Slide 1
Slide 2
Slide 3
Slide 4
Coherent Measures &
Credit Risk
Coherent Measures &
Credit Risk
Derivatives
“Weapons of mass destruction”
Slide 8
Slide 9
Slide 10
Slide 11
“Simple” Questions
State of the Enterprise
Risk Market
(Banks) Mapped to Products
State of the Enterprise
Risk Market
(Asset Managers) Mapped to Products
State of the Enterprise
Risk Market
Mapped to Regulations
Slide 16
The Regulatory Environment
Use test to qualify for
waiver
Basel II Highlights
Basel II ..some quotes
Basel II ..some quotes
Basel II…
A journey rather than an event
Slide 23
Slide 24
Imagine…..
Architecture and Risk
Management
Debugging an Architecture
Guggenheim at Bilbao
Risk Computation Needs
Risk Computation
Needs
e.g. Counterparty credit exposures
"Monolithic"
Slide 32
Slide 33
Slide 34
An example of the
complexities
An example of the
complexities
The “Cube”
Slide 38
MtFCube Mapping
Mapping to Basis Instruments
Maps for Equities
A Swap Portfolio
Slide 43
"Consistent
Measurement of Earnings and..."
Slide 45
Only a few scenarios are
relevant!
Slide 47
Dynamic Portfolios
Slide 49
Funding Liquidity Risk
Slide 51
At the end of the day….
Simulation (the Upside)
Simulation (the Downside)
Decomposing a Risky
Decision
Risk-Adjusted Performance
The “Put / Call” Efficient Frontier
Risk-Adjusted Performance
The “Put / Call” Efficient Frontier
Dual of “Put / Call” Trade-off
Dual of “Put / Call” Trade-off
Complementarity
Complementarity
Modelling Liquidity
The Put/Call Efficient
Frontier
A Portfolio in the Future
Replication
Single Period, Multi State
“Regret” Based Efficient Frontier
A “Nobel” Quote
Images of a Portfolio
Inverse problems
Slide 72
Value-at-Risk (VaR)
Portfolio Compression
Compressed Portfolio
Compression Results
"The End"