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Navigable Slide Index

1. Introduction
2. Outline
3. What DSP is
4. The main pillars of DSP
5. Scenario fan vs. Scenario tree
6. What DSP differs from
7. Methods to generate scenario trees (1)
8. Methods to generate scenario trees (2)
9. Methods to generate scenario trees (3)
10. Methods to generate scenario trees (4)
11. Methods to generate scenario trees (5)
12. Stochastic process result diagram
13. Methods to generate scenario trees (6)
14. Testing trees
15. Features of dynamic optimization models
16. Revisiting our single model equation
17. When dynamics matter
18. Risk measures
19. CVaR and VaR definition and importance
20. Why CVaR
21. Important aspects of DSP (1)
22. Important aspects of DSP (2)
23. Important aspects of DSP (3)
24. DSP myths (1)
25. DSP myths (2)
26. Risk management "failures"
27. Lessons learned and remedies from crisis (1)
28. Lessons learned and remedies from crisis (2)
29. Lessons learned and remedies from crisis (3)
30. How DSP corrects the failures
31. How DSP can address each remedy (1)
32. How DSP can address each remedy (2)
33. How DSP can address each remedy (3)

Topics Covered

• What dynamic stochastic programming (DSP) is
• Generating scenario trees
• Constructing and testing trees
• Dynamic stochastic optimizations models
• Measuring and controlling risks
• Risk management failures in the financial crisis
• Correcting risk management failures
• Central bank reserve management
• Sovereign wealth fund risk management

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on March 1, 2012