Il 21 Maggio alle ore 10.30 presso l'aula 003 dell'edificio D4 del Polo delle Scienze Sociali in Via delle Pandette a Firenze
Giovanni Puccetti - Università degli Studi di Firenze - terrà un talk su
Risk Aggregation and Model Uncertainty: some messages from the methodological front
Abstract: We review and discuss some of the most recent mathematical achievements in the field of Risk Aggregation and Model Uncertainty and we discuss their implications on the current Basel regulatory framework, with particular emphasis on VaR/ES risk measurement.
Specific issues that will be handled:
- How much superadditive can VaR be? - What are the likely constraints with moving from VaR to ES? - Which kind of dependence is implied by a worst-VaR scenario? - What are the available tools to capture the model uncertainty associated with a joint risk position?
Tutti gli interessati sono invitati a partecipare.