Financial Engineering Workshop: Colin Turfus (Deutsche Bank)

Financial Engineering Workshop: Colin Turfus (Deutsche Bank)

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Workshop

Wed, 26 Feb 2020

5:40 PM – 7:15 PM

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Cass Business School, 106 Bunhill Row
2005

106 Bunhill Row, London EC1Y 8TZ, UK

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Colin Turfus has worked for Model Risk Management, Deutsche Bank, for the last six years. He will be giving a seminar titled "Scenario Generation for Risk Management" on Wednesday 26th February 2020 in Bunhill Row, room 2005. (Refreshments will be available in the room from 17:40).
 

Scenario Generation for Risk Management

Colin Turfus, Deutsche Bank

 

Risk management increasingly requires consideration of exposures (to counterparty or market risk) under multiple future scenarios. Various strategies can be adopted. Credit and rates markets raise non-trivial challenges around the evolution of curves (level and shape). While low-dimensional pricing models may give accurate fair value as the first moment of a distribution, exposure calculations require realistic representation of the overall distribution of prices (quantiles), not just its mean. So the use of higher-dimensional rates and credit models is desirable. We show how recently published analytic pricing kernels for one-factor Hull-White and Black-Karasinski models can be extended to an arbitrary number of dimensions to allow multi-dimensional rates and credit curves to be evolved simultaneously.”

 
Colin Turfus has worked for Model Risk Management, Deutsche Bank, for the last six years. He did his Ph.D. in mathematical fluid dynamics at Cambridge University. Colin has worked in quantitative finance for fifteen years, doing research into analytic short rate modelling for the last five years. I am currently working on a book on the subject for Wiley Finance.



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Where

Cass Business School, 106 Bunhill Row
2005

106 Bunhill Row, London EC1Y 8TZ, UK