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).