Risk measures for multivariate risks

Relatore:  Birgit Rudloff - Princeton University
  mercoledì 3 luglio 2013 alle ore 11.00 10:45 a.m. rinfresco; 11:00 a.m. inizio seminario
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.

Ca' Vignal 2, Piano 1°, Aula M

Luca Di Persio

Data pubblicazione
18 giugno 2013

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