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SUMMARY:Robustness of regulatory risk measures in aggregation and optimiza
 tion
DTSTART:20151013T120000
DTEND:20151013T130000
DTSTAMP:20260428T002917Z
UID:761c33cead36bd2f9e931a61d5e8f526a7b8dbad4c49bf23ba34314d
CATEGORIES:Conferences - Seminars
DESCRIPTION:Ruodu WANG (University of Waterloo)\nIn the past few years\, t
 here have been extensive debates on the desirability of regulatory risk me
 asures in both academia and industry of finance and insurance. We discuss 
 some progress in the recent research trend on the comparative advantages o
 f Value-at-Risk (VaR) and Expected Shortfall (ES\, or TVaR). In particular
 \, we focus on robustness issues in the aggregation and the optimization o
 f risks. As opposed to the classic notion that VaR is statistically more r
 obust than ES\, our research brings in some new insights and perspectives 
 on advantages of ES in robust aggregation and optimization. This talk is b
 ased on joint work with Paul Embrechts (Zurich) and Bin Wang (Beijing)\, a
 nd some on-going research projects.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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