• Innovations and Reviews in Risk Management for Sovereign Institutions
• 63 min
  1. Stochastic optimization and dynamics: what they are and why they are important for risk management in sovereign institutions 1

  • Prof. Dr. Jérôme L. Kreuser
• 61 min
  2. Stochastic optimization and dynamics: what they are and why they are important for risk management in sovereign institutions 2

  • Prof. Dr. Jérôme L. Kreuser
• 85 min
  3. Tutorial on Kelly capital growth investment strategies for long term growth with application to SWFs 1

  • Prof. William Ziemba
• 52 min
  4. Tutorial on Kelly capital growth investment strategies for long term growth with application to SWFs 2

  • Prof. William Ziemba
• 50 min
  5. Applications of stochastic optimization to sovereign institutions 1

  • Prof. Dr. Jérôme L. Kreuser
• 54 min
  6. Applications of stochastic optimization to sovereign institutions 2

  • Prof. Dr. Jérôme L. Kreuser
• 51 min
  7. Risk management techniques in emerging markets

  • Mr. George R. Hoguet
• Stress Testing for Sovereign Institutions
• 70 min
  8. Modern approaches to stress testing central banks and financial systems: lessons learned from the crisis

  • Dr. Alexey Lobanov
• Risk Management at the Government Level
• 60 min
  9. Sovereign credit risk assessment: from traditional indicators to the contingent claim approach

  • Dr. Adam Kobor
• Risk Management for Central Banks
• 29 min
  10. Central bank asset allocation

  • Dr. Stephen Fisher
• 34 min
  11. Combating intervention risk

  • Dr. Stephen Fisher
• Risk Management for Ministries of Finance
• 38 min
  12. Models for risk aggregation and sensitivity analysis: an application to bank economic capital

  • Dr. Michael Jacobs
• 39 min
  13. Quantitative measurement and management of liquidity risk in a banking context

  • Dr. Michael Jacobs
• Risk Management for National Pension Funds
• 79 min
  14. A dynamic stochastic pension fund model 1

  • Prof. William Ziemba
• 55 min
  15. A dynamic stochastic pension fund model 2

  • Prof. William Ziemba
• 52 min
  16. The Swiss occupational pension system

  • Dr. Werner Nussbaum

Printable Handouts

PDF

Navigable Slide Index

1. Introduction
2. Outline
3. Overview (1)
4. Overview (2)
5. Why DSP is important to sovereign institutions (1)
6. Why DSP is important to sovereign institutions (2)
7. Why DSP is important to sovereign institutions (3)
8. Objectives and objective functions (1)
9. Objectives and objective functions (2)
10. Objectives and objective functions: CB example
11. Objective: discounted wealth or log of wealth
12. Objective: discounted wealth less shortfalls
13. Objective: discounted wealth preference
14. Additional objective functions
15. Multi-factor risks and objectives (1)
16. Multi-factor risks and objectives (2)
17. Objectives included
18. Multiple risk constraints
19. Why CVaR risk constraints
20. CVaR formulation
21. Example of some "risk factors or objectives"
22. Model structures
23. Structural and policy constraints examples
24. Can control extreme events (1)
25. Can control extreme events (2)
26. Revisiting our single model equation
27. Simplified cash flow equations
28. Snippet of GAMS code
29. Managing reserves relative to short-term debt

Topics Covered

• A review of dynamic stochastic programming (DSP)
• Pillars of DSP: scenario trees and models
• Why DSP is important to sovereign institutions
• Institutional objectives and objective functions in a DSP model
• Going from "CEO speak" to "risk management speak"
• Mapping central bank strategic objectives to risk limits and model objectives
• Various kinds of model objective functions
• Handling multiple institutional objectives
• How to shape distributions of multiple outcomes
• Complex objectives like ratio of reserves to short-term-debt
• Multiple objectives like safety, liquidity, returns, and stability
• Conditional value at risk (CVaR) constraints and controlling extremes
• Model structures
• Controlling extreme events

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on March 1, 2012