Seminar Statistische Mechanik in der Finanzmathematik
Sprache des Tagungstitel:
Deutsch
Original Kurzfassung:
The main part of the talk reflected Measures of
Risk (Value at risk, Statistics of Extremal Events), Types of Risk (Market, Credit, Operational, Liquidity) and Managing of Risk (Hedging, Portfolio insurance, diversification, strategic management). We discussed the models studied in the Aso project "Risk assessment and audit under Basel II".
Forschungs-