Einladung zur Vortragsreihe aus Finanz- und Versicherungsmathematik

Dr. Pavel V. Shevchenko

Principal Research Scientist
CSIRO Mathematical and Information Sciences
http://people.csiro.au/S/P/Pavel-Shevchenko.aspx

Quantitative Modelling of Financial Risks

Changes in information technology, globalisation, complex financial products and other factors expose financial industries to new risks. To ensure stability, new international regulatory frameworks (Basel II and Solvency II) have been developed for the banking and insurance industries. Currently, major financial institutions are undertaking quantitative modelling of risks to satisfy these requirements. A major component of financial risk is due to low probability but high consequence events. There are many unresolved problems associated with modelling such events, particularly for dependent events. Often expert opinions are used to supplement small datasets. Quantitative modelling in this area presents many challenges and different approaches are hotly debated. In this talk we discuss some statistical models used for modelling operational risk, credit risk, option pricing, commodities, claims reserving in insurance; and associated numerical techniques such as Markov chain Monte Carlo algorithms. We advocate the use of Bayesian inference method for risks where combination of several data sources (e.g. relevant external data, bank's internal data and expert opinions) is required. The method is also convenient to account for the model parameter uncertainty (often ignored in the current practices) in quantification of the capital requirements leading to an unpleasant increase of a bank capital.

Zur Person: Dr Pavel Shevchenko is a Principal Research Scientist in the Division of Mathematical and Information Sciences, CSIRO Australia. In CSIRO, he is leading research and commercial projects in the area of financial risk, in particular: modeling market, credit and operational risks; option pricing; insurance; development of relevant numerical methods and software.
More information is available from http://people.csiro.au/S/P/Pavel-Shevchenko.aspx

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Mag. Christoph Krischanitz
Präsident der Aktuarvereinigung Österreichs
Präsident des Österreichischen Förderungsvereins der Versicherungsmathematik

Dkfm. Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen

o.Univ.-Prof. Dr. Walter Schachermayer
Institut für Mathematik, Universität Wien

Univ.-Prof. Dr. Damir Filipović
Vienna Institute of Finance