The 2nd Zurich Workshop on Quantitative Risk Management

Venue and Time:

Federal Institute of Technology (ETH), Zurich

Lecture Theatre HG D16.2
Wednesday-Friday, October 8-10, 2003

Workshop Presenters:

Prof. Alexander McNeil , ETH Zurich
Prof. Rüdiger Frey, University of Leipzig

Special invited lecture: Prof. Philipp Schönbucher, ETH Zurich,
author of Credit Derivatives Pricing Models: Model, Pricing and Implementation

See more information about workshop presenters including biographies.

Objective:

Financial risk management confronts us with a real world of rapidly fluctuating values, heavy-tailed risks and complex interdependencies, which forces us to go beyond standard statistical models and simplifying assumptions of normality to develop more sophisticated methodology. This course aims to familiarize practitioners of risk management with some of the modern quantitative tools necessary for a sound modelling of financial risks.

This year's workshop will have two main emphases: credit risk models on day two and dynamic time series models for market risk on day three. Day one will establish a number of fundamental ideas in quantitative risk management that are applied in the remainder of the workshop; special attention will be given to multivariate models for dependent risk factors including copulas and models for dependent extreme values.

Methods will be presented with extensive examples and the course will feature practical sessions using S-Plus and S+FinMetrics

Course Contents:

Day 1: Fundamentals of Quantitative Risk Management, Multivariate Models, Copulas

• Basics of Risk Management: financial risks and losses, risk measures, VaR, expected shortfall or conditional VaR, risk factors and mappings
• Standard Statistical Methods: variance-covariance, historical simulation, Monte Carlo, limitations of standard methods
• Fundamentals of Modelling Dependent Risks: stylised facts of multivariate risk factor data, basic multivariate statistics, multivariate normal distribution, multivariate normal mixture models, elliptical distributions, hyperbolic distributions, multivariate statistical methods, dimension reduction and factor models
• Modelling Dependence With Copulas: introduction to copulas, useful copula families, tail dependence
• S-Plus Practical: exploring multivariate risk factors, multivariate simulation techniques, exploring copulas, dimension reduction and factor models

Day 2: Special Day on Credit Risk

• Structural Models: Merton model, KMV/Moodys, CreditMetrics
• Models for Portfolio Credit Risk: models for dependent defaults (latent variable models and mixture models), industry examples, mapping between models, model risk issues
• Special Guest Lecture by Philipp Schoenbucher: recent advances in credit risk modeling
• Calibrating Portfolio Credit Risk Models: statistical issues in default modelling, calibrating Bernoulli mixture models to data
• S-Plus Practical: generating default data, fitting credit models to historical default data

Day 3: Financial Time Series and Market Risk Management

• Modelling Financial Time Series: basic time series concepts, review of ARMA models, empirical properties (stylised facts) of financial time series, stochastic volatility, ARCH and GARCH models
• Financial Time Series in Market Risk Management: conditional and unconditional risk measure estimation, backtesting, one-day and longer time horizons
• Multivariate Market Risk Models: multivariate time series models, multivariate GARCH models
• S-Plus Practical: dynamic models for financial time series in S-Plus (univariate and multivariate)

Examples with S-PLUS and S+FinMetrics:

We will reinforce the ideas presented in the workshop with practical sessions using S-PLUS and S+FinMetrics . S-PLUS is the powerful data analysis environment of Insightful and S+FinMetrics is an extensive toolkit for the analysis of financial data using advanced techniques in time series and econometric modelling.

Level of Course:

We will assume that participants are familiar with basic ideas in probability and statistics, at the level of a first university course in a quantitative discipline. However, we will always explain abstract ideas intuitively and illustrate them with examples that practitioners can relate to.

Price:

The workshop prices in the following table are in Swiss Francs. They include comprehensive course documentation, CD with examples, lunches and refreshments, as well as a dinner on the evening of Wednesday, 8th of October. A limited number of places at a reduced fee are available to full-time academics or students. Although course is conceived as a whole you can book two out of three days (for example days 1&2 for a credit focus or days 1&3 for a market risk and time series focus).

Enquire about discounts for group attendance.

Accommodation:

We ask you to book your own hotels. You may find a list of our suggested hotels here.

Return to main mathrisk.com home page.