RCAR 2014 - International Workshop on Risk Correlation Analysis and Risk Measurement

Prof. Jianping Li, ljp-AT-casipm.ac.cn (Chinese Academy of Sciences, China)
Prof. Yi Peng, pengyicd-AT-gmail.com (University of Electronic Science and Technology of China, China)
Prof. Xiaodong Lin, lin-AT-business.rutgers.edu (Rutgers University, USA)
Prof. Rongda Chen, rongdachen-AT-163.com (Zhejiang University of Finance & Economics)
Associate Professor Henry Penikas, penikas-AT-hse.ru (HSE, Moscow, Russia)
The analysis of inter-risk correlation and risk aggregation is an important factor to risk measurement, such as the interaction of market risk, credit risk and operational risk. Correlation analysis and risk measurement can be viewed as a Multiple Criteria Decision Making problem in a certain extent, which is the trade-off among different aspects, such as the “project triangle”（cost, quality and schedule）.Some mathematical models such as Copula models are used for measuring risk correlation, but risk management must extend far beyond the use of standard measurement in practical operations and applications. An important aspect is to emphasize on the correlation analysis of risks and thus effectively measure all kinds of financial risks.
The main purpose of this workshop is to provide researchers and practitioners an opportunity to share the most recent advances in the area of risk correlation and measurement, to assess the state of knowledge of risk correlation and measurement, to generate new results in this relatively under-researched area, and determine directions for further research, Papers should present modeling approaches/perspectives to risk correlation and measurement. The workshop is interested in topics related to all aspects of risk correlation and measurement.
Topics of interest include, but are not limited to, the following:
1) Foundation of risk correlation and dependency
2) Correlation analysis of financial risks
3) Correlation analysis of software risks
4) Correlation analysis of project risks
5) Risk correlation modeling
6) Risk analysis by multiple criteria
7) Risk integrated management and risk correlation
8) Credit scoring, Credit rating
9) Portfolio management
10) New techniques to risk measurement