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• 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. The Perfect Storm
3. From extremes to copulas
4. Correlation issues
5. Correlation issues: data clouds
6. Some real data: BMW and Siemens
7. Summary
8. Simulating random variables
9. Definition of a copula
10. Introducting Skar's theorem
11. Skar's theorem
12. Practical use of Skar's theorem
13. Generating copulas
14. Copulas and ranks
15. Standard families: Gaussian and t copulas
16. Other copula examples
17. Revisiting the data clouds
18. BMW's and Siemens's data revisited
19. Maurice Frechet and Wasilly Hoeffding
20. Frechet-Hoeffding bounds
21. Implications of Hoeffding theorem
22. An example for Hoeffding theorem
23. Implications of the example
24. Alternative correlation measures
25. Linear correlation revisited
26. An application to credit risk
27. A simulation example (1)
28. A simulation example (2)
29. Tail dependence
30. Tail dependence index
31. Tail dependence index: properties
32. Joint tail probabilities
33. Warning notice!
34. Bounds on risk measures
35. An appraisal of copulas
36. Back to BMW's and Siemens's data
37. Copula craze
38. Critical comments by Thomas Mikosch
39. Copulas: how we view them
40. Copula literature
41. Postcriptum

Topics Covered

• Impact of extremes and dependence in finance and insurance
• Correlation issues
• Copulas and Sklar's theorem
• Copula generation
• Frechet-Hoeffding bounds
• Limitations of correlation
• Rank correlation measures
• An application to credit risk
• Tail dependence
• Bounds on risk measures
• Critical appraisal

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

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