Bringing Pedagogy Into the 21St Century
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Liquidity at Risk Joint Stress Testing of Liquidity and Solvency Risk
Liquidity at Risk Joint Stress Testing of Liquidity and Solvency Risk Rama Cont & Artur Kotlicki University of Oxford Laura Valderrama International Monetary Fund 1 Solvency stress testing 2 Solvency Risk • Solvency risk is driven by the difference in firm’s asset values and its liabilities. • Bank stress testing, which has become a key tool for bank supervisors, has also mainly focused on solvency risk. • Regulation of insurance companies also focused on solvency risk (Solvency II, Swiss Solvency test). • However, solvency risk does not give the full picture – we have spectacular failures of SIFIs due to lack of liquidity: • Bear Stearns held excess capital at the time of its default. • AIG, which failed to fulfill large payment triggered by a downgrade, was not insolvent at the time of failure. • Banco Popular, which failed through a lack of liquidity in 2017, displayed a capital ratio 6:6% in the 2016 EBA adverse scenario. 3 Liquidity Risk and Default • Liquidity risk: failure to meet a short-term payment obligation. • Default of payment is the legal definition of default. • Inherent risk to instability in short-term funding (e.g. debt roll-over risk) and cash-flows (e.g. variation margin). • Supervision and regulation of bank liquidity: • Liquidity Coverage Ratio (LCR): banks to hold liquidity provision for expected outflows over 30-day time horizon. • Net Stable Funding Ratio (NSFR): limits over-reliance on short-term wholesale funding and aims to increase funding stability. • Liquidity stress testing: e.g. ECB’s 2019 sensitivity analysis of liquidity risk (LiST) typically done separately from solvency stress testing. 4 Liquidity Risk Defining liquidity requires the introduction of a horizon T. -
7Th International Young Finance Scholars' Conference
7th International Young Finance Scholars' Conference 12-13 JULY 2021 Event Programme ZOOM PHBS UK CAMPUS Register at http://www.pku.org.uk/iyfs 1 Table of Contents Programme Overview ................................................................................................................................... 3 Welcome to the 7th IYFS Conference .............................................................................................................. 4 Registration .................................................................................................................................................. 5 How to register ......................................................................................................................................................5 Where to find your tickets ......................................................................................................................................5 What to do if your tickets are missing .....................................................................................................................5 Conference Organization .............................................................................................................................. 5 About Zoom breakout rooms .................................................................................................................................5 Eventbrite online event page..................................................................................................................................6 -
New Economic School Annual Report, 2000-2001 for the New Economic School, Moscow
New Economic School Annual Report, 2000-2001 for the New Economic School, Moscow Suite 1721, Nakhimovskii Prospekt 47, 117418 Moscow, Russian Federation. ( tel(7)(095) 129-3844 or 129-3722 @ fax(7)(095)129-3722 = E-mail [email protected] NES Annual Report, 2000-2001 Table of Contents Introduction _______________________________________________________________1 The Academic Program ______________________________________________________3 Overview _______________________________________________________________3 Course Offerings for Academic Year 2000-2001 _______________________________3 Pre-Academic Year______________________________________________________3 Module I: 4 September - 29 October 2000 ___________________________________3 Module II: 30 October - 24 December 2000___________________________________5 Module III: 15 January - 11 March 2001 _____________________________________7 Module IV: 12 March – 6 May 2001 ________________________________________8 Module V: 14 May - 8 July 2001 __________________________________________10 English Language Instruction _____________________________________________11 Faculty __________________________________________________________________12 Public Seminar _________________________________________________________13 The Students______________________________________________________________15 Current Students: Profile_________________________________________________15 TABLE 1.A: BACKGROUND INFORMATION ON STUDENTS ENROLLED AT NES, 2000-2001 -- CLASS OF 2001_________________________________________________________15 -
Barnard College Bulletin 2017-18 3
English .................................................................................... 201 TABLE OF CONTENTS Environmental Biology ........................................................... 221 Barnard College ........................................................................................ 2 Environmental Science .......................................................... 226 Message from the President ............................................................ 2 European Studies ................................................................... 234 The College ........................................................................................ 2 Film Studies ........................................................................... 238 Admissions ........................................................................................ 4 First-Year Writing ................................................................... 242 Financial Information ........................................................................ 6 First-Year Seminar ................................................................. 244 Financial Aid ...................................................................................... 6 French ..................................................................................... 253 Academic Policies & Procedures ..................................................... 6 German ................................................................................... 259 Enrollment Confirmation ........................................................... -
Model Uncertainty and Its Impact on Derivative Instruments
Mathematical Finance, Vol. 16, No. 3 (July 2006), 519–547 MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS RAMA CONT Centre de Math´ematiques Appliqu´ees, Ecole Polytechnique, Palaiseau, France Uncertainty on the choice of an option pricing model can lead to “model risk” in the valuation of portfolios of options. After discussing some properties which a quan- titative measure of model uncertainty should verify in order to be useful and relevant in the context of risk management of derivative instruments, we introduce a quantita- tive framework for measuring model uncertainty in the context of derivative pricing. Two methods are proposed: the first method is based on a coherent risk measure com- patible with market prices of derivatives, while the second method is based on a convex risk measure. Our measures of model risk lead to a premium for model uncertainty which is comparable to other risk measures and compatible with observations of mar- ket prices of a set of benchmark derivatives. Finally, we discuss some implications for the management of “model risk.” KEY WORDS: model uncertainty, Knightian uncertainty, option pricing, incomplete markets, volatility, ambiguity, coherent risk measures, convex risk measures 1. INTRODUCTION In March 1997, Bank of Tokyo/Mitsubishi announced that its New York-based deriva- tives unit had suffered a $83 million loss because their internal pricing model overvalued a portfolio of swaps and options on U.S. interest rates. A few weeks later, NatWest Capital Markets announced a £50 million loss because of a mispriced portfolio of German and U.K. interest rate options and swaptions run by a single-derivatives trader in London. -
Undergraduate Admissions
UNDERGRADUATE CATALOG UNIVERSITY OF THE PEOPLE September 1, 2020 – August 31, 2021 595 E. Colorado Blvd., Suite 623 Pasadena, CA 91101 www.UoPeople.edu [email protected] Tel. +1 626 264 8880 Table of Amendments (Ongoing) Section Amended (Nature of change) Page Number Effective Date Processing Fees (Addition) 50 August 23, 2020 August 23, 2020 Total Estimated Fees (Addition) 52 UoPeople Catalog | September 1, 2020 – August 31, 2021 2 Previous versions of the UoPeople Catalog can be found on the UoPeople website. Administration President Mr. Shai Reshef Provost Dr. David H. Cohen Chief Financial Officer Mr. Paul Affuso General Counsel Mr. Jeffrey Fromm, Esq. Senior Vice President for Enrollment Mr. Asaf Wolff Senior Vice President for Operations Mr. Rami Ish-Hurvitz Senior Vice President for Information Systems and Technology Mr. Brent Altman Vice President for Strategic Planning Mr. Yoav Ventura Vice President for Business Development Ms. Pascaline Servan-Schreiber Board of Trustees Mr. Ashok J. Chandrasekhar, Goldfarb Seligman & Co., Chair Hon. Justice Christine M. Durham, Utah Supreme Court Mr. Daniel J.H. Greenwood, Hofstra University Dr. Gabriel Hawawini, INSEAD Mr. Shai Reshef, President, University of the People Ms. Pascaline Servan-Schreiber, Vice President for Business Development, University of the People Mr. Antoine Van Agtmael, Foreign Policy Group UoPeople Catalog | September 1, 2020 – August 31, 2021 3 President’s Council President Emeritus John Sexton, New York University, Chair President Haifa Jamal Al-Lail, Effat University President Emerita Lisa Anderson, American University in Cairo Former President Craig Calhoun, London School of Economics and Political Science Former Chancellor Nicholas Dirks, UC Berkeley Rector Yves Flückiger, University of Geneva Principal and Vice Chancellor Suzanne Fortier, McGill University Rector Emerita Mrs. -
Pathwise Derivatives Valuation As a Cauchy Problem on the Space of Monte Carlo Paths
UNIVERSITY OF SOUTHAMPTON FACULTY OF PHYSICAL SCIENCES AND ENGINEERING Electronics and Computer Science Pathwise Derivatives Valuation as a Cauchy Problem on the Space of Monte Carlo Paths by Laurie M. Carver Thesis for the degree of Doctor of Philosophy September 2019 UNIVERSITY OF SOUTHAMPTON ABSTRACT FACULTY OF PHYSICAL SCIENCES AND ENGINEERING Electronics and Computer Science Doctor of Philosophy PATHWISE DERIVATIVES VALUATION AS A CAUCHY PROBLEM ON THE SPACE OF MONTE CARLO PATHS by Laurie M. Carver It is well-known that, under classical assumptions, the arbitrage-free value of European options contracts in complete continuous Markovian models is given by the solution to a Cauchy problem on Rd. Recent research has shown that similar results hold in a path-dependent context, whereby values solve an analogous Cauchy problem on the non-separable path space Dd of càdlàg paths, in an almost sure sense, that is – on an implicit subset with model probability one. This presents difficulties for numerical solution, as practitioners must work with real data time series and at most countably many operations. This thesis resolves this in a wide class of continuous path- dependent market models, by showing that in this context derivatives’ valuation is equivalent to any explicit 2 d solving a Cauchy problem for path in an subset of a new Banach space MP .R / of Monte Carlo paths, that is naturally adapted to practitioner intuition and numerical methods. First, we develop a new framework for the pathwise analysis of market risk models. Based on a new notion of pathwise variance that generalises existing notions of quadratic variation, we con- 2 d struct the new Banach space MP .R / and show how its geometry captures practitioner intuition about risk models’ volatility. -
Campus Issues.Qxd
American Jewry and the College Campus Best of times or worst of times? Deborah E. Lipstadt Samuel G. Freedman Chaim Seidler-Feller DOROTHY AND JULIUS KOPPELMAN INSTITUTE ON AMERICAN JEWISH-ISRAELI RELATIONS AMERICAN JEWISH COMMITTEE The American Jewish Committee protects the rights and freedoms of Jews the world over; combats bigotry and anti-Semitism and promotes human rights for all; works for the security of Israel and deepened understanding between Americans and Israelis; advocates public policy positions rooted in American democratic values and the perspectives of the Jewish heritage; and enhances the creative vitality of the Jewish people. Founded in 1906, it is the pioneer human-relations agency in the United States. To learn more about our mission, programs, and publications, and to join and contribute to our efforts, please visit us at www.ajc.org or contact us by phone at 212-751-4000 or by e-mail at [email protected]. American Jewry and the College Campus Best of times or worst of times? Deborah E. Lipstadt Samuel G. Freedman Chaim Seidler-Feller DOROTHY AND JULIUS KOPPELMAN INSTITUTE ON AMERICAN JEWISH-ISRAELI RELATIONS AMERICAN JEWISH COMMITTEE Dorothy and Julius Koppelman Institute on American Jewish-Israeli Relations of the American Jewish Committee The Dorothy and Julius Koppelman Institute on American Jewish-Israeli Rela- tions, founded in 1982 as an arm of the American Jewish Committee, is an interpreter of Israeli and American Jewry to each other, and seeks to build bridges between the world’s largest Jewish communities. Specifically, its goals are achieved programmatically through a variety of under- takings, including: –– An intensive immersion seminar for American college faculty in the history, poli- tics, culture, and society of modern Israel, conducted by Brandeis University. -
Systemic Risk : Channels of Contagion in Financial Systems Rama CONT
Systemic risk : channels of contagion in financial systems Rama CONT Systemic Risk • Systemic risk may be defined as the risk that a significant portion of the financial system fails to function properly. • The monitoring and management of systemic risk has become a major issue for regulators and market participants since the 2008 crisis. • The financial crisis has simultaneously underlined · the importance of contagion effects and systemic risk · the lack of adequate indicators for monitoring systemic risk. · the lack of adequate data for computing such indicators Many initiatives under way: new regulations (Basel III), new financial architecture (derivatives clearinghouses), legislation on transparency in OTC markets, creation of Office of Financial Research (US), various Financial Stability Boards BUT: methodological shortcomings, open questions Rama CONT: Contagion and systemic risk in financial networks Systemic Risk Various questions: Mechanisms which lead to systemic risk Measures / metrics of systemic risk Monitoring of systemic risk: data type/granularity ? Management and control of systemic risk by regulators Need for quantitative approaches and objective criteria to deal with these questions Rama CONT: Contagion and systemic risk in financial networks Channels of contagion: underlying network structure • Each of these mechanism may be viewed as a contagion process on some underlying “network”, but the relevant “network topologies’’ and data needed to track them are different in each case: • 1. Correlation: cross-sectional data on common exposures to risk factors/asset classes for tracking large-scale imbalances • 2. Balance sheet contagion: network of interbank exposures, cross-holdings and liabilities + capital • 3. Spirals of illiquidity: network of short-term liabilities (payables) and receivables + ‘liquidity reserves’ • 4. -
And Campus for All: Diversity, Inclusion, and Freedom of Speech at U.S. Universities
AND CAMPUS FOR ALL Diversity, Inclusion, and Freedom of Speech at U.S. Universities 1 AND CAMPUS FOR ALL Diversity, Inclusion, and Freedom of Speech at U.S. Universities October 17, 2016 © 2016 PEN America. All rights reserved. PEN America stands at the intersection of literature and human rights to protect open expression in the United States and worldwide. We champion the freedom to write, recognizing the power of the word to transform the world. Our mission is to unite writers and their allies to celebrate creative expression and defend the liberties that make it possible. Founded in 1922, PEN America is the largest of more than 100 centers of PEN International. Our strength is in our membership—a nationwide community of more than 4,000 novelists, journalists, poets, essayists, playwrights, editors, publishers, translators, agents, and other writing professionals. For more information, visit pen.org. Cover photograph: Chris Meiamed CONTENTS INTRODUCTION 4 Free Speech Controversies on Campus SUMMARY 8 PEN America Principles on Campus Free Speech LEGAL FRAMEWORK 10 Free Speech at U.S. Universities A CHANGING 12 AMERICA A Changing Campus THE NEW 18 LANGUAGE OF HARM Microaggressions, Trigger Warnings, Safe Spaces ENFORCING TITLE 26 IX Sexual Harassment and Free Speech SPEECH IN 32 A STRAITJACKET Concerns for Expression on Campus MORE SPEECH, 36 BETTER SPEECH Pushing Campus Expression Forward OUTSIDE INFLUENCES 42 The New Pressures of Social Media and Evolving Educational Economics CASE STUDY 46 YALE Chilling Free Speech or Meeting Speech -
Model Uncertainty and Its Impact on the Pricing of Derivative Instruments Rama Cont
Model uncertainty and its impact on the pricing of derivative instruments Rama Cont To cite this version: Rama Cont. Model uncertainty and its impact on the pricing of derivative instruments. Mathematical Finance, Wiley, 2006, 16 (3), pp.519 - 547. 10.1111/j.1467-9965.2006.00281.x. halshs-00002695 HAL Id: halshs-00002695 https://halshs.archives-ouvertes.fr/halshs-00002695 Submitted on 24 Aug 2004 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. Model uncertainty and its impact on the pricing of derivative instruments. Rama CONT Centre de Math´ematiques Appliqu´ees, Ecole Polytechnique June 2004.∗ Abstract Model uncertainty, in the context of derivative pricing, results in mis- pricing of contingent claims due to uncertainty on the choice of the pricing models. We introduce here a quantitative framework for measuring model uncertainty in option pricing models. After discussing some properties which a quantitative measure of model uncertainty should verify in order to be useful and relevant in the context of risk management of derivative instruments, we propose two methods for measuring model uncertainty which verify these properties, yield numbers which are comparable to other risk measures and compatible with observations of market prices of a set of benchmark derivatives. -
Barnard College Bulletin 2014-2015 3
Environmental Biology ............................................................... 279 Table of Contents Environmental Science .............................................................. 285 Barnard College .................................................................................... 3 European Studies ....................................................................... 293 Message from the President ................................................................ 5 Film Studies ............................................................................... 298 College .................................................................................................. 7 First-Year English ....................................................................... 304 Admissions ............................................................................................ 9 First-Year Seminar ..................................................................... 306 Financial Information .......................................................................... 11 French ........................................................................................ 315 Financial Aid ....................................................................................... 13 German ...................................................................................... 324 Academic Policies & Procedures ........................................................ 15 History .......................................................................................