QUANTITATIVE RISK MANAGEMENT – IN THEORY AND IN PRACTICE
12-13 March 2015, London
- What is Risk?
- What are Fat Tails?
- The idea of fragility and how to measure it
- Size and scaling
- The law of large numbers in the real world
- What is complexity?
- How to price options using different distributions
- How to simulate fat tails
- How to measure model risk
- How not to measure model risk
- Sometimes it’s wrong to use probabilities
- The concept of delta-alpha
- The commonest quant mistakes
- The greeks that give you false hope
- Why calibration does not work
- The dangers of correlation
- The importance of nonlinearity
- Volatility nonsense
- What commonsense tells you about volatility, and turning that into a model
- Why simple models are often the best and why too much math can be dangerous
- A summary of what to do and where the real world is different
The URL for online payment is http://www.wilmott.com/seminar_wt.cfm
via Wilmott Forums – Wilmott and Taleb seminar 12-13 March London.
