Lectures on Quantitative Risk Management

Speaker(s): 
Paul Embrechts (ETH Zurich)
Date: 
Wednesday, April 25, 2012 - 4:00pm to Thursday, April 26, 2012 - 4:00pm
Location: 
Johann v. Neumann Haus; Room 1.013

The Humboldt Distinguished Lecture Series in Applied Mathematics is intended for graduate students in mathematics and economics. This year, it is delivered by Paul Embrechts, a pioneer in quantitative risk management and renowned  financial mathematician. The talks take place at the compus Adlersfof:

April 25th; 16:oo - 17:oo and 17:30 - 18:3o;
 Johann v. Neumann Haus; Room 1.013

April 26th, 16:00 - 17:oo and 17:30 - 18:3o;
 Johann v. Neumann Haus; Room 1.013.

There will be four talks:

  • Lecture 1: Risk Aggregation
    Besides the choice of an appropriate risk measure, a key question concerns: "What to do with it?" In this talk we will discuss some issues related to the aggregation of risk.
  • Lecture 2: Copula Theory and Applications: Quo Vadis?
    Since their introduction into finance and insurance around 1997, copulas have permeated both theory on and applications in quantitative risk management at all levels. In this talk we will stress some more mathematical research issues, especially for high dimensional problems.
  • Lecture 3: Four Theorems and a Financial Crisis
    Mathematics has been partially blamed for (some aspects) of the 2007-2009 credit crisis. Using four theorems we will highlight the (useful) role to be played by mathematics going forward.
  • Lecture 4: The Modeling of Rare Events: from Methodology to Practice and Back
    As the title says, this is a talk on the historical development of Extreme Value Theory, including theory and applications.