Managing Financial Risks with Uncertainty

Sponsored by
The Australian Research Council
and the
NSW Department of State
and Regional Development

Date:

Tuesday, 25th July, 2006

Venue:

NSW Trade and Investment Centre
Department of State and Regional Development
Level 47 - MLC Centre,
19 Martin Place, Sydney

Time:

7.30 - 9:30 am

This two-hour seminar examined the use of Information-Gap Decision Theory for managing financial risk. 

The three pillars of financial risk are market, operational and credit risks. All three involve uncertainty when the probabilities of future returns, extreme events and defaults are unknown.

Value at risk (VaR) used to evaluate market risk is usually based on end-of-horizon portfolio value. Alternative measures of market risk such as minimum portfolio value take account of what can happen at intermediate times and do not involve uncertain measures of confidence intervals.

Imprecise probabilities and other techniques used to model environmental risks can be adapted and applied to the management of operational risk. Modelling credit risk with Information-Gap Decision Theory enables financial institutions to simultaneously satisfy regulatory requirements and profit aspirations with loan books and interest rate ratio among credit risk categories that have optimal immunity to uncertainty.

In order of appearance speakers were:

Prof. Colin Thompson, MASCOS Associate Investigator;
Prof. Yakov Ben-Haim, Technion Israel Institute of Technology;
Prof. Mark Burgman, Director, Australian Centre of Excellence for Risk Analysis; and
Prof. Ron Bewley, Head of Quantitative Research, CommSec.

Click on the names of presenters to download slides.

Photos from the Sydney Breakfast Seminar of Risk can be found here

A total of sixty-six people from Industry, Government and Academia attended.

Thanks to the New South Wales Department of State and regional Development, the Australian Research Council and all who attended. Click here for a copy of the promotional flyer that includes abstracts and speaker biographies. For enquiries regarding this breakfast seminar, e-mail: risk2@amsi.org.au

For more information, a PDF is available at this link.

AMSI/MASCOS Industry Marketing Manager
0400 225 711