Brief Outline of the Workshop
Topic: Quantitative Financial Risk Management
Objectives: The two key objectives of this workshop are understanding the risk management standards of banking in the context of Basel regulations and an introduction to market risk, credit risk and operational risk from a mathematical point of view.
Contents: – The evolution of risk management standards in banking under the Basel Accord.
– Market risk, with an emphasis on Value-at-Risk (VaR), Expected Shortfall (ES)
Conditional Value-at-Risk (CVaR) and coherent measures of risk.
– Credit Risk, with a focus on Credit Ratings, Default Probabilities, Recovery Rates and
– Operational Risk models using Extreme Value Theory (EVT).
Takeaways: – Understanding of the Basel regulations.
– Mathematical models for market risk, credit risk and operational risk.
Speaker: Siddhartha Pratim Chakrabarty
Indian Institute of Technology Guwahati
Professor Chakrabarty earned his Ph.D. from the University of Illinois at Chicago and was a Visiting Fellow at the Tata Institute of Fundamental Research, Centre for Applicable Mathematics, before joining Indian Institute of Technology Guwahati as a faculty member. He has more than twelve years of teaching and research experience in the areas of financial engineering, computational finance, portfolio theory and financial risk management both at undergraduate and postgraduate level. He has several papers in the areas of computational finance, portfolio analysis and financial risk management in journals of repute such as Journal of Computational and Applied Mathematics and Asia Pacific Financial Markets.