Скачать или смотреть Macro-modelling: capturing contagion and downside risks

Investment risk models and economic assessments work well during periods of business-as-usual, but are deficient when the economy switches into a financial crisis. There are many examples of the failures of otherwise-reliable risk models during periods of market turmoil. Understanding the process of contagion in the financial markets, to the global banking system, and to sovereign and central banks remains a severe challenge. Regulators have responded to the financial crisis failures of 2008 by requiring financial institutions to instigate stress tests to demonstrate that their practices and risk capital are adequate for future crises, but these stress tests have been controversial.

The Market Risk seminar, held on 8 December 2015 at the University of Cambridge Judge Business School, presented research work from the Cambridge Centre for Risk Studies, together with contributions from leading practitioners in understanding market tail risks, developing coherent stress tests, and instigating effective risk management strategies.

Presentation by Keith Church.