Mathematical Finance Seminar – Spring 2018

Schedule for Spring 2018

Seminars are on Thursdays
Time: 4:10pm – 5:25pm
Location: Columbia University, 903 SSW (1255 Amsterdam Ave, between 121st and 122nd Street)

Organizers: Ioannis Karatzas, Marcel Nutz, Philip Protter, Yuchong Zhang

MAFN Seminar Archive

*Tuesday 1/23/18

Hao Xing (LSE)

Title: Capital allocation under the Fundamental Review of Trading Book

Abstract: The Fundamental Review of Trading Book (FRTB) is a revised global regulatory framework on market risk proposed by the Basel Committee on Banking Supervision. It aims to replace the current market risk framework under Basel II by 2019. The FRTB shifts from Value-at-Risk to an Expected Shortfall (ES) measure. Varying liquidity horizons are also incorporated into P&L of risk positions to replace the static 10-day horizon used in the current practice. Under the new framework, banks need to allocate economic capital to each risk position in order to evaluate its performance and risk. In this talk, we will introduce two computational efficient methods for capital allocation under FRTB. Simulation results will be presented to illustrate new features of these methods under the new framework comparing to standard methods under the current framework. This is a joint work with Luting Li.

*Tuesday 1/30/18

*1025 SSW

Goncalo dos Reis (Edinburgh)

2/8/18

Vladimir Vovk (Royal Holloway, London)

2/15/18

Kostas Kardaras (LSE)

2/22/18

Yash Kanoria (Columbia GSB)

3/1/18

 

3/8/18

 

3/15/18  
3/22/18

 

3/29/18  
4/5/18

 

4/12/18

 

4/19/18

 

 

4/26/18

 

Vladimir Vovk (Royal Holloway, London)​