Laurent Mortreuil, Jerome Brun: Basel II.5 : the regulators' reply to the limits of Value-at-Risk during the crisis

Spoštovani!

V petek, 14. oktobra 2011, na Fakulteti za matematiko in fiziko v Ljubljani gostimo strokovnjaka z ene največjih in najstarejših francoskih bank Société Générale. V okviru obiska bosta

Laurent Mortreuil (Head of Strategic Financial Planning for SG Group) in
Jerome Brun (Chief Financial Officer for Capital Markets)

izvedla dve predavanji z naslovom

Basel II.5 : the regulators' reply to the limits of Value-at-Risk during the crisis.

Povzetek:  Basel II gave banks the option to capitalize market risk via an advanced approach based on a fractile of the Profit and Loss distribution of the market activities - this is precisely VaR (Value-at-Risk). The 2007-8 crisis highlighted severe weaknesses of this framework. Our talk will review these weaknesses and see how the new fractile-based measures asked by the regulators can address them. We will finally discuss the implementation challenges : the new fractiles are very severe (99.9% vs 99% for VaR) and therefore more demanding in terms of modelling since fat tails are a must.

Prvo predavanje bo potekalo v okviru seminarja iz finančne matematike, in bo v petek, 14. oktobra 2011, ob 14.00 v predavalnici 2.03 na Jadranski 21 v Ljubljani. Avtorja bosta na predavanju podrobneje predstavila matematični vidik modeliranja tržnih tveganj.

Drugo predavanje bo izvedeno v sklopu Javnih predavanj in bo istega dne ob 18.30 v predavalnici 2.02. Na tem predavanju bo poudarek predvsem na ekonomskem vidiku.

Vljudno vabljeni!