Market Risk -- VaR in high dimensional systems - A conditional correlation approach -- Multivariate volatility models -- Portfolio selection with spectral risk measures -- Implementation of local stochastic volatility model in FX derivatives -- Credit risk -- Estimating distance-to-default with a sector-specific liability adjustment via sequential monte carlo -- Risk measurement with spectral capital allocation -- Market based credit rating and its applications -- Using public information to predict corporate
default risk -- Stress testing in credit portfolio models -- Penalized independent factor -- Term structure of loss cascades in securitisation -- Credit rating score analysis -- Dynamics risk measurement -- Copulae in high dimensions : An introduction