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October 12, 2007

Risk Research Luncheon

Yesterday PRMIA Calgary hosted a luncheon featuring overviews of recent graduate student research in the field of risk management. Scott MacDonald, Hong Miao and Greg Orosi described their work on simulating Alberta power pool prices, VaR and CVaR non-normal regime switching frameworks and implied volatility surfaces. Links to the presentations are listed below. The luncheon is one component of PRMIA Calgary’s efforts to strengthen the connections between industry and local educational institutions. Many thanks to the presenters and to the event sponsor SAS/Risk Advisory.

Simulation of Alberta Pool Prices by Scott MacDonald

VaR and CVaR: A Non-normal Regime Switching Framework by Hong Miao

Implied Volatility Surface by Greg Orosi

Posted by sdalton at 04:44 PM | Comments (0)