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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
- Stock risk models - Why bother?
- Generic risk modelling
- Building a generic risk model
- Generic stock return and risk
- Covariance between stocks
- Generic notation
- Generic portfolio holdings
- Generic portfolio return (1)
- Generic portfolio return (2)
- Generic portfolio risk
- Practical risk modelling
- Two significant decisions -- Tree diagram
- Practical choices (1)
- Practical choices (2)
- Practical issues
- Issues of observability and the number of numbers
- Practical consequences at the stock level
- Practial consequences at the portfolio level (1)
- Practical consequences at the portfolio level (2)
- A short digression
- Stock selection model application
- Stock selection models?
- Choosing the right factors
- Factor orthogonality
- Choosing factors for a risk model
- Summary
Topics Covered
- Stock risk models for portfolio risk analysis
- Generic risk model data
- Betas and covariances
- Two significant choices about structure and their consequences for estimation error
- The impact on portfolio risk forecasts
- A short digression on stock selection
- Choosing factors
Talk Citation
MacQueen, J. (2007, October 1). The structure of equity risk models [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 4, 2025, from https://doi.org/10.69645/TBQJ9828.Export Citation (RIS)
