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By attending this Workshop you will gain
- An understanding of innovative concepts of integrated risk-return management,
- An experience in new risk measures, including Conditional Value-at-Risk (CVaR) and Conditional Drawdown-at-Risk (CDaR),
- The knowledge of new methods of risk measurement and capital allocation that are appropriate for banks and other financial institutions,
- The ability to develop the conceptual framework and a consistent key ratio system for an integrated risk-return management of a portfolio,
- Insight into algorithms for finding risk-return optimum portfolios accounting for loss risk limitations from internal and regulatory points of view.
Who should attend
The workshop is directed towards members of risk management groups as well as of financial controlling divisions,
consultants and advisors active in providing services to financial institutions.
It is also of interest to academics, who want to get an insight into the practical implementation
of new concepts of risk and bank management.
Assumed Knowledge / Workshop Level:
The workshop level is intermediate. A basic understanding of capital markets and risk management is assumed as well as basic financial mathematics.
Workshop Lecturers
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Prof. Stan Uryasev at the University of Florida, is the director of the Risk Management and Financial Engineering (RMFE) Lab.
His research is focused on the development of efficient computer modeling and optimization techniques and their applications in finance,
including: risk management, portfolio optimization and optimal trading strategies.
He holds a Ph.D. degree in applied mathematics from Glushkov Institute of Cybernetics, Ukraine.
He has published three books (monograph and two edited volumes) and more than seventy research papers.
For additional information, see personal site http://www.ise.ufl.edu/uryasev
and site of the RMFE Lab., http://www.ise.ufl.edu/rmfe.
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Dr. Ursula A. Theiler,
Risk Training, CEO, is a professional training consultant who has conducted numerous trainings of financial institutions and companies related to bank and risk management.
Dr. Ursula A. Theiler holds a Doctorate Degree of the Banking Business Department of the Ludwig-Maximilians-University of Munich, Germany.
For additional information, see personal site http://www.ursula-theiler.de
and Risk Training site http://www.risk-training.org/.
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