Il giorno martedì 3 maggio alle ore 16.00 presso la Aula
Seminari del DISMEQ, al quarto piano dell'edificio U7, il prof. Piotr
Jaworski della Università di Varsavia terrà un seminario su
"CoVaR from the copula perspective"
Abstract
Conditional Value at Risk (CoVaR) is a useful tool when dealing with the
systemic risk. It was introduced by T. Adrian and M. Brunnermeier to
quantify how the poor performance of one institution is affecting
the
other one. As well, it can be applied to compare markets, asset prices
and other financial data.
The idea is to measure Value at Risk of Y conditioned on X,
where random variables X and Y are modelling some financial
positions.
In my talk I will exploit the copula representation of the
interdependence of X and Y and provide a directory of CoVaR values
for several families of copulas.
Especially I will emphasize the limiting properties of CoVaR when the
conditional event is going to become more extreme.
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