Math Club

Mathematical Foundations of Financial Risk Management
Thursday, 15 March 2018 - 2:30 pm to 3:30 pm
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Free of charge
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Speaker: Rafal Kulik


We will discuss measures to describe financial risk: credit risk, operational risk, insurance risk among others. In particular, we will introduce Value-At-Risk and Expected Shortfall. We will calculate risk measures for some simple probabilistic models. Next, we will address the issue of estimation of risk measures: parametric, semi-parametric and non-parametric methods will be introduced.  

Towards the end of the talk, we will present the mathematical and statistical challenges and open problems related to risk measures, to stimulate your research interest in the field.