• View the Talks
• 33 min
  1. Risk management: some lessons from the credit crisis

  • Mr. Edward Fishwick
• Archived Lectures *These may not cover the latest advances in the field
• 22 min
  2. The need for a new paradigm

  • Mr. Alan Brown
• 41 min
  3. Leading bank credit portfolio strategies

  • Mr. Brian Dvorak
• 26 min
  4. Personal asset/liability management: using the discretionary wealth hypothesis within an equilibrium term structure

  • Mr. Dan diBartolomeo
• 18 min
  5. Quantmare, August 2007

  • Mr. Eoin Murray
• 36 min
  6. Risk decomposition (and risk budgeting)

  • Mr. Jason MacQueen
• 43 min
  7. Structural and reduced form models

  • Dr. Theo Darsinos
• 43 min
  8. Validation techniques I: regulatory and statistical background

  • Dr. Dirk Tasche
• 40 min
  9. Validation techniques II: discriminatory power and calibration

  • Dr. Dirk Tasche
• 52 min
  10. Estimating risk models

  • Prof. Kevin Dowd
• 24 min
  11. Hedge fund risk assessment

  • Mr. David Martin
• 45 min
  12. Modeling business dependencies for credit portfolios

  • Dr. Markus A. Leippold
• 26 min
  13. VaR when volatility is changing

  • Dr. Elizabeth Sheedy
• 30 min
  14. Conditional Value at Risk (CoVAR)

  • Mr. KiHoon Jimmy Hong
• 40 min
  15. Dependence modeling with copulas

  • Prof. Paul Embrechts
  • Dr. Johanna Neslehova
• 41 min
  16. Extreme value theory and copulas

  • Prof. Paul Embrechts
  • Dr. Johanna Neslehova
• 42 min
  17. Measures of financial risk

  • Prof. Kevin Dowd
• 37 min
  18. Modelling UK Mortgage Default in Light of the Financial Crisis

  • Mr. Warapong Wongwachara
• 23 min
  19. Statistical models for risk management

  • Prof. John Knight
• 34 min
  20. The structure of equity risk models

  • Mr. Jason MacQueen
• 42 min
  21. Utility theory and mean variance

  • Dr. Norvald Instefjord
• 40 min
  22. Definitions of risk

  • Dr. Norvald Instefjord
• 29 min
  23. Practical use of portfolio risk management today

  • Mr. Daryl Roxburgh
• 44 min
  24. Volatility

  • Dr. George A. Christodoulakis

Printable Handouts

PDF

Navigable Slide Index

1. Introduction
2. Motivation
3. Objective
4. What Data is Available for Model Construction?
5. Overview
6. Rating Dynamics 1
7. Macrostructure 1
8. Macrostructure II - Schematic View
9. Macrostructure III Calibration Results
10. Microstructure I - Schematic View
11. Microstructure III - Definition
12. Microstructure IV - Economics
13. Microstructure V - Structural Condition
14. Microstructure VI Compatibility Conditions
15. Model Specifications I
16. Model Specifications II
17. Model Specifications III - Approximations
18. Overview
19. Setup - Heavy Gravity Portfolio
20. Setup - Diversified Debtors Portfolio
21. Setup - Real Business Portfolio
22. Results - Additional Correlation for A in the DDP
23. Results - Additional Correlation for A in the HGP
24. Results - Additional Correlation for A in the RBP
25. Terminology - Additional Risk
26. Results - Additional Risk in the HGP
27. Results - Additional Risk in the RBP
28. Results - Feedback Effects in the RBP
29. Results - Marginal Risk Contributions in RBP (1)
30. Results - Marginal Risk Contributions in RBP (2)
31. Conclusions
32. References

Topics Covered

• 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

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on October 1, 2007
• Archived on April 4, 2022