FinAnalytica Cheif Scientist Prof. Svetlozar (Zari) T. Rachev will speak on "Market Crashes and Modeling Volatile Markets"

Discussing joint work with my co-authors Aaron Kim, Stoyan Stoyanov, Boryana Racheva-Iotova, Michele-Leonardo Bianchi and Frank Fabozzi, topics will include:

• econometric models for volatile markets in large dimension, exhibiting volatility clustering and heavy-tails — ARMA-GARCH models with stable and tempered stable innovations
• copula dependencies and factor models
• forecasting market downturns
• tail risk and performance measures
• large scale portfolio optimization

Date: Wednesday December 2, 2009, 7:30-8:30pm

Location: 
Upstairs at City Pride
15 Westferry Road, Canary Wharf
London,  E14 8JH GB

Register at: http://www.meetup.com/thalesians/calendar/11622834/