[Blueboard] Special Lecture on Financial Math

evbagtas at mathsci.math.admu.edu.ph evbagtas at mathsci.math.admu.edu.ph
Mon Aug 6 16:36:46 PHT 2012

The Ateneo de Manila University
Mathematics Department

cordially invites you to a talk on

Market Value-at-Risk (Market VaR) Methodologies for
a Portfolio of Financial Assets


Emmanuel A. Cabral, PhD
Mathematics Department, SOSE

on Monday, August 13, 2012
4:30 - 5:30 pm at SECA 303.


A bank, financial institution or any company or institution in general  
may hold hundreds or thousands of financial assets in its portfolio.  
Each day, changes in the market variables or risk factors (e.g.  
interest rates, stock prices, foreign exchange rates etc.) that  
determine the values of these financial assets constantly expose the  
portfolio to market risk. As a measure of financial market risk,  
portfolio market VaR is a single number that summarizes the total risk  
in a portfolio of financial assets. It is a widely used measure of  
risk used by banks and financial institutions to manage and control  
their risk exposures from their regular trading activities. Bank  
regulators also use VaR to determine the required capital a bank has  
to keep for the risks it is bearing. In the Philippines, the Bangko  
Sentral ng Pilipinas (BSP) allows universal and commercial banks to  
use their own internal VaR models. The BSP requires from each bank,  
among other things, a full technical description of the model used and  
conducts periodic assessment of the models for compliance with  
qualitative and quantitative requirements.

The outline of this talk is tentatively given as follows:

I.   The Topology of Financial Risks
II.  The Uses of VaR as a Risk Measure
III. Interest Rate Models, Yield Curves and Valuation
IV.  VaR Estimation Methods Known in the Literature

    a.  Historical Simulation
    b.  Monte Carlo Simulation
    c.  Linear and Quadratic Models
    d.  Forecasting the Yield Curve
    e.  Stochastic Models

V.   Evaluation, Back-testing and Stress-testing
VI.  Other Measures of Risk
VII. Research Directions

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