Wednesday, June 11, 2014

Workshop on "Modeling Market Risk" June 23, 2014

The Armenian Economic Association 2014 conference will conclude with the workshop "Modeling Market Risk in Mathematica". The workshop is scheduled for 10AM-12PM, Monday, June 23rd, and description follows below. Registration is free, but is required to help decide on venue in case of sizeable interest.

Modeling Market Risk in Mathematica

With the creation of global financial networks, banking systems of most countries have become increasingly inter-linked. At the same time, changes in equity prices, interest rates, commodity prices and currencies, i.e. market risk, began to play an increasingly important role in overall risk exposure of financial institutions. Recent global financial crisis forcefully demonstrated great importance of properly measuring and managing risk and, in particular, market risk.

The purpose of the workshop is to discuss fundamental concepts and provide an overview of the key models most frequently used in measuring market risk. This is done in an environment particularly suited for building such models, namely using the software Mathematica (by Wolfram Research). All concepts are illustrated using real data. After the workshop, participants shall be given the fully functional interactive lecture notes written in Mathematica that they can later use to further explore these topics and continue learning about this important subject.

The workshop plans to cover most of the following topics:

• Stylized facts about asset returns
• Key measures of market risk: Value-at-Risk (VaR) and Conditional Value-at-Risk (CvaR)
• Historical Simulation VaR
• RiskMetrics approach to measuring VaR and CVaR
• Modelling conditional volatility dynamics: GARCH models
• Comparing VaR models
• Modeling non-normality of standardized asset returns
• Backtesting and stress testing market risk models

Workshop will be conducted by Branko Urosevic (PhD in Finance, UC Berkely, USA), Professor of Finance, University of Belgrade, and advisor to USAID/FED.
Workshop resgistration:

If you have not registered for the conference (, and are interested in attending, you may do so by following this link: