Bodó-Győri, Nikolett
(Morgan Stanley)
Value at Risk models in quantitative
risk management
Value at Risk (VaR) is the number one risk management tool used by
financial institutions today. It is driving strategic decisions, new trades, portfolio
composition and many more. We will discuss why this is the favored method and also any drawbacks it may have. We will see various
numeric methods available to estimate the VaR, using
mostly probability theory and statistics. Finally we
will get into testing: how do I know if my model is correct? Backtesting is required by Basel rules and it is also the
ultimate proof of the pudding.
The talk is held in English!
Az előadás angol nyelven lesz megtartva!
Date: Sep. 26, Tuesday 4:15pm
Place: BME, Building „Q”, Room QBF13