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Series: Quantitative Financial Risk Management

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Fundamentals, Models and Techniques

TALKS IN THIS SERIES (24)

Introductory Reviews
Play '1. Practical use of portfolio risk management today (29 mins)'
1. Practical use of portfolio risk management today (29 mins) More info
Mr. Daryl Roxburgh  –  Head, BITA Risk Solutions, UK and USA

TOPICS COVERED IN THIS TALK

  • Definitions of risk management (RM) in different contexts
  • Practical application rather than theory
  • Does RM make a major contribution to portfolio safety?
  • Can RM exacerbate adverse markets?
  • The impacts of regulatory risk on fund managers
  • Appropriate or mist-targeted?
  • How is risk forecast and how does that feed into the investment process?
  • Do quantitative techniques add value or lower risk?
  • Risk strategies: how to measure, implement and control
Play '2. Statistical models for risk management (23 mins)'
2. Statistical models for risk management (23 mins) More info
Prof. John Knight  –  Professor of Economics, University of Western Ontario, Canada

TOPICS COVERED IN THIS TALK

  • Definition of returns: simple returns and log returns
  • Distribution of returns, univariate: normal and log-normal distribution
  • Stylized facts of historical returns
  • Skewness, kurtosis, autocorrelation and stationarity
  • ARCH, GARCH and stochastic volatility (SV) models
  • Distribution of returns, multivariate: multivariate normal distribution
  • Multivariate GARCH and SV models
  • Copulas and non-linear dependence
Play '3. Utility theory and mean variance (42 mins)'
3. Utility theory and mean variance (42 mins) More info
Dr. Norvald Instefjord  –  Reader in Finance, University of Essex, UK

TOPICS COVERED IN THIS TALK

  • Expected utility representation of preferences
  • Rationality criteria
  • State independent utility
  • Risk averse behavior
  • Risk and insurance premium
  • Arrow-Pratt's absolute risk aversion coefficient
  • Risk aversion and small risk
  • Relative risk aversion coefficient
  • Risk tolerance
  • CARA utility
  • CRRA utility
  • Risk aversion and large risk
  • Utility and variance measures of risk
  • Variance aversion and two fund separation
  • Local risk neutrality
  • Marginal utility and two fund separation
  • Factor structure and two fund separation
Play '4. Definitions of risk (40 mins)'
4. Definitions of risk (40 mins) More info
Dr. Norvald Instefjord  –  Reader in Finance, University of Essex, UK

TOPICS COVERED IN THIS TALK

  • 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
Play '5. Volatility (44 mins)'
5. Volatility (44 mins) More info
Dr. George A. Christodoulakis  –  Assistant Professor of Finance, University of Manchester, UK and Advisor, Bank of Greece, Greece

TOPICS COVERED IN THIS TALK

  • Volatility is the most heavily used measure of risk in financial decision making
  • Discussion of validity of various measures of risk
  • Statement of conditions under which volatility is a good measure
  • Explanation of the empirical properties of data and their dynamics
  • Why models need to capture these characteristics
  • Analysis of various approaches of volatility estimation with particular emphasis on dynamic models in both univariate and multivariate contexts
  • Techniques for volatility model validation
  • Explanation of possible pitfalls
  • Out-of-sample volatility forecasting using dynamic models and various methods for volatility forecast evaluation
Play '6. Hedge fund risk assessment (24 mins)'
6. Hedge fund risk assessment (24 mins) More info
Mr. David Martin  –  Senior Vice President and Chief Risk Officer, AllianceBernstein L.P., USA

TOPICS COVERED IN THIS TALK

  • Environmental scan/allocation strategies
  • Discerning how alpha is generated
  • Criteria for hedge fund success
  • Evaluating returns
  • Warning signs to monitor
  • Portfolio considerations

Portfolio Risk
Play '7. The structure of equity risk models (34 mins)'
7. The structure of equity risk models (34 mins) More info
Mr. Jason MacQueen  –  Chairman, Alpha Strategies LLC, UK

TOPICS COVERED IN THIS TALK

  • 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
Play '8. Risk decomposition (and risk budgeting) (36 mins)'
8. Risk decomposition (and risk budgeting) (36 mins) More info
Mr. Jason MacQueen  –  Chairman, Alpha Strategies LLC, UK

TOPICS COVERED IN THIS TALK

  • The standard method of decomposing portfolio risk into contributions from individual assets
  • 'Risk budgeting' by pension funds
  • Unfortunately, while this analysis gives a unique answer for absolute risk, it gives three very different answers for tracking error, or risk relative to some benchmark (such as the pension fund's liabilities)
  • Description of what is happening
  • Analysis used by most practitioners does not give the most useful answer

Market Risk
Play '9. Estimating risk models (52 mins)'
9. Estimating risk models (52 mins) More info
Prof. Kevin Dowd  –  Professor of Financial Risk Management, Nottingham University, UK

TOPICS COVERED IN THIS TALK

  • Defining a risk model
  • Assembling data
  • Non-parametric estimation methods
  • Parametric estimation methods
  • Monte Carlo simulation methods
Play '10. Measures of financial risk (42 mins)'
10. Measures of financial risk (42 mins) More info
Prof. Kevin Dowd  –  Professor of Financial Risk Management, Nottingham University, UK

TOPICS COVERED IN THIS TALK

  • Nature of financial risk
  • Representing financial risk using a density function
  • VaR as a risk measure
  • Expected shortfall
  • Coherent risk measures
  • Worst-case scenario analyses
Play '11. VaR when volatility is changing (26 mins)'
11. VaR when volatility is changing (26 mins) More info
Dr. Elizabeth Sheedy  –  Associate Professor, Macquarie Applied Finance Center, Macquarie University, Australia

TOPICS COVERED IN THIS TALK

  • 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

Applications to Credit Risk and Market Risk
Play '12. Structural and reduced form models (43 mins)'
12. Structural and reduced form models (43 mins) More info
Dr. Theo Darsinos  –  Vice President, Global Markets, Fixed Income Research Division, Deutsche Bank AG, UK

TOPICS COVERED IN THIS TALK

  • Structural models
  • The Merton approach: bond pricing, stock pricing, default probability, credit spreads, bond volatility
  • Parameter estimation
  • Limitations
  • Extending Merton: the CreditGrades model reduced form models
  • Default intensity
  • Examples: constant, deterministic and stochastic intensities
  • Linking reduced and structural models
  • Recovery rates
Play '13. Modeling business dependencies for credit portfolios (45 mins)'
13. Modeling business dependencies for credit portfolios (45 mins) More info
Dr. Markus A. Leippold  –  Assistant Professor, Swiss Banking Institute, University of Zurich, Switzerland

TOPICS COVERED IN THIS TALK

  • Portfolio credit risk
  • Integrating macrostructural and microstructural interdependencies
  • Gaussian copula
  • Credit portfolio as a graph
  • Impact of business dependencies on correlation
  • Feedback effects
  • Marginal risk contribution
Play '14. Extreme value theory and copulas (41 mins)'
14. Extreme value theory and copulas (41 mins) More info
Prof. Paul Embrechts  –  Professor of Mathematics, Swiss Federal Institute of Technology, Switzerland
Dr. Johanna Neslehova  –  Postdoctoral Research Fellow, Swiss Federal Institute of Technology, Switzerland

TOPICS COVERED IN THIS TALK

  • Extremes in quantitative risk management
  • Limiting behavior of sums and maxima
  • Fisher/Tippett theorem
  • Extreme value distributions and domains of attraction
  • Block maxima method
  • Threshold exceedances
  • Picands/Balkema/de Haan theorem
  • Threshold selection
  • Quantile estimation
  • Point process approach
  • Banking and insurance regulation
  • Critical appraisal
Play '15. Dependence modeling with copulas (40 mins)'
15. Dependence modeling with copulas (40 mins) More info
Prof. Paul Embrechts  –  Professor of Mathematics, Swiss Federal Institute of Technology, Switzerland
Dr. Johanna Neslehova  –  Postdoctoral Research Fellow, Swiss Federal Institute of Technology, Switzerland

TOPICS COVERED IN THIS TALK

  • Impact of extremes and dependence in finance and insurance
  • Correlation issues
  • Copulas and Sklar's theorem
  • Copula generation
  • Frechet-Hoeffding bounds
  • Limitations of correlation
  • Rank correlation measures
  • An application to credit risk
  • Tail dependence
  • Bounds on risk measures
  • Critical appraisal

Risk Model Validation
Play '16. Validation techniques I: regulatory and statistical background (43 mins)'
16. Validation techniques I: regulatory and statistical background (43 mins) More info
Dr. Dirk Tasche  –  Risk Analyst, Deutsche Bundesbank, Germany

TOPICS COVERED IN THIS TALK

  • Historical background
  • New capital standards (Basel II)
  • Requirements on quantitative validation
  • The binary classification model for rating systems
  • Bayes' formula
  • Modeling cyclical effects
  • Conditional probabilities of default (PD)
Play '17. Validation techniques II: discriminatory power and calibration (40 mins)'
17. Validation techniques II: discriminatory power and calibration (40 mins) More info
Dr. Dirk Tasche  –  Risk Analyst, Deutsche Bundesbank, Germany

TOPICS COVERED IN THIS TALK

  • Validation principles
  • Predictive ability, discriminatory power and PD calibration
  • Cumulative accuracy profile (CAP)
  • Accuracy ratio (AR)
  • Receiver operating characteristic
  • Kolmogorov-Smirnov statistic
  • Conditional and unconditional tests
  • Binomial test
  • Hosmer-Lemeshow test
  • Spiegelhalter test
  • Normal test

Economic Capital
Play '18. Leading bank credit portfolio strategies (41 mins)'
18. Leading bank credit portfolio strategies (41 mins) More info
Mr. Brian Dvorak  –  Managing Director, Moody’s KMV Credit Strategies Group, USA

TOPICS COVERED IN THIS TALK

  • Leading banks manage their credit portfolios actively
  • Active credit portfolio management objectives and principles
  • Active credit portfolio management trends and success stories
  • Leading bank economic capital management strategies
  • Uses of required economic capital at leading banks
  • Leading bank credit portfolio management organizational models
  • Leading bank credit portfolio management strategies
  • Adopting leading bank strategies

Latest Developments in the Field
Play '19. The need for a new paradigm (22 mins)'
19. The need for a new paradigm (22 mins) More info
Mr. Alan Brown  –  Group Chief Investment Officer and Director, Schroders plc

TOPICS COVERED IN THIS TALK

  • Best practice
  • Why do we want bond market Betas?
  • Why do we want equity market Betas?
  • Dynamic asset allocation
  • Today's best practice model
  • Expect the unexpected
  • Governance and utility
  • Forecasting returns
  • Forecasting PE terminal ratios
  • Challenges for the industry
  • A sea change
Play '20. Quantmare, August 2007 (18 mins)'
20. Quantmare, August 2007 (18 mins) More info
Mr. Eoin Murray  –  Partner/CEO, Callanish Capital Partners LLP

TOPICS COVERED IN THIS TALK

  • Quantitative investing
  • Equity market neutral
  • Quantmare
  • August 2007
  • Factor models
  • Credit crisis
  • Volatility
  • Liquidity
  • Overcrowded trades
  • Leverage
  • Correlation
  • Value investing
  • Risk models
  • Factor rotation
  • Regime switching
  • Correlations and copulas
  • Systematic strategies
Play '21. Conditional Value at Risk (CoVAR) (30 mins)'
21. Conditional Value at Risk (CoVAR) (30 mins) More info
Mr. KiHoon Jimmy Hong  –  University of Cambridge, UK

TOPICS COVERED IN THIS TALK

  • Value at Risk failure
  • Systemic Risk
  • Need of Conditional Value at Risk
  • Properties
  • Endogeneity of Systemic Risk
  • Tail Dependence Measure
  • Estimation Method: Quantile Regression
  • Contribution to Systemic Risk
  • VaR vs CoVaR
  • Capital Requirement Implication
  • Costs of CoVaR
  • Advantages of CoVaR
Play '22. Modelling UK Mortgage Default in Light of the Financial Crisis (37 mins)'
22. Modelling UK Mortgage Default in Light of the Financial Crisis (37 mins) More info
Mr. Warapong Wongwachara  –  Teaching Fellow, Faculty of Economics, University of Cambridge, UK

TOPICS COVERED IN THIS TALK

  • Review of the recent financial crisis
  • Evolution in the UK housing market
  • Modelling strategies
  • Drivers of mortgage default
  • Econometric models of mortgage default
  • Vector Autoregression (VAR) of default variables
  • VAR with macroeconomic default drivers
  • Threshold VAR: A non-linear relationship
  • Forecast competition
  • Conclusion: key features for successful modelling of mortgage default
Play '23. Personal asset/liability management: Using the discretionary wealth hypothesis within an equilibrium term structure (26 mins)'
23. Personal asset/liability management: Using the discretionary wealth hypothesis within an equilibrium term structure (26 mins) More info
Mr. Dan diBartolomeo  –  Northfield Information, USA

TOPICS COVERED IN THIS TALK

  • Asset/Liability management
  • Private Wealth
  • Discretionary Wealth
  • Household Balance Sheet
  • Arbitrage Free Term Structure
  • Allocation
  • Risk Management
  • Portfolio Volatility
  • Pension Surplus
  • Retirement Planning
  • Discounting Liabilities
  • Pension Funding
Play '24. Risk management: some lessons from the credit crisis (33 mins)'
24. Risk management: some lessons from the credit crisis (33 mins) More info
Mr. Edward Fishwick  –  Managing Director, Co-Head of Risk & Quantitative Analysis, Blackrock

TOPICS COVERED IN THIS TALK

  • Risk management
  • lessons from the credit crisis
  • The importance of liquidity
  • How Assumptions are just assumptions
  • Trailing 60 day correlation (Momentum & Value)
  • 220 day cumulative returns to Barra factors
  • Garbage (or worse) in/Garbage (or worse) out
  • The quick change in sources of risk
  • The inability to cram for a crisis
  • How volatility is only half the story
  • US "Quality" (1973 to date)
  • Active and average earnings yield broken by Junk / Quality
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ABOUT THIS SERIES

Editor(s)

Dr. Stephen E. Satchell Show Biography

EDITOR BIOGRAPHY

Dr. Stephen E. Satchell – Trinity College, University of Cambridge, UK

Stephen Satchell is a fellow of Trinity College and the reader in financial econometrics at Cambridge University. He is interested in finance and econometrics, and has written at least 150 papers in this area. He is an academic advisor to many leading asset management companies, and a frequent speaker at City conferences.

Publication Date  /  Last Updated

October, 2007  /  December, 2010

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