Two-part lecture series: Financial Risk Management | Transitioning to a Decarbonized Economy

OCTOBER 24, 2021

We are extremely glad to announce the next lecture in our ‘Two-part Lecture Series’, to be jointly hosted by CMIT and the School of Mathematics, IISER Thiruvananthapuram.

Kindly note that the two-part lectures will be delivered in a manner to cover the necessary basics in the first part of the talk, while the second part builds upon the same and continues.

This time, the two-part lecture will be delivered by Prof. Siddhartha Pratim Chakrabarty, Indian Institute of Technology (IIT) Guwahati, on October 25 and October 27, 2021, at 2:40 PM. Please find the talk details below.

Speaker: Prof. Siddhartha Pratim Chakrabarty, Indian Institute of Technology (IIT) Guwahati.

About the speaker: Prof. Chakrabarty is a Professor of Finance, Data Science and Mathematics at the Indian Institute of Technology (IIT) Guwahati. His primary areas of research include Mathematical Finance and Mathematical Biology, and involves the computational aspects of pricing, portfolio theory, financial risk management, and deterministic, stochastic and control theoretic approaches, in modelling of biological phenomenon.

Part I (Organised and hosted by CMIT)

Title: Financial Risk Management: A Commentary in the Paradigm of Basel Regulations.

Venue and time: Google Meet (online) | 02:40 PM (GMT +5:30), Monday, October 25, 2021.

Abstract: The Basel regulations, which form the backbone of risk management in the modern banking system, will be discussed, in this expository lecture, both from a historical perspective, as well as the quantitative approaches adopted in this exercise. The lecture will be divided into four parts. To begin with, a detailed narrative on banking history from the 20th century, the history of the Basel framework and the consequences of the 2008 financial crisis, will be presented. This will be followed by a discussion on credit risk with an emphasis on the salient approaches adopted for credit risk management. Then, various aspects of market risk assessment and management will be visited. Finally, the lecture will conclude with a description of operational risk, particularly modelling loss frequency and loss severity.

Chair for the Session: Chaitanya Joglekar, BSMS 4th Year, School of Mathematics, IISER Thiruvananthapuram.

Part II (Organised and hosted by SoM, IISER Thiruvananthapuram)

Title: Transitioning to a Decarbonized Economy: Quantifying the Carbon Transition Risk.

Venue and time: Google Meet (online) | 02:40 PM (GMT +5:30), Wednesday, October 27, 2021.

Abstract: The impending and accelerated global warming accompanied by climate change, has created the exigency in terms of bringing forth stringent regulations, aimed at control of global emissions. One of the areas where this impact is already being felt is large businesses, especially corporations having a large carbon footprint, resulting from them being responsible for huge emissions of greenhouse gases. Consequently, this opens up potential financial risk for investors in such companies. This talk will focus on the methodological approaches in terms of investor awareness on carbon transition risk in markets and presenting a formulation for quantification of the carbon transition risk, contingent on several scenarios. An empirical analysis of (predominantly) large cap companies from the United States indicated investor awareness about the potential consequences of economies undergoing low-carbon transition. The maximum exposure of companies to carbon transition risk was introduced through a new measure to obtain a functional form for the same. This was further analyzed in the paradigm of several distributions, to capture the transition as an arrival process. The study of risk-reward trade-off showed the probabilities of reduced, unchanged and enhanced returns for investors, contingent on the distribution considered, for the arrival process.

Chair for the Session: Prof. Sudarshan Kumar, School of Mathematics, IISER Thiruvananthapuram.

All are cordially invited to attend the talk. Please join us in large numbers, we hope to see you all there! For any further queries, mail us at mathsclub@iisertvm.ac.in.