講演会
過去の記録 ~11/02|次回の予定|今後の予定 11/03~
2010年11月04日(木)
10:40-12:10 数理科学研究科棟(駒場) 123号室
Jean Meyer 氏, 久松康子 氏 (BNPパリバ証券キャピタルマーケッツ・リスク管理部)
Market, Liquidity and Counterparty Risk (ENGLISH)
Jean Meyer 氏, 久松康子 氏 (BNPパリバ証券キャピタルマーケッツ・リスク管理部)
Market, Liquidity and Counterparty Risk (ENGLISH)
[ 講演概要 ]
1. Introduction to the market risk
- Introduction to the Risk Management
in the Financial institutions
- Overview of the main market risks
2. Market & Liquidity Risks –Basics
-Presentation of the main Greeks
-Focus on volatility risk
-Focus on correlation risk
-Conclusion (common features of the market risks)
3. Risk measure
- Stress test
- Value at risk
- Risks measure for counterparty risk
1. Introduction to the market risk
- Introduction to the Risk Management
in the Financial institutions
- Overview of the main market risks
2. Market & Liquidity Risks –Basics
-Presentation of the main Greeks
-Focus on volatility risk
-Focus on correlation risk
-Conclusion (common features of the market risks)
3. Risk measure
- Stress test
- Value at risk
- Risks measure for counterparty risk