Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

Distribution-based Risk Measures and Their Properties

Tuesday, October 07, 2008 at 03:00pm - 04:00pm

Speaker: Stefan Weber, Cornell University

Capital regulation is an important instrument to maintain a safe banking system and relies on proper risk measurement procedures. In the current talk, we review recent advances in the theory of risk measures. This includes their efficient computational implementation in practice and a theoretical analysis of the economic consequences of regulation.

Speaker: Stefan Weber, Cornell University

Location   Hill 705