Seminar Title:  A robust approach to construct coherent risk measures
Speaker:  Dr. Alexander Alvarez, School of Mathematical and Computational Sciences (SMCS) at UPEI

Abstract: In this work we consider the problem of constructing robust, coherent financial risk measures.  In particular we construct a general risk measure that is conceptually comparable to the well known Value-at-Risk. Our method is based on a reference subset of possible trajectories of the asset prices, which can be generated in terms of geometric properties of the sample space. This approach can be used when we have full knowledge of the probabilistic model for the asset prices and  also in the context of model uncertainty. We provide numerical results based on simulated data.

All are welcome to attend!

For more information please contact AARMS CRG Seminar Series organizer Dr. Shafiqul Islam sislam@upei.ca