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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. Presentation outline
3. Value at risk
4. Co-movements in nomal times and in crisis
5. Failure of VaR
6. What is CoVaR?
7. Objectives of CoVaR
8. Formal definition
9. Implication of CoVaR
10. Advantages of using delta CoVaR
11. Conditioning
12. Endogeneity of systemic risk (1)
13. Endogeneity of systemic risk (2)
14. Endogeneity of systemic risk (3)
15. Causality
16. Tail dependence measure and directionality
17. Measuring CoVaR
18. Quantile regression method
19. Quantile regressions: a refresher
20. Value at risk and quantile regression
21. Time varying CoVaR
22. Examples of quantile regressions
23. State variables (1)
24. State variables (2)
25. What 'contributes' to systemic risk?
26. Unconditional delta CoVaR vs. VaR
27. Time series average - delta CoVaR vs. VaR
28. Cross sectional average - delta CoVaR vs. VaR
29. VaR vs. CoVaR: the implication
30. Implication to capital requirement (CR)
31. Costs of CoVaR
32. Advantages of CoVaR - summary
33. Concluding remarks
34. Reference

Topics Covered

• Value at Risk failure
• Systemic Risk
• Need of Conditional Value at Risk
• Properties
• Endogeneity of Systemic Risk
• Tail Dependence Measure
• Estimation Method: Quantile Regression
• Contribution to Systemic Risk
• VaR vs CoVaR
• Capital Requirement Implication
• Costs of CoVaR
• Advantages of CoVaR

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on July 19, 2010
• Archived on April 4, 2022