These seminars will present real problems in different fields and the adopted solution using all available data. These seminars try to be a point of interexchange between professionals and academics to present problems and analyze possible solutions based on Big Data.
Dominique Guegan: "Financial Regulation: More Accurate Measurements for Control Enhancements"
Abstract: This talk analyses how risks are measured in financial institutions, for instance Market, Credit, Operational, etc., with respect to the choice of the risk measures, the choice of the distributions used to model them and the level of confidence selected. We discuss and illustrate the characteristics, the paradoxes and the issues observed comparing the Value-at-Risk and the Expected Shortfall in practice. This talk is built as a differential diagnosis and aims at discussing the reliability of the risk measures.