Il giorno martedì 14 febbario alle ore 16 presso la Aula Seminari 4026 del DISMEQ, al IV piano dell'edificio U7, il Prof. Cosimo Munari del Department of Banking and Finance della University of Zurich terrà un seminario su

The theory of risk measures

Abstract
We provide a review of the theory of financial risk measures as originally developed in the landmark paper by Artzner, Delbaen, Eber and Heath. In that setting, a risk measure defines a rule to assign to each financial position – be it the net capital position of a financial institution or the profit-and-loss distribution of a single portfolio – the minimal amount of capital that has to be invested in some pre-specified eligible asset in order to make the position acceptable with respect to a pre-specified risk-control target. We discuss a variety of issues related to the choice of the acceptance set and of the eligible asset and show that only part of the original program has been fulfilled. We conclude by sketching some new research perspectives.

Tutti gli interessati sono invitati a partecipare.

Prof. Fabio Bellini
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi 8, 20126 Milano
0039-2-64483119
http://www.economia.unimib.it/bellini
http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it