Speaker: Dr. Jean-Phillipe Aguilar, Head of Pricing Models Audit, Societe Generale, Paris La Defense Abstract:Stochastic Volatility Jump Diffusion (SVJ) models combine the advantages of both stochastic volatility and jump models, while addressing some of their well-known limitations; moreover, they often calibrate well in equity and FX markets. In this talk we will focus on a […]

Speaker: Prof. Marta Malecka, Dept. of Statistical Methods, Univ. of Lodz, Lodz, Poland Abstract: The reformed Basel framework has left value at risk (VaR) as a basic tool of validating risk models. Within this framework, VaR independence tests have been regarded as critical to ensuring stability during periods of financial turmoil. However, until now, there […]