• 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. Background and motivation (1)
4. Background and motivation (2)
5. Summary and conclusions (1)
6. Summary and conclusions (2)
7. Review of the literature
8. Value at Risk
9. The method of copulas (1)
10. The method of copulas (2)
11. The method of copulas (3)
12. Data description
13. Call report variables
14. Call report and CRSP
15. Loss distributions
16. Time series
17. 5 risk types
18. Dependogram of multivariate tests
19. 99.97th percentile dollar VaR
20. 99.97th percentile VaR and BVA
21. 99.97th percentile VaR diversification benefit
22. Copula goodness of fit (GOF)
23. Discussion of VaR, diversification benefit & GOF
24. Bootstrap of correlations (1)
25. Bootstrap of margins (1)
26. Bootstrap of correlations (2)
27. Bootstrap of margins (2)
28. Discussion
29. Summary (1)
30. Summary (2)

Topics Covered

• Value at Risk
• The method of copulas
• Data description
• Call report variables
• Call report and CRSP
• Loss distributions
• Time series
• 5 risk types
• Dependogram of multivariate tests
• Diversification benefit
• Copula goodness of fit (GOF)
• Bootstrap of margins & correlations

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on March 15, 2012