– Measure and manage risks: from an asset manager point of view

Jean-François Boulier, Chairman – Aviva Investors France

– A holistic approach for better risk measures

Dominique Guégan, Professor in Statistics – Economic center of the University Sorbonne

Since 1995, regulators have imposed risk measure and the way to estimate dependences. Through examples around the computations of VaR and Expected shortfall (ESF), we stress out potential confusion and try to identify what would be a “good” risk management strategy.

– The HuLK VaR, a reactive risk measure for real world fat-tailed processes

Raphaël Douady, Research Director Riskdata, Academic Director for the Labex ReFi

The HuLK VaR is a method of computing the Value-at-Risk of financial instruments (for regulatory purposes, e.g. Basel Accords) proposing a balance between reactivity and anticipation of extreme events, in order to avoid procyclical effects.