PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Anna Mazzucato, Manfred Denker.

Title:Risk measures (the talk is Wednesday, October 5 in Room MB106, Financial Stability Seminar)
Seminar:Probability and Financial Mathematics Seminar
Speaker:Manfred Denker, Penn State
I will give an overview of standard notions of risk measures and their properties like convexity, monotonicity, positivity, invariance,.... Examples are variance, value at risk, safety risk measures, mean minimax and others. These risk measures have applications to estimating risks involving financial instruments. Some of these applications will be presented as well. The talk is suited for a general audience, in particular graduate students. Relevant literature: Risk Measures fro the 21st Century: Edited by G. Szego, Wiley Finance Series, 2004.

Room Reservation Information

Room Number:MB106
Date:10 / 04 / 2011
Time:01:20pm - 02:20pm