The seminar will be held (on the 3rd of July) at AULA M, Computer Science Department, Ca’ Vignal, University of Verona.
Starting time: 11.00 A.M.
Risk measures for multivariate risks
Abstract:
Multivariate risks (e.g. in markets with transaction costs) lead naturally to risk measures that are set-valued if one allows capital requirements to be made in a basket of currencies.
In this talk, representations, calculations, and time consistency of these risk measures will be discussed. We will see that time consistency is related to a set-valued Bellman’s principle. As examples we consider superhedging in markets with transaction costs and the composed average value at risk. It will turn out that time consistency enforces to consider the set-valued approach even if one is only interested in capital requirements in one currency and thus in scalar risk measures for multivariate risks.
Birgit Rudloff’s short scientific bio:
Birgit Rudloff is an assistant professor of operations research and financial engineering at Princeton University since 2006. Her research interests include hedging, price bounds and risk measurement in markets with transaction costs, hedging in incomplete markets, portfolio optimization, and convex analysis. She received her Ph.D. in mathematical finance from Martin-Luther University Halle-Wittenberg (Germany) in 2006 and visited the research institute IMPA in Rio de Janeiro and the technical university in Vienna before coming to Princeton.
The seminar will be held (on the 3rd of July) at AULA M, Computer Science Department, Ca’ Vignal, University of Verona.
Starting time: 11.00 A.M.
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