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Rutgers University to Host Statistics for Risk Conference This Week

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Rutgers University’s Master of Financial Statistics and Risk Management (FSRM) programme will host the Rutgers Statistics for Financial Risk Management Conference this coming Thursday, November 7. The event reflects the FSRM programme’s emphasis on statistical and data analytics tools for measuring, monitoring, managing and mitigating uncertainty, risk and volatility.

“We are keen to establish a centre of excellence and a leadership position in this dynamic field of study,” says Neville O’Reilly, Associate Director of the FSRM programme. The Rutgers University FSRM Master’s Degree programme emphasizes a practical approach to risk management with courses in probability, statistics, computational methods and data analysis tailored to financial applications and risk management. Traditional quantitative finance programs focus primarily on mathematical modeling for developing and pricing complex derivative products.

Thursday’s event features a field packed with heavy-hitters in the risk analysis field. The panel includes Jin-Chuan Duan of the National University of Singapore – known for his work on the GARCH option pricing model – who will address Cascading Defaults and Systemic Risk of a Banking System.

Wolfgang Härdle of Humboldt-Universität zu Berlin will present on CoVaR in Very High Dimensions, including a discussion of how to deal with the problems of estimating correlations in data with a very high number of dimensions.

James Hobson of Bloomberg’s Machine Learning & Statistical Inference group will talk about Cross-lingual Information Arbitrage: Mitigating Global Market Inefficiencies.

University of Chicago’s Ruey Tsay will speak about Market-Based Credit Ratings. Tsay has made fundamental and innovative contributions in univariate and multivariate time series models, outlier detection, volatility modeling and risk assessment.

Holger Rootzén of Chalmers University of Technology in Göteberg, Sweden, will discuss how to manage the risk of extreme and rare events in his presentation entitled Taming Black Swans with Statistics. Rootzén’s research in the financial arena focuses on handling risk and big data.

The final presenter is Nassim Taleb, a former derivatives trader turned scholar, currently distinguished professor of risk engineering at New York University’s Polytechnic Institute, and the author of The Black Swan and Antifragile. In his talk, Fragility and Precautionary Principles, Taleb will discuss principles for avoiding harm and managing risk when formal models are incomplete and potentially misleading.

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