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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.