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1. Risk management: some lessons from the credit crisis
- Mr. Edward Fishwick
- Archived Lectures *These may not cover the latest advances in the field
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2. The need for a new paradigm
- Mr. Alan Brown
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3. Leading bank credit portfolio strategies
- Mr. Brian Dvorak
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5. Quantmare, August 2007
- Mr. Eoin Murray
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6. Risk decomposition (and risk budgeting)
- Mr. Jason MacQueen
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7. Structural and reduced form models
- Dr. Theo Darsinos
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10. Estimating risk models
- Prof. Kevin Dowd
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11. Hedge fund risk assessment
- Mr. David Martin
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12. Modeling business dependencies for credit portfolios
- Dr. Markus A. Leippold
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13. VaR when volatility is changing
- Dr. Elizabeth Sheedy
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14. Conditional Value at Risk (CoVAR)
- Mr. KiHoon Jimmy Hong
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15. Dependence modeling with copulas
- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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16. Extreme value theory and copulas
- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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17. Measures of financial risk
- Prof. Kevin Dowd
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18. Modelling UK Mortgage Default in Light of the Financial Crisis
- Mr. Warapong Wongwachara
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19. Statistical models for risk management
- Prof. John Knight
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20. The structure of equity risk models
- Mr. Jason MacQueen
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21. Utility theory and mean variance
- Dr. Norvald Instefjord
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22. Definitions of risk
- Dr. Norvald Instefjord
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23. Practical use of portfolio risk management today
- Mr. Daryl Roxburgh
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24. Volatility
- Dr. George A. Christodoulakis
Printable Handouts
Navigable Slide Index
- Introduction
- Risk management: lessons from the credit crisis
- Lesson 1: the importance of liquidity
- Lesson 1: the paramount importance of liquidity
- Assumptions are just assumptions
- VIX
- Trailing 60 day correlation - Momentum & Value
- 220 day cumulative returns to Barra factors (1)
- 220 day cumulative returns to Barra factors (2)
- Assumptions are just assumptions - summary
- Garbage (or worse) in/Garbage (or worse) out (1)
- Garbage (or worse) in/Garbage (or worse) out (2)
- The sources of risk change quickly (1)
- The sources of risk change quickly (2)
- You can't cram for a crisis (1)
- You can't cram for a crisis (2)
- Volatility is only half the story
- US "Quality" - 1973 to date (1)
- US "Quality" - 1973 to date (2)
- Average earnings yield broken by Junk / Quality
- Active earnings yield broken by Junk / Quality
- US "Quality" - 1973 to date (3)
- Summary
- Disclaimer
Topics Covered
- Risk management
- lessons from the credit crisis
- The importance of liquidity
- How Assumptions are just assumptions
- Trailing 60 day correlation (Momentum & Value)
- 220 day cumulative returns to Barra factors
- Garbage (or worse) in/Garbage (or worse) out
- The quick change in sources of risk
- The inability to cram for a crisis
- How volatility is only half the story
- US "Quality" (1973 to date)
- Active and average earnings yield broken by Junk / Quality
Talk Citation
Fishwick, E. (2010, November 30). Risk management: some lessons from the credit crisis [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 14, 2024, from https://doi.org/10.69645/MYML2425.Export Citation (RIS)
Publication History
Risk management: some lessons from the credit crisis
Published on November 30, 2010
33 min