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UnRisk: Exposure Skewness
Andreas Binder & Michael Aichinger

Swap 4175 between the City of Linz and BAWAG P.S.K. Is currently the subject of a trial at Vienna's commercial court. This article examines how a single instrument CVA calculation for Swap 4175 could be carried out. In such a CVA calculation, market risk and counterparty risk are coupled.

CQF Turns Eleven
Wilmott Magazine

As the Certificate in Quantitative Finance marks its 11th year we take a look at the history of a program that has built a reputation on delivering far beyond expectations.

Wilmott Magazine Article: How to Avoid a Hedging Bias
Antje Mahayni 3510 Views

Hedging strategies for derivatives which are considered in theory and applied in practice are understood to perform self-financing and to duplicate the final payoff. Of course, this is only valid with respect to an assumed model, called "hedging model", which specifies a set of postulates about the evolution of the underlying stock prices.

Wilmott and Taleb seminar 12-13 March London
Join Paul and Nassim for their infamous two-day seminar. Always at the cutting edge of financial thought.

QUANTITATIVE RISK MANAGEMENT - IN THEORY AND IN PRACTICE

12-13 March 2015, London


  • What is Risk?
  • What are Fat Tails?
  • The idea of fragility and how to measure it
  • Size and scaling
  • The law of large numbers in the real world
  • What is complexity?
  • How to price options using different distributions
  • How to simulate fat tails
  • How to measure model risk
  • How not to measure model risk
  • Sometimes it's wrong to use probabilities
  • The concept of delta-alpha
  • The commonest quant mistakes
  • The greeks that give you false hope
  • Why calibration does not work
  • The dangers of correlation
  • The importance of nonlinearity
  • Volatility nonsense
  • What commonsense tells you about volatility, and turning that into a model
  • Why simple models are often the best and why too much math can be dangerous
  • A summary of what to do and where the real world is different

Price: 1999 + VAT

The URL for online payment is http://www.wilmott.com/seminar_wt.cfm

This course is not available online
Course notes are not available separately
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