Event: New Framework to Estimate Systemic Tail-Risk in the Financial Sector and Implicit Government Guarantees to Banks
Date: October 28, 2009
Time: 6:00 Registration and Coffee Reception
6:30-7:30 Event
Location:
PricewaterhouseCoopers
300 Madison Avenue (at 42nd Street)

Room 22109
New York

International Association of Financial Engineers presents

An IAFE Members Only Tutorial

New Framework to Estimate Systemic Tail-Risk in the Financial Sector and Implicit Government Guarantees to Banks

October 28, 2009
6:00 Registration and Coffee Reception
6:30-7:30 Event

PricewaterhouseCoopers

300 Madison Avenue (at 42nd Street)

Room 22109

New York

Presented by

By Dale Gray

Sr. Risk Expert

International Monetary Fund

 

This presentation describes a new framework using  contingent claims analysis (CCA)  to estimate potential bank losses (in the event of distress) and the magnitude of implicit government guarantees. Equity market, CDS, and balance sheet data are used to estimate CCA models for key banks and  “Systemic CCA”, based on  extreme value theory, it used to  estimate the multivariate dependence structure between banks, and to quantify the contribution of banks to government contingent liabilities and systemic tail-risk.. It draws on a new  paper co-authored with Andy Jobst, as well as the recently published book, Macrofinancial Risk Analysis (D. Gray and S. Malone), and his joint work  with Robert Merton.

This event is only open to IAFE Practitioner and Academic level members.  No Student member registrations will be accepted.

IAFE Members click here to register.