Value at Risk and Self-similarity
This seminar was given 17 March 2009 as part of the PhD seminar series organised by the School of Economics & Finance of the University of St Andrews. It addresses the distribution of stock prices and returns. Dr Menkens has analyzed empirical data and will in particular discuss the issue how to estimate the so called Hurst parameter which models a memory effect on stock prices.
Videos are in WMV format. Slides are PDF.
Morning video 2 (26 minutes) - Dr Menkens concludes his introductory presentation and starts to elaborate on the question of self-similarity. Slides: Introduction to VAR (slides 47 - 53), Value at risk and self-similarity (slides 1- 18)
Afternoon video 1 (56 minutes) - Dr Menkens concludes the question of self-similarity and explains crash modelling. Slides: Value at risk and self-similarity (slides 19-45), Crash hedging (slides 1 - 13)
About the Speaker
Dr Olaf Menkens is Lecturer in the School of Mathematical Sciences at Dublin City University (Ireland). His research interests are in mathematical finance, in particular crash hedging strategies and optimal portfolios under the threat of a crash, value at risk and self-similarity, insider trading and liquidity risk.