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X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZID:America/Chicago
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TZOFFSETFROM:-0600
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DTSTART:20260308T080000
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DTSTART:20261101T070000
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DTSTART;TZID=America/Chicago:20260227T140000
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DTSTAMP:20260405T025319
CREATED:20251120T201011Z
LAST-MODIFIED:20251203T183943Z
UID:2420-1772200800-1772204400@www.math.ttu.edu
SUMMARY:Coherent estimation of risk measures
DESCRIPTION:Speaker: Prof. Igor Cialenco\, Dept. of Applied Mathematics\, Illinois Institute of Technology \nAbstract: We develop a statistical framework for risk estimation\, inspired by the axiomatic theory of risk measures. Coherent risk estimators—functionals of P&L samples inheriting the economic properties of risk measures—are defined and characterized through robust representations linked to L-estimators. The framework provides a canonical methodology for constructing estimators with sound financial and statistical properties\, unifying risk measure theory\, principles for capital adequacy\, and practical statistical challenges in market risk. A numerical study illustrates the approach\, focusing on expected shortfall estimation under both i.i.d. and overlapping samples relevant for regulatory FRTB model applications.
URL:https://www.math.ttu.edu/mathematicalfinance/event/coherent-estimation-of-risk-measures/
LOCATION:via Zoom
CATEGORIES:Spring 2026
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/11/Cialenco.jpg
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