DATE AND TIME

 

Wednesday, January 21, 2015 at 3:30 PM 

 

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