The Quantitative Credit Risk Management at Portfolio Level course will be held on January 22nd, 23rd, 24th, 25th and 26th, 2018, from 15:30 to 18:30.
In this course, we will address some computational aspects of quantitative credit risk management. We start by reviewing the regulatory risk measures in line with the Basel Accords. Then we will study the estimation of bounds for the risk measures in absence of information about dependence and capital allocation. The last part of the course is devoted to measure the risk in credit portfolios touching upon the models for regulatory capital calculation as well as economic capital. We will present some state-of-the-art numerical methods to compute risk measures and their corresponding risk contributions.
Luis Ortiz Gracia is visiting professor at the Universitat de Barcelona School of Economics. He obtained a PhD in Mathematics from the Polytechnic University of Catalonia. His fields of research are Computational Finance and Quantitative Risk Management, with particular interests on wavelets-based methods for option pricing and aggregate risk measurement. He teaches Computational Aspects of Risk Management in the Master of Mathematics in Finance at the Autonomous University of Barcelona and Advanced Risk Quantification in the Master of Actuarial and Financial Sciences at the University of Barcelona. He led the Financial Mathematics and Risk Control research group at the Centre de Recerca Matemàtica and carried out research stays at the CWI in the Netherlands as well as in the School of Mathematics and Physics at the University of Queensland in Australia. Before he moved to the academia, he spent some years working on quantitative projects in several private firms within the fields of information technology, business and finance.
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