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Impressions from the Community Event in St. Gallen

Attended by more than 50 people, interesting debates in a fabulous environment

A little over 50 people attended the community event at the Einstein congress center in St. Gallen Switzerland. I don't think Einstein has anything to do with Albert Einstein. Nevertheless we had some interesting mathematical discussions about the stability and convergence of VaR estimators. The upshot of the session on VaR estimators is that the most frequently used ones have a predictable bias, but there are easy to implement improvements.

The session on Group Regulation led to some heated debates about the modelling of capital and risk transfer instruments. My feeling is that there needs to be more practical guidance on how to model this and to what level of detail.

To complete the first day, we had dinner at an historic location in the old town. I am sorry that some people could not make it; we really meant it seriously that everybody was invited for the birthday party of RiskAnalytics.

P1 Event St. Gallen

--Markus

 

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