The 3rd Zurich Workshop on Quantitative Risk Management

This year's workshop is timed to coincide with the publication by Princeton University Press of a new book Quantitative Risk Management: Concepts, Techniques and Tools by the three workshop presenters. The workshop material will be taken from the book and all attendees will receive a copy.

The workshop is an official event in the continuing education programme of the ETH and is also a recognized event in the NCCR FINRISK programme. The promotion, marketing and organisation are taken care of by mathrisk.com.

Potential attendees may care to note that the workshop is followed on Friday 21st October by the free event Risk Day 2005, an annual day of presentations organized by RiskLab Zurich and the Center of Competence Finance in Zurich, which is well attended by the local practitioner community as well as visitors from further afield.

Venue and Time:

Federal Institute of Technology (ETH), Zurich

Lecture Theatre HG D16.2
Monday to Thursday, October 17-20, 2005

Workshop Presenters:

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

See more information about workshop presenters including biographies.

Overview:

Course Contents:

Day 1: (17.10.05): QRM - Concepts, Techniques and Tools

• QRM: the Nature of the Challenge: financial risk in perspective; extremes and dependent extremes; loss distributions and risk measures
• Multivariate Risk Factor Models: basic multivariate analysis; normal mixture models; elliptical models; generalized hyperbolic models; estimation and testing; dimension reduction with factor models
• Copulas: basics; normal mixture copulas; Archimedian copulas; tail dependence; copula estimation

Day 2: (18.10.05): Extreme Risks and Insurance Analytics

• Modelling Extreme Risks: modelling tails with generalized Pareto distribution (GPD); estimating VaR and expected shortfall; the POT model
• Insurance Analytics: compound loss processes; heavy-tailed losses; applications to operational risk
• Dynamic Risk Models: volatility and GARCH; self-exciting point process models; dynamic extreme value models

Day 3: (19.10.05): Credit Risk Management

• Nature of the Challenge: credit model classification; industry models; KMV/CreditMetrics
• Mixture Models: general structure; CreditRisk+; one-factor models; KMV as mixture model; Basel II
• Monte Carlo Techniques: basic importance sampling (IS); IS for mixture models; example
• Statistical Inference for Mixture Models: estimating default correlations; mixture models as GLMMs

Day 4: (20.10.05): Dynamic Credit Models and Credit Derivatives

• Credit products: credit default swaps (CDS); collaterized debt obligations (CDOs); other portfolio products
• Modelling the Default of Single Firm: survival function; hazard rate and intensity; pricing a CDS; calibration
• Dynamic Portfolio Models: factor copula models; Gaussian copula model - the market standard; default contagion
• Introduction to Pricing Portfolio Credit Derivatives: pricing approaches for CDOs and basket default swaps; base correlation and base correlation skews; model risk

Examples with S-PLUS and S+FinMetrics:

We will reinforce the ideas presented in the workshop with practical examples 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. Participants who wish to reproduce the analyses on their own notebook computers will have the opportunity to install trial versions of the Insightful products and will receive additional free S-PLUS software from the workshop presenters.

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. The prices includes comprehensive course documentation, lunches and refreshments, as well as one evening dinner. A limited number of places at half price for the full course are available to full-time academics or students. Enquire about discounts for group attendance.

Registration

Accommodation:

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

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