"Risk decomposition"
Speaker:
Yong Wang, Royal Bank of Canada
Date and Time:
Thursday, February 28, 2002 - 1:30pm to 2:15pm
Location:
Fields Institute, Room 230
Abstract:
Our presentation includes two parts. In the first part, I will discuss some problems, which arise from our trading activities. In particular, I will discuss the exotic type transactions such as variance swap, volatility swaps, and correlation swaps etc. In the second part of the presentation, my colleague, Quan Zhao, will talk about the Risk Decomposition using orthogonal arrays.