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| [SFdS] Informations sur les activités du groupe BFA : Dr. Gilles ZUMBACH - WG Risk - Friday April 28, 2017 |
Dear All, The Working Group on Risk - CREAR, with the support of the IDS dpt, Institut des Actuaires, Labex MME-DII, and the group BFA (SFdS), has the pleasure to invite you to the seminar by: Dr. Gilles ZUMBACH White Oak Asset Management (Genève), Switzerland who will speak on Market Risk Methodologies, Volatility, Processes and Backtesting Date and place: Friday, April 28, at 12:30 pm, EEE - ESSEC La Défense (CNIT) – room 202 Abstract: The core ideas underlying the evaluation of market risks are presented, with a focus on the large scale applications relevant for the industry. The main methodologies used in practice (historical, RiskMetrics, ...) are introduced, emphasizing the hypotheses used in the computations, the importance of various forecasts, and the practical limitations related to the risk evaluation of large portfolios. The relationships with ARCH processes and volatility forecasts are presented, with the implications regarding extreme events and fat-tailed distributions, as well as the long memory of the heteroskedasticity. The role of the time horizon used in the risk estimation is discussed, with a focus on risk horizons up to one year that are relevant for pension funds and insurances. Finally, the peculiarities of the backtest adapted to risk evaluation are presented, with a focus on long risk horizons. As an example, the application of a recent risk methodology to the DJIA over one century puts the 2007/2008 crisis in perspective. Kind regards, Marie Kratz http://crear.essec.edu/working-group-on-risk |
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