Lectures

Seminar information archive ～10/10｜Next seminar｜Future seminars 10/11～


2010/11/04

10:40-12:10   Room #123 (Graduate School of Math. Sci. Bldg.)
Jean Meyer, Yasuko HISAMATSU (Risk Capital Market Tokyo, BNP Paribas)
Market, Liquidity and Counterparty Risk (ENGLISH)
[ Abstract ]
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