**CANCELLED** Backward Simulation of Poisson Processes

Calendar
When:
2014-03-06 @ 15:30 – 16:30
2014-03-06T15:30:00-05:00
2014-03-06T16:30:00-05:00
Where:
Sidney Smith Room 1074
100 Saint George Street
University of Toronto - St. George Campus, Toronto, ON M5S 3G3
Canada

SEMINAR

Thursday March 6, 2014 at 3:30pm
Sidney Smith Hall, Room 1074

**Refreshments will be served at 3:15pm**

Dr. Alexander Kreinin, IBM
Head of Quantitative Research, RFE Risk Analytics, Business Analytics

Backward Simulation of Poisson Processes

Multivariate Poisson processes have many applications in financial modeling. In particular, in the area of Operational Risk they are used for description and simulation of the frequencies of operational events. Practitioners often model the operational events independently despite observed correlations between the components. In this talk we discuss simulation of the multivariate Poisson model based on the “Poisson Bridge” idea, extreme correlations and their dependence on the intensities of the processes.

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