Il giorno martedì 22 ottobre alle ore 14.30 presso la aula seminari del Dipartimento di Statistica e Metodi Quantitativi dell' Università di Milano-Bicocca, al IV piano dell' edificio U7, la dott.ssa Elena di Bernardino del CNAM di Parigi terrà un seminario dal titolo
On Multivariate Extensions of Value-at-Risk
Abstract: In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The proposed multivariate VaR are real-valued risk measures constructed from the level sets of multivariate distribution and multivariate survival functions. Several properties have been derived. In particular, we show that these risk measures satisfy the positive homogeneity and the translation invariance property. Comparisons between univariate risk measures and components of multivariate VaR are provided. We also analyze how these measures are impacted by a change in marginal distributions, by a change in the dependence structure and by a change in the risk level. Illustrations are given in the class of Archimedean copulas. (joint work with A. Cousin)
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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