Luis Ortiz-Gracia: course on Risk Management (I)

Speaker:    Luis Ortiz-Gracia, Department of Econometrics University of BarcelonaTitle:      Computational Aspects of Risk Management (Part I)Abstract:

11 Oct 2016 from 11:30 a.m. to 11 Oct 2016 1:30 p.m. CEST (GMT+0200)

Speaker:    Luis Ortiz-Gracia, Department of Econometrics University of Barcelona

Title:      Computational Aspects of Risk Management (Part I)

In this course, we will address some of the computational aspects of quantitative risk management. We start by reviewing the regulatory risk measures in line with the Basel Accords. Then we will study the most popular methods in market risk measurement, their advantages and drawbacks. Other topics are the estimation of bounds for the risk measures in absence of information about dependence and capital allocation. The last part of the course is devoted to measure the risk in credit portfolios touching upon the models for regulatory capital calculation as well as economic capital. We will present some of the recently developed numerical methods based on wavelets.

1. Basic concepts in quantitative risk management.
2. Non-linear portfolio market risk.
3. Risk aggregation with dependence uncertainty and capital allocation.
4. Portfolio credit risk.
5. Advanced numerical methods in risk management.