The Global Association of Risk Professionals (GARP) is pleased to
announce an Austrian chapter meeting
Monday, December 17th, 2007
Time: 6:00 p.m. * 8:30 p.m.
Vienna University of Technology
Wiedner Hauptstraße 8-10
Green Area, 7th floor, Zeichensaal 3
1040 Vienna
Refreshments
Please invite colleagues who you think would be interested in
attending.
We ask only that they register to attend.
Registration is desired so that we can plan accordingly. Please
register at
www.garp.com
Topics:
I. Ex post risk attribution in a value-at-risk framework
Speaker: Eugen Puschkarski (Oesterreichische Nationalbank)
Abstract:
We will first describe a general procedure to decompose time-variation
in Value-at-Risk from one reporting period to the next. Then, using
standard methodology from the field of performance attribution, we
analytically show how the new VaR Risk Attribution Model (RAM) ascribes
these changes to an active trading factor, a market risk changes factor,
a passive time decay factor and a resulting cross-product. With a
slightly simplified version of the RAM, we subsequently demonstrate how
behavioural risk-taking patterns can be detected in practice. We
highlight the relevance of using a RAM for central banks and
subsequently set the presented RAM into the context of existing risk
attribution methods.
Eugen Puschkarski is currently a Risk Manager in the Treasury Division
at Oesterreichische Nationalbank, Vienna, Austria, where he has worked
since 1999. His areas of specialization are Market Risk Measurement,
Quantitative Research on Asset Allocation, Pricing Models and
Econometric Research. Prior to that, he was in charge of Sales and
Support of the Risk Management programs SAILFISH and KONDOR+ in the Risk
Management Division at REUTERS America Inc. He earned his Postgraduate
in Finance at the Center for Central European Financial Markets and
studied International Business Administration at the University of
Vienna, Austria. In 2007 Eugen Puschkarski was appointed as co-director
of GARP chapter Austria.
II. Overview of and personal experience with the FRM exam
III. Discussion
Mag. Eugen Puschkarski
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Oesterreichische Nationalbank (Austria's Central Bank)
Treasury - Strategy Division
Otto Wagner Platz 3, POB 61, A-1011 Vienna, Austria
Phone (+43-1) 40420-4419
Fax (+43-1) 40420-4499
e-mail: Eugen.Puschkarski(a)oenb.at
http://www.oenb.at
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