Quantitative Financial Risk Management - Henry Stewart Talks

Quantitative Financial Risk Management
10. Measures of financial risk
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
Prof. Kevin Dowd – Professor of Financial Risk
Management, Nottingham University, UK
Kevin Dowd is Professor of Financial Risk Management at
Nottingham University Business School, where he works with
the Center 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.
11. VaR when volatility is changing
What can we learn from problems with VaR models –
Common patterns in volatility (the clustering effect) –
Forecasting volatility using GARCH – Implications for VaR,
stress testing and capital requirements
Dr. Elizabeth Sheedy – Associate Professor, Macquarie
Applied Finance Center, Macquarie University, Australia
Elizabeth Sheedy joined Macquarie University in 1993. Prior to
this she worked in the finance industry for institutions including
Macquarie Bank and Westpac. She now teaches financial risk
management courses in the popular master of applied finance
program. Her current research focus is on volatility clustering
and its application to modeling market risk. She is also on the
Academic Advisory Committee for the Professional Risk
Managers’ International Association (PRMIA). She co-edited the
Professional Risk Managers’ Guides recently published by
McGraw-Hill.
IV: APPLICATIONS TO CREDIT RISK AND
MARKET RISK
12. Structural and reduced form models
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
Dr. Theo Darsinos – Associate Director, Fixed Income
Trading, Barclays Capital, UK
Theo Darsinos is an Associate Director of Fixed Income Trading
at Barclays Capital. Prior to this he was a Vice President in the
global markets, fixed income research division of Deutsche
Bank. 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.
13. Modeling business dependencies for credit
portfolios
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
Dr. Markus A. Leippold – Assistant Professor, Swiss
Banking Institute, University of Zurich, Switzerland
Markus Leippold is Assistant Professor of Finance at the Swiss
Banking Institute of the University of Zurich. Prior to moving
back to academia he was working for Sungard, Trading and
Risk Management Systems and the Zurich Cantonal Bank.
Markus’ main research interests are term structure modeling,
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 such as Journal of Financial
and Quantitative Analysis, Journal of Economic Dynamics and
Control, Journal of Banking and Finance, Review of Derivative
Research, Journal of Risk, Journal of Futures Markets and
Review of Finance. 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.
14. Extreme value theory and copulas
Extremes in quantitative risk management – Limiting behavior
of sums and maxima – Fisher/Tippett theorem – Extreme value
distributions and domains of attraction – Block maxima method
– Threshold exceedances – Picands/Balkema/de Haan theorem
– Threshold selection – Quantile estimation – Point process
approach – Banking and insurance regulation – Critical
appraisal
Prof. Paul Embrechts – Professor of Mathematics, Swiss
Federal Institute of Technology, Switzerland
Paul Embrechts is Professor of Mathematics at ETH Zurich
specializing in actuarial mathematics and quantitative risk
management. Previous academic positions include the
Universities of Leuven, Limburg and London (Imperial College).
Prof. 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 journals. His areas
of specialization include insurance risk theory, quantitative risk
management, the interplay between insurance and finance and
the modeling of rare events. He co-authored 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. Johanna Neslehova – Postdoctoral Research Fellow,
Swiss Federal Institute of Technology, Switzerland
Johanna Neslehova is currently a Postdoctoral Research Fellow
at the risk management research centre RiskLab, ETH Zurich.
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