BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:Modelling Risks in Financial Markets: Asset Return Correlations an
 d Market Risk - Prof. Hashem Pesaran Professor of Economics\, University o
 f Cambridge
DTSTART:20091119T130000Z
DTEND:20091119T140000Z
UID:TALK21545@talks.cam.ac.uk
CONTACT:15899
DESCRIPTION:Modelling of conditional volatilities and correlations across 
 asset returns is an integral part of portfolio decision making and risk ma
 nagement. Over the past three decades there has been a trend towards incre
 ased asset return correlations across markets\, a trend which has been acc
 entuated during the recent financial crisis. We shall examine the nature o
 f asset return correlations using daily returns on futures markets and inv
 estigate the extent to which multivariate volatility models proposed in th
 e literature can be used to formally characterize and quantify market risk
 . In particular\, we ask how adequate these models are for modelling marke
 t risk at times of financial crisis. Can the changing patterns of asset re
 turn correlations be predicted?
LOCATION:Judge Business School\, Trumpington Street\, Castle Teaching Room
END:VEVENT
END:VCALENDAR