Robustness of regulatory risk measures in aggregation and optimization
Event details
| Date | 13.10.2015 |
| Hour | 12:00 › 13:00 |
| Speaker | Ruodu WANG (University of Waterloo) |
| Location | |
| Category | Conferences - Seminars |
In the past few years, there have been extensive debates on the desirability of regulatory risk measures in both academia and industry of finance and insurance. We discuss some progress in the recent research trend on the comparative advantages of Value-at-Risk (VaR) and Expected Shortfall (ES, or TVaR). In particular, we focus on robustness issues in the aggregation and the optimization of risks. As opposed to the classic notion that VaR is statistically more robust than ES, our research brings in some new insights and perspectives on advantages of ES in robust aggregation and optimization. This talk is based on joint work with Paul Embrechts (Zurich) and Bin Wang (Beijing), and some on-going research projects.
Links
Practical information
- Informed public
- Free
Organizer
- SFI@EPFL and DSA = Département de sciences actuarielles, UNIL, http://www.hec.unil.ch/dsa