Dear all,

This is a gentle reminder for tomorrow's STAR seminar Wednesday March 4th from 11:00 to 12:00 (Oslo time). 

As always, the talk will take place in a hybrid format: participants in Oslo can attend the talk in Room 723 in Niels Henrik Abels hus, whereas the international audience will be able to follow the talk via Zoom.

The speaker is Emanuela Rosazza Gianin (University of Milano Bicocca) with the talk:

Title: Measuring financial resilience using BSDEs

Abstract: We propose the resilience rate as a measure of financial resilience that captures the rate at which a dynamic risk measure recovers, i.e., bounces back, after the risk-acceptance set is breached.

We develop the associated stochastic calculus by establishing representation theorems of a suitable time-derivative of solutions to backward stochastic differential equations (BSDEs) evaluated at stopping times.

These results reveal that our resilience rate can be represented as an expectation of the generator of a BSDE.

We also introduce resilience-acceptance sets and study their properties in relation to both the resilience rate and the dynamic risk measure.

The definition of the resilience rate is generalized from a Brownian filtration to the case of dynamic risk measures induced by BSDEs with jumps.

We illustrate our results in several examples.

Based on a joint work with Matteo Ferrari, Roger Laeven, and Marco Zullino.

We are looking forward to seeing you!

Best regards,

Giulia, Leonardo, Pere, and David