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Quantitative Risk Management Workshop and Book Launch

Wed­nes­day, June 10, 3:30-6:30pm:

Quant­it­at­ive Risk Man­age­ment Work­shop and Book Launch

Talks by
Al­ex­an­der J. McNeil: Backtest­ing Trad­ing Book Mod­els Us­ing Es­tim­ates of VaR, Ex­pec­ted Short­fall and Real­ised p-­Val­ues
> Ab­stract    > Talk

Paul Em­brechts: How to Model Op­er­a­tional Risk
> Ab­stract    > Talk

Present­a­tion by Rüdi­ger Frey

From the cover: This com­pletely re­vised book provides the most com­pre­hens­ive treat­ment of the the­or­et­ical con­cepts and mod­el­ling tech­niques of quant­it­at­ive risk man­age­ment. Whether you are a fin­an­cial risk ana­lyst, ac­tu­ary, reg­u­lator or stu­dent of quant­it­at­ive fin­ance, Quant­it­at­ive Risk Man­age­ment gives you the prac­tical tools you need to solve real-­world prob­lems. Describ­ing the latest ad­vances in the field, Quant­it­at­ive Risk Man­age­ment cov­ers the meth­ods for mar­ket, credit and op­er­a­tional risk mod­el­ling. It places stand­ard in­dustry ap­proaches on a more formal foot­ing and ex­plores key con­cepts such as loss dis­tri­bu­tions, risk meas­ures and risk ag­greg­a­tion and al­loc­a­tion prin­ciples. The book’s meth­od­o­logy draws on di­verse quant­it­at­ive dis­cip­lines, from mathem­at­ical fin­ance and stat­ist­ics to econo­met­rics and ac­tu­ar­ial mathem­at­ics. A primary theme throughout is the need to sat­is­fact­or­ily ad­dress ex­treme out­comes and the de­pend­ence of key risk drivers. Proven in the classroom, the book also cov­ers ad­vanced top­ics like credit de­riv­at­ives. Provides en­hanced cov­er­age of Solvency II and in­sur­ance risk man­age­ment and ex­ten­ded treat­ment of credit risk, in­clud­ing coun­ter­party credit risk and CDO pri­cing.

Al­ex­an­der J. McNeil is Pro­fessor of Ac­tu­ar­ial Mathem­at­ics and Stat­ist­ics at Heri­ot-Watt Uni­versity in Ed­in­burgh.

Rüdi­ger Frey is Pro­fessor of Mathem­at­ics and Fin­ance at the Vi­enna Uni­versity of Eco­nom­ics and Busi­ness.

Paul Em­brechts is Pro­fessor of Mathem­at­ics at the Swiss Fed­eral In­sti­tute of Tech­no­logy in Zurich.