8th Parisian Model Validation Seminar
12/15/2011
Venue:
Institut Louis Bachelier, Palais Brongniart, 28 Place de la Bourse, 75002 Paris
with two talks by :
Nizar Touzi(Ecole Polytechnique)
Bounds on derivatives prices given marginals: an optimal transportation problem
and
Jean-Marc Eber(Lexifi)
Financial Contract Descriptions: What Finance should learn from Computer Science and why it should do so ?
Overview
In July 2009, the Basel Committee issued a directive requiring that financial institutions quantify “model risk”. The Committee further states that “banks must explicitly assess the need for valuation adjustments to reflect two forms of model risk: the model risk associated with using a possibly incorrect valuation methodology; and the risk associated with using unobservable (and possibly incorrect) calibration parameters in the valuation model." At first glance, this seems to be a simple adjustment to the risk assessment framework already defined by “Pillar II” directives, adding “model risk” to the panel of risks that already include market risk and specific risk. It turns out that measuring model risk is a much more complex task, and this directive creates new challenges for academic researchers as well as practitioners.
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Deadline for registration 12/12/2011
***
The Seminar can be attended free of charge. An email registration will be required to check for available seats.
To registrer, please send your name, surname, professional affiliation and contacts (e-mail, phone) by e-mail to ModelValidation@zeliade.combefore the registration deadline.
Institut Louis Bachelier, Palais Brongniart, 28 Place de la Bourse, 75002 Paris
with two talks by :
Nizar Touzi(Ecole Polytechnique)
Bounds on derivatives prices given marginals: an optimal transportation problem
and
Jean-Marc Eber(Lexifi)
Financial Contract Descriptions: What Finance should learn from Computer Science and why it should do so ?
Overview
In July 2009, the Basel Committee issued a directive requiring that financial institutions quantify “model risk”. The Committee further states that “banks must explicitly assess the need for valuation adjustments to reflect two forms of model risk: the model risk associated with using a possibly incorrect valuation methodology; and the risk associated with using unobservable (and possibly incorrect) calibration parameters in the valuation model." At first glance, this seems to be a simple adjustment to the risk assessment framework already defined by “Pillar II” directives, adding “model risk” to the panel of risks that already include market risk and specific risk. It turns out that measuring model risk is a much more complex task, and this directive creates new challenges for academic researchers as well as practitioners.
***
Deadline for registration 12/12/2011
***
The Seminar can be attended free of charge. An email registration will be required to check for available seats.
To registrer, please send your name, surname, professional affiliation and contacts (e-mail, phone) by e-mail to ModelValidation@zeliade.combefore the registration deadline.