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苏黎世联邦高等工学院Paul Embrechts教授讲座通知
发布时间 : 2013-07-08     点击量:

报告人: Professor Paul Embrechts (ETH Zurich) 
题目:Model Uncertainty and Risk Aggregation
 
时间:7月16日上午9:30---11:15
 
地点:理科楼407
摘要: In this talk I discuss aggregation properties for risk measures in use throughout the financial and insurance industry. I present a numerical algorithm for the calculation of (min,max)-bounds for the portfolio risk if only the dsitributions of the marginal risks are known. Model uncerrtainty here refers to uncertainty with respect to the interdependence of the risks. The paper is based on a recently published paper: Embrechts, P., Puccetti, G., Rueschendorf, L (2013): Model uncertainty and VaR aggregation. Journal of Banking and Finance 37(8), 2750-2764, a copy of which is to be found on my website www.math.ethz.ch/~embrechts ([some Selected Papers])
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