TY  - ADVS
AU  - Kreuser,Jérôme L.
TI  - Applications of stochastic optimization to sovereign institutions: Part 1
T2  - Risk management for sovereign institutions : innovations in strategic risk management for volatile times,
PY  - 2012///
CY  - London
PB  - Henry Stewart Talks
KW  - Dynamic programming.
KW  - Financial risk management.
KW  - Mathematical optimization
KW  - Sovereign wealth funds
KW  - Stochastic programming.
N1  - Animated audio-visual presentation with synchronized narration; Title from title frames; 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; Access restricted to subscribers
UR  - https://hstalks.com/bm/2259/
UR  - https://hstalks.com/bm/p/670/
ER  -