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Book Cover
Streaming video
Author Kreuser, Jérôme L., (Executive Director and Founder, The RisKontrol Group, Switzerland)

Title Applications of stochastic optimization to sovereign institutions : Part 1/ Jérôme L. Kreuser
Published London : Henry Stewart Talks, 2012
Online access available from:
HSTalks Business & Management Collection    View Resource Record  


Description 1 online resource (1 streaming video file (50 min.) : color, sound)
Series Risk management for sovereign institutions : innovations in strategic risk management for volatile times, 2056-4570
Henry Stewart talks. Business & management collection. Risk management for sovereign institutions
Contents 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
Notes Animated audio-visual presentation with synchronized narration
Title from title frames
Restricted Access restricted to subscribers
Notes Mode of access: World Wide Web
Subject Dynamic programming.
Financial risk management.
Mathematical optimization.
Sovereign wealth funds.
Stochastic programming.
Form Streaming video
Other Titles Applications of stochastic optimization to sovereign institutions, Part 1