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Day 1: Statistics of Extremes by Professor François Longin |  |
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Presenter: François Longin, Professor of Finance, ESSEC School of Business
Statistics of Extremes
The behaviour of asset prices
- Case study (use of a spreadsheet): Stylized facts
Extreme Value Theory
- The univariate case: different approaches to define univariate extremes and estimate probabilities of extreme events
- The multivariate case: different approaches to define multivariate extremes and estimate probabilities of joint extreme events
- Applications to finance (VaR and stress testing)
- How to estimate extreme value statistics in practice
Copulas
- Modelling the dependence of random variables
- Tail dependence
- Applications to finance
Drawdowns
- Theory and practice
Note: Participants should bring their laptop with Excel installed for Day 1 of the workshop
Day schedule: 09:00 – 17:00
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30
Day 1: Statistics of Extremes by Professor François Longin | Day 2: Stress Testing In Theory and In Practice: Expert Judgement, Market Intelligence and Quantitative Techniques by Riccardo Rebonato | Details: | download pdf
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Day 2: Stress Testing In Theory and In Practice: Expert Judgement, Market Intelligence and Quantitative Techniques by Riccardo Rebonato | |
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Presenter: Riccardo Rebonato: Global Head of Market Risk & Global Head of Quantitative Research, Royal Bank of Scotland
Stress Testing In Theory and In Practice: Expert Judgement, Market Intelligence and Quantitative Techniques
Introduction: Stress Testing In Theory & Practice
Uses and misuses of:
- VaR
- Economic capital
- Scenario analysis
- Stress testing
Stress testing:
- What is 'in the data' and what comes from expert judgement?
- How to build Bayesian nets to reflect our understanding of causal links among variables
- Obtaining useful bounds for joint subjective probabilities
Stress testing:
- Bottom up versus top down
- Determining the pros and cons in different environments (trading book, banking book, etc)
The link between stress testing and risk appetite
How to use expert judgement:
- Conditional probabilitie
- Correlations
- Causation
Graphical representation of stress results
Checking for consistency with subjective conditional probabilities: linear programming
Other intuitive and quantitative checks
How to link a bottom-up with a topdown stress test: compare and contrast with economic capital
The link with regulatory requirements
Real-life worked-out examples
Conclusion: The Reality Of Stress Testing
Day schedule: 09:00 – 17:00
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30
Day 1: Statistics of Extremes by Professor François Longin | Day 2: Stress Testing In Theory and In Practice: Expert Judgement, Market Intelligence and Quantitative Techniques by Riccardo Rebonato | Details: | download pdf
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Flight details:
All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.
Complimentary inbound transfer service:
WBS Training now extend our premium service to all our clients. This includes a complimentary inbound transfer from London airports to central London hotels for all workshops. If you require this service simply inform us up to 2 working days prior to your arrival (flight number, arrival time, airport and hotel destination) and we will arrange a complimentary pick up. You will be given a phone number to call on arrival and will be greeted at the airport by our partner taxi company.
Sponsorship:
World Business strategies Ltd, offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 674400
Disclaimer:
World business strategies command the rights to cancel or alter any part of this programme.
Cancellation:
By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.
Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.
Day 1: Statistics of Extremes by Professor François Longin | Day 2: Stress Testing In Theory and In Practice: Expert Judgement, Market Intelligence and Quantitative Techniques by Riccardo Rebonato | Details: | download pdf