Speaker: Alexander Schied, Professor and Munich Re Chair in Stochastic Finance, Dept. of Statistics and Actuarial Science, University of Waterloo Abstract: We investigate Lambda Value-at-Risk (ΛVaR) under ambiguity, where the ambiguity is represented by a family of probability measures. We establish that for increasing Lambda functions, the robust (i.e., worst-case) ΛVaR under such an ambiguity […]
Speaker: Prof. Andrey Itkin, Department of Finance and Risk Engineering, Tandon School of Engineering, NYU Abstract: The Marketron model, introduced by , describes price formation in inelastic markets as the nonlinear diffusion of a quasiparticle (the marketron) in a multidimensional space comprising the log-price x, a memory variable y encoding past money flows, and unobservable […]
Speaker: Prof. Pierpaolo Uberti, Department of Statistics and Quantitative Methods, University of Milano-Bicocca Abstract:> Given a reference risk measure, risk budgeting defines a portfolio in which each asset contributes a predetermined amount to the total risk. We propose a novel approach—alternative to those proposed in the literature—for the computation of the risk budgeting portfolio. We […]
Speaker: Prof. Igor Cialenco, Dept. of Applied Mathematics, Illinois Institute of Technology Abstract: 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 […]