DATE AND TIME Wednesday, January 21, 2015 at 3:30 PM PLACE Dept. Computer Science - UniVr - Strada le Grazie 15 - Ca'Vignal 2 - Room M
*Michele Bonollo* *Market Risk and the FRTB (R)-Evolution ? Review and Open Issues* ** We will present the so called * fundamental review of trading book *(FRTB) a new market risk approach published by the Basel commitee directive (i.e. papers 265 and 305). Such an approach implies that banking institutions have to move from the standard Value at Risk (VaR, quantile based) approach to the Expected Shortfall (ES, average over the tail) methodology as a measure of risk. The theoretical differences are well known, but some implementaion issues are very challenging for the banking industry, such as the backtesting procedures. In the seminar after a thoretical revew some practical cases will be discussed.
Details: http://www.di.univr.it/?ent=seminario&id=3262&lang=en
Best, LuCa
__ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance
Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968
Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686