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Donnerstag, 23.07.2020 - Samstag, 25.07.2020 | Paderborn University

Workshop on Volatility-Correlation Models and Quantitative Risk Management - Finalization of Basel III and Role of Volatitliy Models

The VCQRM provides an important platform to bring researchers, PhD students and practitioners from the research areas Quantitative Risk Management. Finance and Banking, Financial Econometrics as well as bank supervision and regulation together to present their current research results, to discuss on topics of mutual interest and to exchange ideas. A particular focus is e.g. to discuss the potential application of volatility and correlation models in the bank’s internal models. This conference is conceived as an event for the academic preparation for the forthcoming finalization of Basel III.

Topics covered include, but are not limited to:

• Recent development in volatility models (e.g. GARCH and stochastic volatility models)

• Recent development in correlation models

• Application of volatility and correlation models for assessing quantitative risk measures

• Recent development in quantitative risk management (in particular on the finalization of Basel III)

• Recent development of quantitative risk measures (e.g. VaR, ES and spectral risk measures)

• Recent development of backtesting VaR and ES

• Recent development of loss functions and other criteria for selecting VaR and ES models

• Application of volatility and correlation models in the bank’s internal models

• Further models for calculating quantitative risk measures


Sebastian Letmathe

Ökonometrie & Quantitative Methoden


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