP campus (COSEAS);
2. Our supporting staffCecilia Araújo, Cristiane Ribeiro (IME-USP) and Gustavo Faria (ICMC-USP).


Sala da Congregação da FEA - USP
Av. Prof. Luciano Gualberto, 908
São Paulo
São Paulo
Sala da Congregação da FEA - USP