The Resource Applications of stochastic optimization to sovereign institutions : Part 1/, Jérôme L. Kreuser, (streaming video)

Applications of stochastic optimization to sovereign institutions : Part 1/, Jérôme L. Kreuser, (streaming video)

Label
Applications of stochastic optimization to sovereign institutions : Part 1/
Title
Applications of stochastic optimization to sovereign institutions
Title remainder
Part 1/
Statement of responsibility
Jérôme L. Kreuser
Title variation
Applications of stochastic optimization to sovereign institutions, Part 1
Creator
Subject
Language
eng
Member of
Characteristic
videorecording
http://library.link/vocab/creatorName
Kreuser, Jérôme L.,
Series statement
Risk management for sovereign institutions
http://library.link/vocab/subjectName
  • Dynamic programming
  • Financial risk management
  • Mathematical optimization
  • Sovereign wealth funds
  • Stochastic programming
Label
Applications of stochastic optimization to sovereign institutions : Part 1/, Jérôme L. Kreuser, (streaming video)
Instantiates
Publication
Color
multicolored
Configuration of playback channels
monaural
Contents
Contents: A review of dynamic stochastic programming (DSP) -- Pillars of DSP: scenario trees and models -- Why DSP is important to sovereign institutions -- Institutional objectives and objective functions in a DSP model -- Going from "CEO speak" to "risk management speak" -- Mapping central bank strategic objectives to risk limits and model objectives -- Various kinds of model objective functions -- Handling multiple institutional objectives -- How to shape distributions of multiple outcomes -- Complex objectives like ratio of reserves to short-term-debt -- Multiple objectives like safety, liquidity, returns, and stability -- Conditional value at risk (CVaR) constraints and controlling extremes -- Model structures -- Controlling extreme events
Control code
HST3201_1_2
Dimensions
unknown
Extent
1 streaming video file (50 min.)
File format
one file format
Form of item
electronic
Medium for sound
other
Other physical details
digital, mono., SWF file, sd., col.
Sound
sound
Sound on medium or separate
sound on medium
Specific material designation
  • remote
  • other
System details
System requirements: Operating System: PC Windows 2000+, Mac OSX+ 3.2. Browser Compatibility: IE6+, Firefox 2+, Opera 9+, Safari 2+ 3.3. Browser settings: enable JavaScript, enable popups from the Henry Stewart Talks site. 3.4. Required Browser Plugins & Viewers: Adobe (Macromedia) Flash Player 7+, Adobe Acrobat Reader 6.0+
Video recording format
other
Label
Applications of stochastic optimization to sovereign institutions : Part 1/, Jérôme L. Kreuser, (streaming video)
Publication
Color
multicolored
Configuration of playback channels
monaural
Contents
Contents: A review of dynamic stochastic programming (DSP) -- Pillars of DSP: scenario trees and models -- Why DSP is important to sovereign institutions -- Institutional objectives and objective functions in a DSP model -- Going from "CEO speak" to "risk management speak" -- Mapping central bank strategic objectives to risk limits and model objectives -- Various kinds of model objective functions -- Handling multiple institutional objectives -- How to shape distributions of multiple outcomes -- Complex objectives like ratio of reserves to short-term-debt -- Multiple objectives like safety, liquidity, returns, and stability -- Conditional value at risk (CVaR) constraints and controlling extremes -- Model structures -- Controlling extreme events
Control code
HST3201_1_2
Dimensions
unknown
Extent
1 streaming video file (50 min.)
File format
one file format
Form of item
electronic
Medium for sound
other
Other physical details
digital, mono., SWF file, sd., col.
Sound
sound
Sound on medium or separate
sound on medium
Specific material designation
  • remote
  • other
System details
System requirements: Operating System: PC Windows 2000+, Mac OSX+ 3.2. Browser Compatibility: IE6+, Firefox 2+, Opera 9+, Safari 2+ 3.3. Browser settings: enable JavaScript, enable popups from the Henry Stewart Talks site. 3.4. Required Browser Plugins & Viewers: Adobe (Macromedia) Flash Player 7+, Adobe Acrobat Reader 6.0+
Video recording format
other

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