| Starts: | Wednesday December 02, 2009 at 7:30pm |
|---|---|
| Ends: | Wednesday December 02, 2009 at 8:30pm |
| Event Type: | Training/Seminar |
| Location: |
Upstairs at City Pride 15 Westferry Road, Canary Wharf London, GREATER LONDON E14 8JH GB |
| Price: | 15 GBP |
| Website: | http://www.meetup.com/thalesians/calendar/11622834/ |
| Industry: | financial services |
| Keywords: | Volatility, Heavy Tails, Arma Garch, Copula, Factor Models, Forecasting, Tail Risk, Performance Measures, Portfolio Optimization, Econometrics |
| Intended For: | quants, traders, strategists, portfolio managers, academics |
| Organization: | The Thalesians |
PLEASE REGISTER HERE, NOT ON LINKEDIN ALONE:
http://www.meetup.com/thalesians/calendar/11622834/
ABSTRACT
We discuss:
* econometric models for volatile markets in large dimension, exhibiting volatility clustering and heavy-tails — ARMA-GARCH models with stable and tempered stable innovations;
* copula dependencies and factor models;
* forecasting market downturns;
* tail risk and performance measures;
* large scale portfolio optimization.
This is a joint work with my co-authors Aaron Kim, Stoyan Stoyanov, Boryana Racheva-Iotova, Michele-Leonardo Bianchi and Frank Fabozzi.
SPEAKER
Zari Rachev is a co-founder and President of BRAVO Risk Management Group — originator of the Cognity methodology, which was acquired by FinAnalytica where he serves as Chief Scientist. Rachev holds Chair-Professorship in Statistics, Econometrics and Mathematical Finance at University of Karlsruhe, and is the author of 12 books and over 300 published articles on finance, econometrics, statistics and actuarial science. At University of California at Santa Barbara, he founded the Ph.D.program in mathematical and empirical finance. Rachev holds PhD (1979) and Doctor of Science (1986) degrees from Moscow University and Russian Academy of Sciences. Rachev's scientific work lies at the core of Cognity's newer and more accurate methodologies in risk management and portfolio analysis.