In banking and insurance, risk assessment is a major concern for managers and regulators. The computation of solvency requirements within regulatory frameworks such as Basel III and Solvency II requires accurate modeling of the risks inherent to high-dimensional portfolios.
Financial institutions are exposed to many sources of risk which are hard to model. The uncertainty inherent to these models gives rise to regulatory arbitrage, robustness, and back-testing issues in risk measurement procedures. These challenges are even greater in times of economic crisis because of the highly unpredictable nature of risks under stress. To strengthen the stability of the worldwide financial system, a better understanding of the performance of various models in the presence of uncertainty is much in need.
This workshop aims to bring together leading international experts from both academia and industry. Invited speakers were carefully selected to present their recent work on uncertainty in risk assessment, risk aggregation, statistical risk analysis, systemic risk, and regulatory capital calculations.
Students and postdoctoral fellows are encouraged to present a poster at the workshop. One poster session has been scheduled, as well as two sessions of short lightning talks, so that trainees can introduce themselves and their work to the entire audience.
Limited student travel grants are available. Apply early.