Building Risk Frameworks for High-Impact, Low-Probability Events

United Kingdom: Geopolitical shocks can move energy and financial markets fast and hard. There is often little historical data available to calibrate against when modelling High Impact, Low-Probability (HILP) events of this nature. This session examines why VaR, expected shortfall, diversification assumptions, and other risk frameworks fall outside predicted ranges during HILP events.  

Join us to gain insight and learn how to stay prepared as we explore the following key topics: 

• Why HILP event risk often falls outside core assumptions used in VaR, expected shortfall, and diversification-based models. 
• How the breakdown in correlations and illiquid markets can create tail losses beyond the outcomes modelled. 
• The limitations of calibrating historical data when modelling HILP events. 
• Practical approaches risk teams can use for measuring and managing HILP event risk when available quantitative tools fall short. 

Registration is required as seats are limited. Priority will be given to GARP Individual Members.

Agenda:

6:00 – 6:30 pm: Registration 

6:30 – 6:35 pm: Welcome Remarks 

6:35 – 7:30 pm: Panel Discussion with Audience Q&A 

7:30 – 9:00 pm: Networking Reception