清华大学经济管理学院中国保险与风险管理研究中心

双周学术讨论会

报告主题： 巴塞尔3.5：一份来自学术界的回应——风险累积与模型不确定性

报 告 人： 王若度博士是加拿大滑铁卢大学精算学助理教授。他获得了美国乔治亚技术研究所授予的数学博士学位。他的研究兴趣包括：概率、统计、精算学和定量风险管理，目前主要关注依赖建模和风险累积。加拿大自然科学与工程研究委员会为王若度博士的研究提供了资助。

报告时间： 2013年12月25日星期三 14：30-16：00

报告地点： 清华大学经济管理学院伟伦楼453会议室

报告语言： 中文

主办单位： 清华经管学院中国保险与风险管理研究中心；清华经管学院金融系

摘    要： 近期金融业的危机显示出风险加权资产(RWA)模型的乏力。较小的模型变化就能引发风险加权资产模型参数重大变化。类似的问题也出现在风险价值（VaR）模型中，即模型不确定性下的风险累积。本次讲座，我们着重从数学的角度探讨风险价值、预期不足(ES)及其它风险管理技术。本次讨论的背景框架是巴尔塞3.5。

清华大学经济管理学院中国保险与风险管理研究中心双周学术讨论会简介：

清华大学经济管理学院中国保险与风险管理研究中心从2011年3月4日开始，在每个学期隔周举办“双周学术讨论会”。每次讨论会主要围绕风险管理与保险领域的理论与实践问题，进行学术交流和研讨。欢迎在京高校老师和研究生届时参加！也欢迎大家参与报告和现场讨论！

欲了解更多信息，请登陆“中国保险与风险管理学术网”  http://www.ccirm.org/academic

联系人：

阎学煌

清华大学经济管理学院中国保险与风险管理研究中心

清华大学经济管理学院伟伦楼376室, 100084

电话：010-62773414；传真：010-62796801；电邮：yanxh2@sem.tsinghua.edu.cn

CHINA CENTER FOR INSURANCE AND RISK MANAGEMENT (CCIRM), TSINGHUA SEM

DUAL-WEEK SEMINAR

TOPIC: An Academic Response to Basel 3.5

SPEAKER: Dr. Ruodu Wang is an Assistant Professor of Actuarial Science at the University of Waterloo in Canada. He received his Ph.D. in Mathematics from the Georgia Institute of Technology in the USA. His research interests include Probability, Statistics, Actuarial Science and Quantitative Risk Management, with current focus on dependence modeling and risk aggregation. His research is funded by the Natural Sciences and Engineering Research Council of Canada.

DATE/TIME: Wednesday, December 25, 2013, 2:30pm-4:00pm

VENUE: Meeting Room 453, WeiLun Building, Tsinghua SEM

LANGUAGE: Chinese

ORGANIZERS:

China Center for Insurance and Risk Management (CCIRM), Tsinghua SEM;

Department of Finance, Tsinghua SEM

ABSTRACT:

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWA). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the VaR-aggregation of risks under model uncertainty. In this talk we highlight some of the underlying issues related to VaR, ES and other risk management techniques from a mathematical perspective. In particular we frame this discussion in the context of two recent regulatory documents we refer to as Basel 3.5.

A Brief Introduction to the Dual-week Seminar of CCIRM, Tsinghua SEM:

China Center for Insurance and Risk Management (CCIRM), a research center of the School of Economics and Management, Tsinghua University (Tsinghua SEM), has held dual-week seminars during each semester since March 4, 2011. Covering theoretical and practical issues related to risk management and insurance, these seminars facilitate academic exchanges among faculty members and research students, both internally as well as externally.

Detailed information is available at the website: http://www/ccirm.org/academic

Contact Us:  

Yan Xuehuang

Room 376 Weilun Building,

School of Economics and Management, Tsinghua University,

Beijing, P.R.C., 100084