The 1^st Leipzig Workshop on Quantitative Risk Management

Overview:

The workshop is based on the successful book Quantitative Risk Management: Concepts, Techniques and Tools (Princeton University Press 2005) by the three workshop presenters; all attendees will receive a copy. The material from the book will be enriched by an introduction to our latest research on credit derivatives, statistics for credit risk and quantitative modelling of operational risk.
Issues to be discussed include topical issues such as copulas, extreme value modelling techniques with operational risk in view, factor copula models for credit risk, pricing of synthetic CDO tranches and correlation skews, and new statistical methods for credit risk

Venue and Time:

Radisson SAS Hotel Leipzig (webpage)

Mi 5.9.2007 -- Fr,7.9.2007

Main Workshop Presenters:
Prof. Rüdiger Frey, University of Leipzig
Prof. Alexander McNeil, Heriott Watt University, Edinburgh
Prof. Paul Embrechts, ETH Zürich

Special lecture by
Prof .Thorsten Schmidt, University of Leipzig

See more information about principal workshop presenters including biographies.

This course is based on the new textbook Quantitative Risk Management: Concepts, Techniques and Tools by McNeil, Frey and Embrechts, but will be enhanced with new material. A number of topics from the book have been selected for a special focus, including: dependence modelling and copulas; the mixture-model approach to portfolio credit risk, including statistical estimation issues; copula models for pricing credit derivatives; pricing and risk management for synthetic CDO tranches; extreme value modelling techniques; a critical discussion of the AMA-approach for operational risk.

Course Contents:

Day 1: (5.9.2007): QRM -Basics

QRM: the Nature of the Challenge: financial risk in perspective; extremes and dependent extremes; loss distributions and risk measures, coherent risk measures
Multivariate Risk Factor Models: basic multivariate analysis; normal mixture models; estimation and testing;
Copulas: basics; normal mixture copulas; tail dependence; copula estimation; Archimedian copulas
Basic Credit Risk Modelling Introduction to credit risk modelling, Merton and KMV model, basic credit products

Day 2: (6.9.07): Credit Risk Modelling and Credit Derivatives

Mixture Models: general structure; one-factor models; KMV as mixture model; Basel II, model risk and basic simulation
Modelling the Default of a Single Firm: hazard rate and intensity; risk-neutral versus historical default probabilities; pricing a CDS; calibration
Dynamic Portfolio Models: factor copula models; Gauss copula model - the market standard; default contagion
Synthetic CDO tranches: payoff-properties, pricing approaches for CDOs, implied correlation skews, sensitivities
Special talk I: Statistical Inference for Mixture Models
Special talk II: New developments in CDO pricing

Day 3: (7.9.07): Extreme Risks, Insurance Analytics and Operational Risk

Modelling Extreme Risks: modelling tails with generalized Pareto distribution (GPD); estimating VaR and expected shortfall; the POT model
Insurance Analytics and Basics of Operational Risk: compound loss processes; heavy-tailed losses; modelling operational risk, advanced measurement approach (AMA)
Special talk III: Advanced measurement approach and risk aggregation: a critical assessment

We will reinforce the ideas presented in the workshop with occasional 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.

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 Euro. 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.

	All three days	One or two days
Business	EURO 1200	EURO 500 per day
Full-time academics or students	EURO 600	NA

Registration:

For further information and in order to register please contact Prof. Rüdiger Frey (Mathematisches Institut, Universität Leipzig, Postfach 10 09 20, 04009 Leipzig, Germany, Tel +49 341 9732181, Fax +49 341 9732197, ruediger.frey at math.uni-leipzig.de )

Accommodation: We have made a reservation for you in the conference hotel (Radisson SAS Leipzig) at a rate of Euro105 per night for a single room (breakfast included). This reduced rate is valid until 4 weeks prior to the event. Please contact the hotel directly in order to make/change your reservation and mention Quantitative Risk Management Universität Leipzig for your booking.

The 1st Leipzig Workshop on Quantitative Risk Management