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.