講演会

過去の記録 ~03/27次回の予定今後の予定 03/28~


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)
[ 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