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
______________________________________________________________ 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@oenb.at http://www.oenb.at ______________________________________________________________