Applications of stochastic optimization to sovereign institutions [electronic resource] : Part 1/ Jérôme L. Kreuser.
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FilmSeries: Henry Stewart talksBusiness & management collection. Risk management for sovereign institutions: Publisher: London : Henry Stewart Talks, 2012Description: 1 online resource (1 streaming video file (50 min.) : color, sound)Other title: Applications of stochastic optimization to sovereign institutions, Part 1Subject(s): Dynamic programming | Financial risk management | Mathematical optimization | Sovereign wealth funds | Stochastic programmingOnline resources: Click here to access online | Series Animated audio-visual presentation with synchronized narration.
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Contents: A review of dynamic stochastic programming (DSP) -- Pillars of DSP: scenario trees and models -- Why DSP is important to sovereign institutions -- Institutional objectives and objective functions in a DSP model -- Going from "CEO speak" to "risk management speak" -- Mapping central bank strategic objectives to risk limits and model objectives -- Various kinds of model objective functions -- Handling multiple institutional objectives -- How to shape distributions of multiple outcomes -- Complex objectives like ratio of reserves to short-term-debt -- Multiple objectives like safety, liquidity, returns, and stability -- Conditional value at risk (CVaR) constraints and controlling extremes -- Model structures -- Controlling extreme events.
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Mode of access: World Wide Web.