Seminar Quantitative Financial Risk ManagementNGB/LNMB Seminar
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Program NGB/LNMB Seminar(Click here for WORD document.)
|Welcome and introduction
Dr. Pieter Klaassen (ABN AMRO bank / Vrije Universiteit Amsterdam)
Quantitative Risk Management at ABN AMRO (preliminary title)
Dr. Jan Sijbrand (ABN AMRO bank) (Click here for Power Point file of presentation.)
Market Risk Measurement: Models, Megastars and Myths
Drs. Theo Kocken (Rabobank) (Click here for Power Point file of presentation.)
Optimal Portfolios under VaR-Constraints
Prof.dr. Ton Vorst (Erasmus Universiteit Rotterdam)
Recently, financial institutions discovered that portfolios with a limited Value at Risk often showed returns that were close to the VaR and had large losses in the cases where losses exceed VaR. In this paper we consider the construction of portfolios that maximize expected return with a restriction on the Value at Risk. We give both discrete and continuous time results. These theoretically optimal portfolios indeed have the properties as experienced by financial institutions and illustrate that maximizing under a VaR-constraint is very dangerous. We also show that some alternative restrictions will not help and only restrictions on the use of specific instruments in the portfolio might lead to acceptable portfolios.(Click here for Power Point file of presentation.)
Risk Management and Quantitative Methods
Prof.dr. Arjen Ronner (Philips Electronics & Vrije Universiteit Amsterdam)
At Philips the activities regarding risk management in a broad sense (including insurance) have been centralised and restructured. In the analysis and the structuring of the insurance programs quantitative methods have proven to be essential. The complexity of managing world-wide insurance programs, identifying and measuring risk asks for a great deal of quantitative knowledge and also requires versatile IT systems from all players involved: production units, insurance brokers, insurance companies and damage experts. With the help of a/o. trainees from the Econometrics department at the Vrije Universiteit damage analyses were made for risk management in practice.
Limits to Quantitative Risk Management
Prof.dr Jean Frijns (ABP & Vrije Universiteit)
From the perspective of practical use, I shall address the contribution of quantitative risk management in a financial institution specifically in a pension fund. I shall also explicitly emphasise the limitations from a methodological as well as a practical point of view. The continuous thread running through my address will not be the techniques, but the intrinsical structure of the investment process, where quantitative (risk management) methods sometimes play an important role, and sometimes they do not. In any case the following items will be addressed:
The Future of Quantitative Risk Management
Prof.dr. Guus Boender (ORTEC & Erasmus Universiteit Rotterdam & Vrije Universiteit Amsterdam)
I will address the empirical benefits and criticisms of quantitative risk management in the financial markets. I will in particular focus on risk management for pension funds, with extensions to insurance companies, banks and individuals.
After the conference there will be an informal drink at the bar of the conference center.
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