CIM PROGRAMS AND ACTIVITIES

October 21, 2014

PRMIA Risk Management Seminars 2010-11

Launched in Spring 2004 the PRMIA Risk Management seminar presents talks on issues of current interest to both professionals and academics in the fields of risk mananagement. PRMIA is an international association of professional risk managers. The seminar series is co-sponsered by the Toronto chapter of PRMIA and by the Fields Insitute. Talks cover a broad range of topics, not necessarily restricted to research in mathematical finance, the topic of the longstanding and complementary Quantitative Finance seminar series.
Please subscribe to the Fields mail list to be informed of upcoming seminars.

UPCOMING PRMIA SEMINARS 2010-11

April 7, 2011
5pm
Room 230

STRESS TESTING-INSIGHTS ON RISK MANAGEMENT

PRMIA Toronto would like to invite you to attend the Global Event Series on Stress Testing.
The recent financial crisis has highlighted a number of shortcomings in risk managements, especially when liquidity dries up or large tail events occur. Combining traditional risk metrics with additional risk measurement tools such as stress tests adds qualitative judgement to the existing quantitative framework. Join us for an insightful discussion on stress testing with industry experts. Attendees will also have the opportunity to network and enjoy light refreshments in a relaxed environment.

Speakers:
Melissa Van Hees
(Concordia Advisors)
Stress Testing: A practitioner's perspective

Financial instability is here to stay, therefore stress testing will continue to be an important part of the risk managers' tool kit. Stress tests in the past used to mostly focus independently on each type of risk (market, counterparty, credit, liquidity, operational) and were performed inside the risk function with little dissemination to outside groups. The tests also tended to rely too much on probabilistic approaches. Stress testing must be comprehensive, integrated, and incorporate systemic considerations. The presentation will touch on some newer concepts such as reverse stress tests, varying time horizons, and stressing the entire balance sheet. Infrastructure and changes to existing governance frameworks will also be discussed.

Dr. Lance Smith (Imagine Software)

Stress testing has become the pre-eminent tool for portfolio risk management, supplanting the traditional parametric VaR calculation. As a consequence risk management has, in a way, become more subjective in that there is no clear methodology for designing these stress tests: what factors should be stressed, by how much and with what probability? In addition, when stressing a particular factor, how can we quantify the collateral effect on the remaining factors? The parametric VaR calculation, while deficient in some ways is not nearly as subjective in that the inputs are usually computed from time series using standard statistical algorithms. We seek a way to meld both methods together in a way that maintains the intuitiveness of stress testing and the statistical rigor of parametric VaR. This idea can be extended to the nonlinear factor approach to risk management, as well as to empirical distributions.

Event moderator: Grigoris Karakoulas (Infoagora)

Agenda:

5:15 pm Opening/ registration
5:30 pm – 6:30 pm Speaker presentations
6:30 pm Questions and Answers, Networking

PRMIA Toronto would like to thank Imagine Software for sponsoring this event.

PREVIOUS PRMIA SEMINARS

March 23, 2011
5pm- 7pm
Room 230

Operational Risk - Bridge Between Theory and Practice, Recent advances in loss distribution approach
PRMIA Toronto Chapter is hosting a discussion on Operational Risk. Recent market events have placed paramount importance on understanding and managing operational risks. Our expert speakers will discuss different approaches and implementation practices for operational risk management, as well as provide an overview of recent regulatory developments in these areas. Attendees will also have the opportunity to network and enjoy light refreshments in a relaxed environment.

Registration starts @ 5:00 p.m., event @ 5:30, networking from 6:30 to 7:00 p.m.
PRMIA members may register at: http://www.prmia.org/events/view_events.php?eventID=4390
Non-PRMIA members may register by becoming members (it’s free and takes 1 minute) or by contacting support@prmia.org. Click here for membership registration or contact PRMIA's main office at +1-612-605-5370.

Speakers:
Pablo Olivares, ssistant Professor, Ryerson University
Computing OR-risk measures: recent techniques and open problems.
Recent advances in the Loss Distribution Approach. Techniques for the computation of OR-VaR. Modeling cell severity and frequencies. Aggregate losses. Modeling dependencies between cells. Copulas. Asymptotic methods. Extreme Value approach. Combining external and internal data.

Zeljko Sokolovic, Associate Vice President, Toronto Dominion Bank
Aspects of Advanced Measurement Approach for OR .
Basel II Advanced Measurement Approach for Operational Risk. OEX consortium data. Loss Distribution Approach. Dependencies between units of measures.

Flora Do, Senior Manager, Deloitte
Managing Operational Risk – Focusing on What’s Practical.
Despite many advances in tools, techniques and thinking over the past decade or so, operational measurement is still immature and continues to remain an area for research and experimentation. Given this situation, an intensified focus on enhancing the management of operational risk, particularly with regard to unexpected events, is imperative. We will share practical observations on how leading organizations are improving the use and effectiveness of tools to better manage operational risk.

 

 

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