Extreme Value Theory and Copulas: Workshop, 29 November 2005
Extreme Value Theory was originally conceived as the probabilistic theory
for studying rare events; copula functions are implemented for measuring
and optimising portfolio credit risk. This workshop features three
presentations by well-known European experts, which cover the application
of these powerful techniques to real world problems of operational and
credit risk. Attendees will gain valuable knowledge and new practical
techniques to apply in a variety of scenarios, including portfolio credit
risk measurement and management, for example:
• EVT is a valuable tool for managing operational risk
• Basel II for credit risk recommends the use of the Gaussian Copula
The workshop is divided into three sessions, as follows:
1. Quantitative Models for Operational Risk: Extremes, Dependence,
Aggregation and Robustness Paul Embrechts, Johanna Neslehova and Rosario
Dell’Aquila, ETH Zurich
2. Applying Extreme Value Theory and Copula Functions to market and
Operational Risk Claudio Romano, Capitalia Bank Holding, Rome
3. Measuring and Optimising Portfolio Credit risk: a Copula Based Approach
Annalisa Di Clemente, University of Rome “La Sapienza”
This event will take place on 29 November and is an excellent opportunity
for you to hear these top European speakers and benefit from their wide
experience in this field. Further details are available at
www.unicom.co.uk/finance and at www.carisma.brunel.ac.uk/FE.html.
This workshop is organized by The Centre for the Analysis of Risk and
Optimisation Modelling Applications (CARISMA) at Brunel University and
managed by UNICOM Seminars. It takes place at Brunel University campus,
West London.
For further details please go to www.carisma.brunel.ac.uk/FE.html or
www.unicom.co.uk/finance or email [log in to unmask] for a PDF filer.
Alternatively you may telephone UNICOM on +44 1895 256 484 for further
information.
We look forward to welcoming you to the Workshop on EVT and Copulas on 29
November.
Kind regards
Michael Sun
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