For more information about this meeting, contact Victor Nistor, Anna Mazzucato, Manfred Denker.
| Title: | Risk measures (the talk is Wednesday, October 5 in Room MB106, Financial Stability Seminar) |
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| Seminar: | Financial Mathematics Seminar |
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| Speaker: | Manfred Denker, Penn State |
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| Abstract: |
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| 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 |
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| Date: | 10 / 04 / 2011 |
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| Time: | 01:20pm - 02:20pm |
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