Beyond Value at Risk: Tail Risk

Beyond Value at Risk: Tail Risk
Thought Leadership Webinar: This webinar attempts to answer three questions.
1. What is tail risk in financial markets?
2. Can it be measured?
3. And how can it be managed?
 
  Date:
February 17, 2021

  Time:
10:00 - 11:00 a.m. EST
3:00 - 4:00 p.m. GMT
 

  Presented By:
Leyla Greengard, PRM
Formerly of Invesco 

 Session Length:
60 minutes

 

About This Webinar

Value at risk is a notion used to separate “acceptable” losses from “unacceptable” ones. In this webinar, we will explore the other side of the VaR threshold. What can happen after the Var is breached?

Tail events are events that typically cause VaR limits to be breached, and in most cases our usual model for the behavior of random variables, the normal distribution, no longer applies. We will first establish our definition of tail events. We will then go over several ways of modelling and measuring the risk of tail events, and we will end by examining some practical tools currently available for hedging tail risks in the financial markets.

About Our Experts  

  
 
 

Leyla Greengard has over 20 years of experience in financial markets, of which over 15 years have been in portfolio risk management. Most recently she was the head of Fixed Income portfolio risk at Invesco and head of risk at MEAG (a Munich Re company). She is currently working on a Masters in Data Science from the University of California, Berkeley. She has a Masters in Mathematics from UC Berkeley as well, and is based in the New York City area.

 

Continued Risk Learning Credits: 1

PRMIA Continued Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email learning@prmia.org.

  Registration  
  Membership Type Price  
       
  Members (Sustaining, Corporate, RIM & Contributing)
COMPLIMENTARY  
  Non Member $30 USD
 
       

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When
2/17/2021 10:00 AM - 11:00 AM
Where
Thought Leadership Webinar
 

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