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Quantitative Financial Risk ManagementFundamentals, Models and Techniques

Launched October 2007 Updated December 2010 24 lectures
Dr. Stephen E. Satchell
Trinity College, University of Cambridge, UK
Summary

The aim of the Quantitative Financial Risk Management series of talks is first to review the role of modern risk management in the financial services industry and the fundamental theory and ideas it draws upon, and then to examine critically the application of models in four key areas of practice:... read moreportfolio risk; credit risk; market risk; and operational risk.

The field of Risk Management has been changing very rapidly due to the activities of the Basel Committee of Banking Supervision and the course presented in this series of talks is specifically designed to enable users to keep abreast of new requirements and thinking in the field. Although recent Basel pronouncements have mainly addressed credit and operational risk, the series also considers market risk due to its importance in trading and portfolio risk because of its central position in asset management.

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Archived Lectures *These may not cover the latest advances in the field (23 Lectures)  

The need for a new paradigm
22 min
  • Mr. Alan Brown
  • Group Chief Investment Officer and Director, Schroders plc
Archived
Leading bank credit portfolio strategies
41 min
  • Mr. Brian Dvorak
  • Managing Director, Moody’s KMV Credit Strategies Group, USA
Archived
Personal asset/liability management: using the discretionary wealth hypothesis within an equilibrium term structure
26 min
  • Mr. Dan diBartolomeo
  • Northfield Information, USA
Archived
Quantmare, August 2007
18 min
  • Mr. Eoin Murray
  • Partner/CEO, Callanish Capital Partners LLP
Archived
Risk decomposition (and risk budgeting)
36 min
  • Mr. Jason MacQueen
  • Chairman, Alpha Strategies LLC, UK
Archived
Structural and reduced form models
43 min
  • Dr. Theo Darsinos
  • Vice President, Global Markets, Fixed Income Research Division, Deutsche Bank AG, UK
Archived
Validation techniques I: regulatory and statistical background
43 min
  • Dr. Dirk Tasche
  • Risk Analyst, Deutsche Bundesbank, Germany
Archived
Validation techniques II: discriminatory power and calibration
40 min
  • Dr. Dirk Tasche
  • Risk Analyst, Deutsche Bundesbank, Germany
Archived
Estimating risk models
52 min
  • Prof. Kevin Dowd
  • Professor of Financial Risk Management, Nottingham University, UK
Archived
Hedge fund risk assessment
24 min
  • Mr. David Martin
  • Senior Vice President and Chief Risk Officer, AllianceBernstein L.P., USA
Archived
Modeling business dependencies for credit portfolios
45 min
  • Dr. Markus A. Leippold
  • Assistant Professor, Swiss Banking Institute, University of Zurich, Switzerland
Archived
VaR when volatility is changing
26 min
  • Dr. Elizabeth Sheedy
  • Associate Professor, Macquarie Applied Finance Center, Macquarie University, Australia
Archived
Conditional Value at Risk (CoVAR)
30 min
  • Mr. KiHoon Jimmy Hong
  • University of Cambridge, UK
Archived
Dependence modeling with copulas
40 min
  • Prof. Paul Embrechts,
  • Dr. Johanna Neslehova
Archived
Extreme value theory and copulas
41 min
  • Prof. Paul Embrechts,
  • Dr. Johanna Neslehova
Archived
Measures of financial risk
42 min
  • Prof. Kevin Dowd
  • Professor of Financial Risk Management, Nottingham University, UK
Archived
Modelling UK Mortgage Default in Light of the Financial Crisis
37 min
  • Mr. Warapong Wongwachara
  • Teaching Fellow, Faculty of Economics, University of Cambridge, UK
Archived
Statistical models for risk management
23 min
  • Prof. John Knight
  • Professor of Economics, University of Western Ontario, Canada
Archived
The structure of equity risk models
34 min
  • Mr. Jason MacQueen
  • Chairman, Alpha Strategies LLC, UK
Archived
Utility theory and mean variance
42 min
  • Dr. Norvald Instefjord
  • Reader in Finance, University of Essex, UK
Archived
Definitions of risk
40 min
  • Dr. Norvald Instefjord
  • Reader in Finance, University of Essex, UK
Archived
Practical use of portfolio risk management today
29 min
  • Mr. Daryl Roxburgh
  • Head, BITA Risk Solutions, UK and USA
Archived
Volatility
44 min
  • Dr. George A. Christodoulakis
  • Assistant Professor of Finance, University of Manchester, UK and Advisor, Bank of Greece, Greece
Archived