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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. Are risk models breaking down?
3. Does it matter?
4. Why were there so many exceptions in 3Q'07?
5. Volatility is changing over time
6. S&P500 daily returns
7. Volatility clusters
8. Forecasting volatility or variance
9. Conditional volatility
10. More on GARCH
11. Asymmetric volatility?
12. An example model for S&P500 risk
13. Conditional volatility responds swiftly to shocks
14. Calculating VaR from conditional volatility
15. Historical simulation vs. conditional VaR
16. Is the experience of July '07 typical?
17. Backtesting procedure
18. Backtesting results (1)
19. Backtesting results (2)
20. Can GARCH be used with simulation methods?
21. Volatility-weighted historical simulation
22. Implication of volatility-weighted simulation
23. Monte Carlo simulation (1)
24. Monte Carlo simulation (2)
25. Capital requirements?
26. Where to look for more information?
27. Conclusion

Topics Covered

• What can we learn from problems with VaR models?
• Common patterns in volatility (the clustering effect)
• Forecasting volatility using GARCH
• Implications for VaR, stress testing and capital requirements

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on May 1, 2008
• Archived on April 4, 2022