advice for topic

[d.koutsomito]

Hello everyone,

I am currently studying for my MSc in Financial Mathematics at a European University. One of the courses that we have requires to write a report based on a desired topic. The first topic is about coherent and convex risk measures and the problem we face when quantifying them. Whereas the second one is dealing with stochastic volatiliy models and with choosing the appropriate Equivalent Martingale Measure in incomplete markets. I would like to ask you about which topic you would propose and you would consider more useful in understanding key factors of the real world problems.

Thank you.

 

[Ken Abbott]

Read the Basel "Fundamental Review of the Trading Book" documents.

There's a move to replace VaR with expected shortfall, in part because of the latter's coherence. What interesting properties manifest themselves in its practical use as a risk metric? I had some Baruch students do a project on this last year and the results were interesting.

In addition, it would prepare you for interviews by forcing you to be familiar with regulatory developments.

 

[d.koutsomito]

Thanks a lot. Moreover, do you have any source to propose for the second topic?

 

[Ken Abbott]

Thanks a lot. Moreover, do you have any source to propose for the second topic?

Fundamental review of the trading book: A revised market risk framework, October 2013

I posted this in the risk books section here on Quantnet.