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An Holistic Approach for Better Risk Measures

Date：2015-09-11 From：

Title：An Holistic Approach for Better Risk Measures

Speaker：Dominique

Time:：10:00-11:00, Sept. 14 (Monday), 2015

Place：Room C, Building 3th.

Abstract:

Since 1995, regulators aim to control risks of the banks through specific strategies imposing on one hand the distributions which characterize the risk factors, on another hand the choice of the risk measure, and also the level of confidence and finally the way to measure the dependences. Such scattered strategies imply confusion, bias, uncertainties, etc. in the computation of the global risks and the allocated capital. Through examples around the computations of the VaR and ES for several distributions and confidence levels we observe these phenomena and question on a “good” strategy in terms on risk management. These thinkings are link also to the adequate way for measuring tail dependence permitting to discuss advanced copula methods.

Bio:

Teaching in English in Masters Formations in Econometrics, Finance and Statistics inside University Paris1 Pantheon-Sorbonne (128 hours by year).

Head of the Master 2 formation MMMEF, track ¨Quantitative Finance〃 in the University Paris1 Pantheon-Sorbonne.

Research inside the Centre Economy de la Sorbonne (CES) in Paris. The main fields are : Nonlinear time series Risk measures in finance Financial markets  Parametric and nonparametric statistical methods Deterministic chaotic systems. Calibration and estimation.

Currently supervision of 8 PhD students inside the CES.

Head of the team: Finance Banking and Insurance inside CES: Organization of the monthly seminar in Finance.

Elected member of the “Specialists Committee〃.

Member of the Paris 1 - Selection Committee since 2010 to recruit professors and associated professors in applied mathematics.

Responsible of several international conventions (with Russia, Australia, some places in Europe).

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