Dresden 2009 – wissenschaftliches Programm

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AGSOE: Arbeitsgruppe Physik sozio-ökonomischer Systeme

AGSOE 4: Financial Markets and Risk Management III

AGSOE 4.1: Vortrag

Montag, 23. März 2009, 14:00–14:30, BAR 205

Reliable Quantification and Efficient Estimation of Credit Risk — •Jörn Dunkel¹ and Stefan Weber² — ¹Rudolf Peierls Centre for Theoretical Physics, University of Oxford, 1 Keble Road, Oxford OX1 3NP, United Kingdom — ²School of Operations Research and Information Engineering, 279 Rhodes Hall, Cornell University, Ithaca, NY 14853, USA

The present crisis in the global financial markets requires a critical review of current regulatory practice. Substantial efforts are required to devise efficient quantitative methods for a more reliable estimation of financial risks in the future. These tools must be able to detect extreme loss scenarios that are unlikely to occur but whose impact may be dramatic as illustrated by the recent liquidity crisis of Lehman Brothers, Merrill Lynch, AIG, and others. We report here a novel Monte-Carlo approach for the efficient computation of improved, convex risk measures. Unlike the current industry standard Value-at-Risk, these new risk measures are sensitive to the tails of loss distributions. They can provide a basis for more sensible risk management policies and help to prevent future financial turmoil.