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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

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Navigable Slide Index

1. Introduction
2. The need for individual asset/liability management
3. The financial crisis and you
4. Discussion goals
5. Key elements of the method
6. Equilibrium terms structure - approach 1
7. Equilibrium terms structure - approach 2
8. Equilibrium terms structure - approach 3
9. Fixed and non-fixed asset allocation
10. Our key assumption
11. Review of modern portfolio theory
12. Investor utility functions
13. Portfolio compositions
14. The discretionary wealth hypothesis (1)
15. The discretionary wealth hypothesis (2)
16. The discretionary wealth hypothesis (3)
17. A walk through the algorithm: steps 1 and 2
18. A walk through the algorithm: steps 3, 4 and 5
19. A walk through the algorithm: steps 6 and 7
20. Computational concerns
21. Moving a multi period view
22. A multi period approximation
23. Different way to improve returns
24. The key concept
25. Implementation
26. Conclusions
27. References

Topics Covered

• Asset/Liability management
• Private Wealth
• Discretionary Wealth
• Household Balance Sheet
• Arbitrage Free Term Structure
• Allocation
• Risk Management
• Portfolio Volatility
• Pension Surplus
• Retirement Planning
• Discounting Liabilities
• Pension Funding

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

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