Date & Time: Friday, September 19, 2008, 15:00-16:00.
Venue: Ramanujan Hall

Title: Fat Tailed Distributions, Copulas and their Role in Value-at-Risk Measurement

Speaker: Rajeeva L. Karandikar, Cranes Software International Limited

Abstract: It is well known that most data from financial domain does not conform to Normal distribution, specially in the tails. However, it is the tails that are crucial for VaR (Value-at-Risk) measurement - a topic that is at center stage in view of Basel-II agreement.

The talk will focus on methods to deal with joint distributions where components are correlated fat tailed distributions using Copula in the context of VaR measurement.

The talk will be accessible to students in M. Sc. (Applied Statistics and Informatics).