Quantitative Risk Management

The next course will take place: Tuesday 23 - Friday 26 April 2019

 

Syllabus

  • Behavioural finance
  • Credit risk
  • Robust Methods
  • Counterparty credit risk
  • XVA Modelling
    • deriving a general mathematical framework for quantifying Credit, Debit, Funding and Capital Valuation Adjustments (collectively known as XVA)
    • illustrating the creation of an XVA simulation engine in the context of a hybrid multi-currency FX/IR risk factor model
  • Bayesian risk management
    • Why we need a different approach to risk management
    • Introduction to Probabilistic Graphical Models
    • Bayesian Nets in the discrete and continuous case
      • Conditional probability tables and sparse regression systems
      • The Master Formula
      • Automatic learning algorithms
      • Dynamic Bayesian Nets
    • Markov Random Fields in the discrete and continuous case
      • Potentials representation and sparse connections systems
      • Representation of networks of firms as Markov Random Fields
      • Automatic learning algorithms
    • Chain Graphs as the union of Bayesian Nets and Markov Random Fields
    • Application to the design of a stress testing scenario
    • Application to portfolio theory and optimization
    • Application to macro-hedging
    • Application to economic capital models of loan portfolios

Please note that in exceptional circumstances it may be necessary to cancel or alter a particular lecture, so that these details are subject to small variation.