Quantitative Financial Risk Management - Henry Stewart Talks

A Henry Stewart Talks’ Series in Finance
Quantitative Financial
Risk Management
Fundamentals, Models and Techniques
A Series of Talks
By Some of the World’s Leading Experts
Covering:
Introductory Reviews and Fundamentals • Portfolio Risk • Market Risk
Credit Risk • Risk Model Validation • Economic Capital Risk
Developed and Edited by Dr Stephen E. Satchell, Trinity College,
University of Cambridge
■ State-of-the-art Briefings on Quantitative Financial Models and Techniques
for Risk Managers
■ Detailed, Comprehensive, Relevant
■ Authoritative and Expert Speakers
■ Navigable Slides with accompanying narrations: you can listen to the
speakers and read the slides at your computer, as often as you need
■ Can be Copied and Disseminated for Groups
For:
■ Risk Managers at banks and other
financial institutions
■ Heads of Graduate Training and
Continuing Professional
Development at banks and
financial institutions
■ Central Bankers and Financial
Regulators
■ Risk Management Consultants
■ University Departments of Finance,
and Banking
Quantitative
Financial Risk
Management
Fundamentals, Models and Techniques
“
In view of the burgeoning study and research into, and use of, risk
management models, this series of talks – by some of the world’s most
distinguished and up-and-coming experts – is both excellent and
timely. It provides an invaluable resource for all those who need to
study and keep pace with latest thinking in the field including risk
managers, graduate investment bankers and university lecturers”
Dr Stephen E. Satchell, Trinity College, University of Cambridge
Series Editor
Dr Stephen E. Satchell,
Trinity College, University of
Cambridge
The Speakers
Dr George A.
Christodoulakis, Bank of
Greece; Manchester Business
School
Dr Theo Darsinos, Fixed
Income Research, Deutsche
Bank AG
Professor Kevin Dowd,
Nottingham University
Business School
Mr Brian Dvorak,
Managing Director, Moody’s
KMV Credit Strategies
Group
Professor Paul Embrechts,
Professor of Mathematics at
the ETHZ (Swiss Federal
Institute of Technology,
Zurich)
Dr Simon Hubbert, School
of Economics, Mathematics
and Statistics, Birkbeck,
University of London
Dr Norvald Instefjord,
Department of Accounting,
Finance and Management,
University of Essex
Professor John Knight,
Department of Economics,
University of Western
Ontario
Dr Markus A. Leippold,
The Swiss Banking Institute,
University of Zürich
Mr Jason MacQueen,
Chairman, Alpha Strategies
LLC
Mr David Martin, Senior
Vice President and Chief
Risk Officer of
AllianceBernstein LP
Dr Johanna Neslehova,
ETHZ (Swiss Federal Institute
of Technology, Zürich)
Mr Daryl Roxburgh, Head
of BITA Risk Solutions,
London and New York
Dr Dirk Tasche, Banking
and Financial Supervision
Department, Deutsche
Bundesbank
To view extracts from the series, please go to www.hstalks.com/risk/

Introducing
Quantitative Financial
Risk Management
Fundamentals, Models and Techniques
A Series of Talks on CD-ROM
Designed and developed by Dr Stephen E. Satchell, Trinity College, University of Cambridge, Quantitative
Financial Risk Management – A Series of Talks on CD-ROM has been specifically commissioned from
prominent experts in the field to brief all those who need to be aware of fundamental concepts and latest
models and techniques in quantitative financial risk management.
To view extracts from the Series please go to www.hstalks.com/risk/
CONTENT OF THE TALKS
The Talks have been commissioned specifically for this Series to cover both the theory and practical
applications of quantitative financial risk management.
Topics covered include:
■ Role of Modern Risk Management at Financial Institutions
■ Utility Theory and Mean Variance
■ Volatility
■ Portfolio Risk
■ Risk Decomposition/Budgeting
■ Value at Risk
■ Applications to Credit Risk and Market Risk
■ Credit Risk Management
■ Risk Model Validation and Using Validation Techniques
■ Statistical Models for Risk Management
■ Definitions of Risk
■ Derivative Assets in Portfolios
■ Equity Risk Models
■ Market Risk
■ Nonlinear VAR Models
■ Structural and Reduced Form Models
■ Extreme Value Theory and Copulas
■ Required Economic Capital
Full details of the Series can be found on the following pages.
FORMAT OF THE TALKS
Each of the Talks in the Series is seminar length and consists of navigable slides with an accompanying
narration by its expert speaker for each of the slides. The narration is delivered at a pace suitable for clear
understanding and the Talks can be played, paused, played back and replayed – as the user requires.
The user is taken through the slides as at a live seminar and the personality and approach of the speaker
can be clearly appreciated.
The format of the Talks on the CD-ROM enables users to listen and watch each Talk as often as
they want and it can be installed, copied, loaded onto an intranet and distributed to be used –
and re-used – by as many people as necessary.
“
This series of talks on CD-ROM is particularly relevant in today’s turbulent markets.
The technology is simple and easy to use. And the calibre of the speakers and the topics
covered are excellent.
Mr Jason ” MacQueen, Chairman, Alpha Strategies LLC

A Henry Stewart Talks’ Series in Finance
I: Introductory Reviews
The Role of Modern Risk Management
Mr Daryl Roxburgh, Head of BITA Risk Solutions, London and
New York
The presentation is based on the views of the role of modern
risk management, held by Senior Fund Managers over a
broad range of investment environments including pensions,
insurance, quantitative boutiques, trading, UCITS and wealth
management.
The following topics are addressed:
• Definitions of Risk Management (RM) in Different Contexts
• Practical Application Rather than Theory
• Does RM Make a Major Contribution to Portfolio Safety?
• Can RM Exacerbate Adverse Markets?
• The Impact of Regulatory Risk on Fund Managers –
Appropriate or Mis-targeted?
• How is Risk Forecast and How Does that Feed into the
Investment Process?
• Do Quantitative Techniques Add Value or Lower Risk?
• Risk Strategies: How to Measure, Implement and Control
Statistical Models for Risk Management
Professor John Knight, Department of Economics, University
of Western Ontario, London, Canada
• Definition of Returns
- Simple Returns
- Log Returns
• Distribution of Returns – Univariate
- Normal and Log-normal Distribution
- Stylised Facts of Historical Returns
- Skewness, Kurtosis, Autocorrelation and Stationarity
- ARCH, GARCH and Stochastic Volatility (SV) Models
• Distribution of Returns – Multivariate
- Multivariate Normal Distribution
- Multivariate GARCH and SV Models
- Copulas and Non-linear Dependence
Utility Theory and Mean Variance
Dr Norvald Instefjord, Department of Accounting, Finance
and Management, University of Essex
Expected utility representation of preferences – Rationality
criteria – State independent utility – Risk averse behaviour –
Risk and insurance premium – Arrow-Pratt’s absolute risk
aversion coefficient – Risk aversion and small risk – Relative risk
aversion coefficient – Risk tolerance – CARA utility – CRRA
utility – Risk aversion and large risk – Utility and variance
measures of risk – Variance aversion and two-fund separation
– Local risk neutrality – Marginal utility and two-fund
separation – Factor structure and two-fund separation –
Conclusions
Definitions of risk
Dr Norvald Instefjord, Department of Accounting, Finance
and Management, University of Essex
Distributional properties of risk – Variance – Risk aversion and
variance aversion – First order stochastic dominance – Second
order stochastic dominance – Axiomatic approach to risk
measures – Risk as a choice variable – Acceptable and nonacceptable
risk – Single-dimensional risk measures – Risk
measure and risk capital – Coherent risk measures – Value-at-
Risk (VaR) is not coherent – TailVaR and worst conditional
expectations – Rotschild/Stiglitz increasing risk – Conclusions:
risk definition depends on context and purpose
Volatility
Dr George A. Christodoulakis, Assistant Professor of Finance
at Manchester Business School, University of Manchester and
Advisor at the Bank of Greece.
Volatility is the most heavily used measure of risk in financial
decision-making. This presentation commences with a
discussion on the validity of various measures of risk, and a
statement of conditions under which volatility is a good
measure. It begins with an explanation of the empirical
properties of data and their dynamics and why models need to
capture these characteristics. This is followed by a detailed
analysis of various approaches of volatility estimation with
particular emphasis on dynamic models in both univariate and
multivariate contexts. Then techniques for volatility model
validation are given together with an explanation of a number
of possible pitfalls. Finally, the presentation focuses on out-ofsample
volatility forecasting using dynamic models and various
methods for volatility forecast evaluation.
Hedge Fund Risk Assessment
Mr David Martin, Senior Vice President and Chief Risk Officer
of AllianceBernstein LP
• Environmental Scan/Allocation Strategies
• Discerning How Alpha is Generated
• Criteria for Hedge Fund Success
• Evaluating Returns
• Warning Signs to Monitor
• Portfolio Considerations
II: Portfolio Risk
The Structure of Equity Risk Models
Mr Jason MacQueen, Chairman, Alpha Strategies LLC
Stock risk models for portfolio risk analysis – Generic risk
model data – Betas and covariances – Two significant choices
about structure and their consequences for estimation error –
The impact on portfolio risk forecasts – A short digression on
stock selection – Choosing factors – Summary
Risk Decomposition (and Risk Budgeting)
Mr Jason MacQueen, Chairman, Alpha Strategies LLC
Risk decomposition and risk budgeting – the standard method
of decomposing portfolio risk into contributions from
individual assets – is used for ‘risk budgeting’ by pension
funds. Unfortunately, while this analysis gives a unique
answer for absolute risk, it gives three very different answers
for tracking error, or risk relative to some benchmark (such as
the pension fund’s liabilities). This talk describes what is
happening, and shows that the analysis used by most
practitioners does not give the most useful answer.
To view extracts from the Series please go to www.hstalks.com/risk/

III: Market Risk
Estimating Risk Models
Professor Kevin Dowd, Centre for Risk and Insurance Studies
Nottingham University Business School
Defining a risk model – Assembling data – Non-parametric
estimation methods – Parametric estimation methods – Monte
Carlo simulation methods
Measures of Financial Risk
Professor Kevin Dowd, Centre for Risk and Insurance Studies
Nottingham University Business School
Nature of financial risk – Representing financial risk using a
density function – VaR as a risk measure – Expected shortfall –
Coherent risk measures – Worst-case scenario analyses
Nonlinear VaR Models
Dr Simon Hubbert, School of Economics, Mathematics and
Statistics, Birkbeck, University of London
When faced with estimating the value at risk for a non-linear
portfolio a practitioner will often resort to simulation
methods. For large portfolios the computational time required
for this can be enormous. This presentation provides a selfcontained
introduction and overview of analytical techniques
which can be used to provide Value at Risk estimates for such
portfolios. Accurate closed form estimates are appealing as
they circumvent the computational demands.
IV: Applications to Credit Risk and Market Risk
Structural and Reduced Form Models
Dr Theo Darsinos – Fixed Income Research, Deutsche Bank
AG
Structural Models – The Merton Approach – Bond pricing,
Stock pricing, Default probability, Credit spreads, Bond
volatility – Parameter estimation – Limitations – Extending
Merton: The creditgrades model
Reduced Form Models – Default intensity – Examples:
Constant, Deterministic and Stochastic intensities – Linking
reduced and structural models – Recovery rates
Modelling Business Dependencies for Credit
Portfolios
Dr Markus A. Leippold, the Swiss Banking Institute, University
of Zürich
Portfolio credit risk – Integrating macrostructural and
microstructural interdependencies – Gaussian copula – Credit
portfolio as a graph – Impact of business dependencies on
correlation – Feedback effects – Marginal risk contribution
Extreme Value Theory
Professor Paul Embrechts, Professor of Mathematics and Dr
Johanna Neslehova, Postdoctoral Research Fellow, Risk
Management Research Centre RiskLab, ETH Zürich at the
ETHZ (Swiss Federal Institute of Technology, Zürich)
Extremes in quantitative risk management – Limiting
behaviour of sums and maxima – Fisher/Tippett theorem –
Extreme value distributions and domains of attraction – Block
maxima method – Threshold exceedances –
Pickands/Balkema/de Haan theorem – Threshold selection –
Quantile estimation – Point process approach – Banking and
insurance regulation – Critical appraisal
Copulas
Professor Paul Embrechts, Professor of Mathematics and Dr
Johanna Neslehova, Postdoctoral Research Fellow, Risk
Management Research Centre RiskLab, ETH Zürich at the
ETHZ (Swiss Federal Institute of Technology, Zürich)
Impact of extremes and dependence in finance and insurance
– Correlation issues – Copulas and Sklar’s theorem – Copula
generation – Fréchet-Hoeffding bounds – Limitations of
correlation – Rank correlation measures – An application to
credit risk – Tail dependence – Bounds on risk measures –
Critical appraisal
V: Risk Model Validation
Validation Techniques I: Regulatory and Statistical
Background
Dr Dirk Tasche, Banking and Financial Supervision
Department, Deutsche Bundesbank
Historical background – New capital standards (Basel II) –
Requirements on quantitative validation – The binary
classification model for rating systems – Bayes’ formula –
Modelling cyclical effects – Conditional probabilities of default
(PD)
Validation Techniques II: Discriminatory Power and
Calibration
Dr Dirk Tasche, Banking and Financial Supervision
Department, Deutsche Bundesbank
Validation principles – Predictive ability, discriminatory power,
and PD calibration – Cumulative accuracy profile (CAP) –
Accuracy ratio (AR) – Receiver operating characteristic –
Kolmogorov-Smirnov statistic – Conditional and unconditional
tests – Binomial test – Hosmer-Lemeshow test – Spiegelhalter
test – Normal test
VI: Economic Capital
Leading Bank Credit Portfolio Strategies
Mr Brian Dvorak, Moody’s KMV Credit Strategies Group
• Leading banks manage their credit portfolios actively
• Active credit portfolio management objectives
and principles
• Active credit portfolio management trends and
success stories
• Leading bank economic capital management strategies
• Uses of required economic capital at leading banks
• Leading bank credit portfolio management organisational
models
• Leading bank credit portfolio management strategies
• Adopting leading bank strategies

A Henry Stewart Talks’ Series in Finance
Speaker Biographies
Dr George A. Christodoulakis
George A. Christodoulakis is Assistant Professor of Finance at Manchester
Business School, University of Manchester and Advisor at the Bank of Greece.
He holds a PhD and MSc in Finance from the University of London as well as
an MSc and BSc in Economics and Econometrics from the AUEB in Athens. His
expertise concerns the area of credit and market risk theory and applications,
approached from both a mathematical finance and a financial econometrics
perspective. George is a regular contributor to international refereed
research journals and a frequent speaker in specialist conferences.
Dr Theo Darsinos
Theo Darsinos is Vice President in the Global Markets, Fixed Income Research
division of Deutsche Bank, London. He is responsible for quantitative, relative
value and volatility strategies in Europe. Theo received his PhD in Financial
Econometrics from the University of Cambridge, and a BSc in Mathematics
from the University of London. Prior to joining Deutsche Bank in 2003, he was
a Research Fellow in the Department of Applied Economics, University of
Cambridge.
Professor Kevin Dowd
Kevin Dowd is Professor of Financial Risk Management at Nottingham
University Business School, where he works with the Centre for Risk and
Insurance Studies. His research interests cover macro, monetary and financial
economics, financial risk management, insurance, pensions and political
economy. His latest book, “Measuring Market Risk” (2nd edition) was
published by John Wiley in 2005.
Mr Brian Dvorak
As Managing Director of Moody’s KMV’s Credit Strategies Group, Brian
Dvorak supports clients globally in creating value from their investment in
the products and services of Moody’s KMV, the world’s leading provider of
quantitative credit risk analysis tools to lenders, investors, and corporations.
Before joining KMV in 1998, Mr Dvorak was Vice President of Product
Marketing and Technical Support at CATS Software Inc. Previously, he was
Executive Vice President and Chief Operating Officer of LOR/Geske Bock
Associates, Inc. and LORGB Investment Advisors, Inc. Mr Dvorak received
both his A.B. in Economics with Highest Honors and his MBA in Finance from
the University of California, Berkeley.
Professor Paul Embrechts
Paul Embrechts is Professor of Mathematics at the ETH Zürich specialising in
Actuarial Mathematics and Quantitative Risk Management. Previous academic
positions include the Universities of Leuven, Limburg and London (Imperial
College). Dr Embrechts has held visiting appointments at the University of
Strasbourg, ESSEC Paris, the Scuola Normale in Pisa and the London School of
Economics (Centennial Professor of Finance). He is an Elected Fellow of the
Institute of Mathematical Statistics, Honorary Fellow of the Institute of
Actuaries, Corresponding Member of the Italian Institute of Actuaries and
Associate Editor of numerous scientific journals. His areas of specialisation
include insurance risk theory, quantitative risk management, the interplay
between insurance and finance, and the modelling of rare events. He coauthored
the influential books “Modelling of Extremal Events for Insurance
and Finance”, Springer, 1997 and “Quantitative Risk Management: Concepts,
Techniques and Tools”, Princeton University Press, 2005.
Dr Simon Hubbert
Simon Hubbert is a lecturer in mathematics and mathematical finance at
Birkbeck College London. Before joining Birkbeck he worked for the Debt
Management Office, a branch of HM Treasury in London, as a risk analyst. He
has also engaged in consultation work with IBM-global service on a range of
projects covering risk management and pricing. His main research interests
are in approximation theory, computational finance and risk management
Professor John Knight
John Knight received his PhD from the University of New South Wales,
Sydney, Australia in 1980. He has held teaching and research positions in the
USA, Australia, UK and Canada and has been in his current position since
1987. His extensive list of research publications are in theoretical
econometrics and more recently in financial econometrics. In 2002 he was
awarded a Plura Scripsit Award by the journal, Econometric Theory. He has
also won awards for his teaching and PhD supervision. Current research
interests include stochastic volatility modelling and estimation of continuous
time processes in finance.
Dr Markus Leippold
Markus Leippold is Assistant Professor of Finance at the Swiss Banking
Institute of the University of Zürich. Prior to this, he worked for Sungard,
Trading and Risk Management Systems, and the Zürich Cantonal Bank.
Markus’ main research interests are term structure modelling, asset pricing,
and risk management. He was a research fellow at the Stern School of
Business in New York and obtained his PhD from the University of St Gallen,
Switzerland, in 1999. He has published in several journals and, in 2004, the
research paper he co-authored on credit contagion won the STOXX Gold
Award at the annual conference of the European Financial Management
Association. During 2005, he was a visiting researcher at the Federal Reserve
Bank in New York.
Mr Jason MacQueen
Jason MacQueen founded QUANTEC in 1980, which was the first firm to
develop risk models for equity markets outside the USA. In 1984 QUANTEC
launched the first global asset allocation model, which was enhanced in 1985
by the addition of currency hedging overlays and in 1986 by reverse
optimisation for efficient portfolio rebalancing. Jason also pioneered the
development and use of multi-factor stock selection models in both the USA
and Japan, and the investment track record of his long-term collaborators is
exceptional. In the late 1990s he helped to develop the first truly global risk
model, and a global stock selection model, both incorporating global
common factors. He is currently working with R-Squared to develop
Customised Hybrid Risk Models for institutional investors, and with Apollo
Advisors, which uses a proprietary risk overlay system to manage a fund of
funds and optimise the portfolio risk-return trade-off.
Mr David Martin
David Martin is Senior Vice President and Chief Risk Officer of
AllianceBernstein LP Mr Martin joined the firm in December 2001 and is
responsible for the risk management function. Mr Martin began his career
at Price Waterhouse & Co in 1972 in the audit and consulting practices. In
1979 he joined Citibank and held numerous positions during his 20-year
tenure. Mr Martin was a senior risk officer responsible for the global
windows on risk processes that was used to proactively manage the entire
risk profile of Citigroup. From 1999-2001, Mr Martin was an active Director
of DFD Select Group, a manager and distributor of funds of hedge funds.
Dr Johanna Neslehova
Johanna Neslehova is currently a postdoctoral research fellow at the risk
management research centre RiskLab, ETH Zürich. She completed her PhD on
Dependence of Non-continuous Random Variables with Professor Dietmar
Pfeifer at the University of Oldenburg in 2004. Her research interests include
stochastic methods for quantitative risk management in finance, dependence
modelling, discrete copulas, point processes, extreme value theory and
operational risk. She has spoken at various conferences on Risk Management.
She is involved in the German e-learning project E-Stat and wrote a book on
elementary mathematics with Erhard Cramer published by Springer in 2004.
Dr Norvald Instefjord
Norvald Instefjord is a Reader in Finance and an Associate Director of Finance
Studies at the Department of Accounting, Finance and Management at the
University of Essex. He received a PhD in finance from the London Business
School in 1995, and was a lecturer in finance at Birkbeck College, University
of London, from 1994-2004. Norvald’s primary research interests are
corporate finance; banking (including risk management and issues linked to
fraud and operational risk); and security and market design. He has also
extensive teaching experience in general and corporate finance,
mathematical and theoretical finance, and market microstructure.
Mr Daryl Roxburgh
Daryl Roxburgh is Head of BITA Risk Solutions the London and New York
based portfolio construction and risk solutions provider. Daryl is a graduate
of the City University (now John Cass) Business School and his career
commenced as a private client fund manager with Buckmaster & Moore. He
progressed to a senior management role in 1987 and was subsequently
appointed Director of IT in 1994 for Credit Suisse Asset Management.
Following two years at M&G, he was recruited by Prudential Portfolio
Managers as Global Head of IT in 1998. He now specialises in portfolio
construction and risk analysis solutions for the quantitative, institutional, and
private banking markets.
Dr Dirk Tasche
Dirk Tasche received a PhD in mathematics from the Berlin University of
Technology. After two years in the credit risk management division of a major
German bank, he held post-doctoral research positions at statistics and
finance institutes in Munich and Zürich before he joined the Deutsche
Bundesbank in 2002. Dr Tasche’s current main area of work is the national
implementation of the Basel II Capital Accord. He has published a number of
papers on measurement and management of financial risks in the banking
industry, with focus on capital allocation and statistical aspects of validation.
To view extracts from the Series please go to www.hstalks.com/risk/

Quantitative Financial Risk Management
Fundamentals, Models and Techniques
To order the series online or to view extracts from the series please go to www.hstalks.com/risk/
For further information please contact Daryn Moody on +44 (0)20 7404 3040 or e-mail
daryn@hspublications.co.uk
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