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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
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22 min
2. The need for a new paradigm- Mr. Alan Brown
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41 min
3. Leading bank credit portfolio strategies- Mr. Brian Dvorak
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26 min
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18 min
5. Quantmare, August 2007- Mr. Eoin Murray
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36 min
6. Risk decomposition (and risk budgeting)- Mr. Jason MacQueen
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43 min
7. Structural and reduced form models- Dr. Theo Darsinos
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43 min
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40 min
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52 min
10. Estimating risk models- Prof. Kevin Dowd
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24 min
11. Hedge fund risk assessment- Mr. David Martin
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45 min
12. Modeling business dependencies for credit portfolios- Dr. Markus A. Leippold
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26 min
13. VaR when volatility is changing- Dr. Elizabeth Sheedy
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30 min
14. Conditional Value at Risk (CoVAR)- Mr. KiHoon Jimmy Hong
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40 min
15. Dependence modeling with copulas- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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41 min
16. Extreme value theory and copulas- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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42 min
17. Measures of financial risk- Prof. Kevin Dowd
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37 min
18. Modelling UK Mortgage Default in Light of the Financial Crisis- Mr. Warapong Wongwachara
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23 min
19. Statistical models for risk management- Prof. John Knight
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34 min
20. The structure of equity risk models- Mr. Jason MacQueen
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42 min
21. Utility theory and mean variance- Dr. Norvald Instefjord
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40 min
22. Definitions of risk- Dr. Norvald Instefjord
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29 min
23. Practical use of portfolio risk management today- Mr. Daryl Roxburgh
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44 min
24. Volatility- Dr. George A. Christodoulakis
Printable Handouts
Navigable Slide Index
- Introduction
- Definitions of risk - outline
- Risk in Terms of Distributions (1)
- Distributional properties (1)
- Distributional properties (2)
- Distributional properties (3)
- Distributional properties and utility
- Example (1)
- Example (2)
- Example (3)
- Distributional characteristics:impact on port.choice
- First order stochastic dominance (1)
- First order stochastic dominance (2)
- Comparing the probability distribution functions
- Example of first order stochastic dominance
- First order stochastic dominance (3)
- Second order stochastic dominance (1)
- Second order stochastic dominance (2)
- Difference between distribution functions
- Integrating the difference
- Second order stochastic dominance (3)
- Summary of part 1
- Axiomatic approach
- Definition of risk (1)
- Definition of risk (2)
- Risk measure
- Risk measure - single number benefits
- Risk measure Rho (1)
- Risk measure Rho (2)
- Translation invariance
- Sub - additivity
- Positive homogeneity
- Monotonicity
- Relevance
- Coherent risk measures
- Current method for measuring risk
- VaR method
- The VaR measure satisfies the...
- VaR and sub - additivity (1)
- VaR and sub - additivity (2)
- VaR and sub - additivity (3)
- VaR and sub - additivity (4)
- VaR and sub - additivity (5)
- VaR and sub - additivity (6)
- VaR and sub - additivity (7)
- TailVaR
- Worst conditional expectation
- TailVaR versus WCE
- Summary part 2
- Risk in terms of utility (1)
- Rothschild - Stiglitz Theorem on risk
- Example
- Law of iterated expectations
- Back to Rothschild - Stiglitz Theorem
- Rothschild - Stiglitz Theorem
- Less risky portfolios have smaller variance
- Two - fund separation
- Two - fund separation follows from Stiglitz theorem
- Summary of part 3
- Conclusions
Topics Covered
- Distributional properties of risk
- Variance
- Risk aversion and variance aversion
- First order stochastic dominance
- Second order stochastic dominance
- Axiomatic approach to risk measures
- Risk as a choice variable
- Acceptable and non-acceptable risk
- Single-dimensional risk measures
- Risk measure and risk capital
- Coherent risk measurers
- Value-at-Risk (VaR) is not coherent
- TailVaR and worst conditional expectations
- Rothschild/Stiglitz increasing risk
- Conclusions: risk definition depends on context and purpose
Talk Citation
Instefjord, N. (2007, October 1). Definitions of risk [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved January 2, 2025, from https://doi.org/10.69645/ULTB7664.Export Citation (RIS)
