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Property Derivatives: The Next Big Thing (Finally)?: Wilmott Magazine Article
Derek Nesbitt 581 Views

In this article we discuss the growth of the Property Derivative market, with an emphasis on the inherent difficulties in building standard pricing models for derivatives on an illiquid market such as real estate. We begin with an overview of the development of the property derivative market in recent years, and the impact of recent events relating to property valuations.

Mandelbrot's Extremism: Wilmott Magazine Article
Jan Beirlant, Wim Schoutens and Johan Segers 2710 Views

In the sixties Mandelbrot already showed that extreme price swings are more likely than some of us think or incorporate in our models. A modern toolbox for analyzing such rare events can be found in the field of extreme value theory. At the core of extreme value theory lies the modelling of maxima over large blocks of observations and of excesses over high thresholds. The general validity of these models makes them suitable for out-of-sample extrapolation. By way of illustration we assess the likeliness of the crash of the Dow Jones on October 19, 1987, a loss that was more than twice as large as on any other single day from 1954 until 2004.

RiskMinds International 2015 - 7-11 December 2015 - Amsterdam - 10% Wilmott discount
RiskMinds International 2015
7 - 11 December 2015
Okura Hotel, Amsterdam

10% Wilmott discount code: FKN2436WLW

Now in its 22nd year, RiskMinds International is the world's leading risk management conference and is fully established as the most senior gathering of the global risk management community.
600+ CROs, global Supervisors, renowned Academics and expert industry Practitioners will gather together this December to discuss the strategic, practical, regulatory and technical elements impacting risk management today.

Just some of the industry leading speakers on the line-up this year include:

Marc Moses, Group Chief Risk Officer, HSBC HOLDINGS
Wilfred Nagel, CRO, ING GROUP
Nassim Nicholas Taleb, Distinguished Professor Of Risk Engineering, Polytechnic Institute, NEW YORK UNIVERSITY
Stefan Walter, Director General, Macroprudential Supervision I, ECB
Hon William Hague, Former Conservative Party Leader, Foreign Secretary & Leader Of The House Of Commons
Mike Johnson, Head Of Banking Regulation & Supervision, FEDERAL RESERVE BANK OF ATLANTA
Elke König, Chair, Single Resolution Board, FINANCIAL STABILITY BOARD
Rick Bookstaber, Chief Risk Officer & Managing Director, Office Of The Chief Investment Officer, UNIVERSITY OF CALIFORNIA BOARD OF REGENTS
Lakshmi Shyam-Sunder, Vice President & CRO, WORLD BANK GROUP
Piers Haben, Director Of Oversight, EUROPEAN BANKING AUTHORITY
John Hulsman, Geo-Political Risk Expert; Senior Columnist, CITY AM & Life Member COUNCIL ON FOREIGN RELATIONS
David Rule, Executive Director, Prudential Policy Directorate, BANK OF ENGLAND
Paul Embrechts, Professor Of Mathematics & Director Of RiskLab, ETH ZURICH

For details of the 2015 programme and expert speaker list to date, please visit the website:

Don't miss details of the Global Risk Regulation Summit and the 6 Workshops we have on this year, covering: Value & Capital Management; Credit Risk; Cyber Security; Stress Testing; XVA and Risk Management In The Real World.

You can get a 10% discount when you quote the VIP code: FKN2436WLW

For more information or to register please contact the ICBI team on +44 (0) 20 7017 7200, email or book online:
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