Si comunica che all’interno del Dottorato di Ricerca “Modelli per l’Economa e la Finanza” (Dipartimento MEMOTEF) la Dottoressa Valeria Bignozzi svolgera’ il ciclo di lezioni “An Introduction to Risk Measures” secondo il seguente calendario 13 maggio ore 18-20 17 maggio ore 16.30-18 18 maggio ore 11.30-13 Le lezioni si svolgeranno presso l’aula Maramma VI piano Economia, Via del Castro Laurenziano 9, 00161 Sapienza Universita’ di Roma. Gli interessati possono contattarmi via mail all'indirizzo lea.petrella@uniroma1.it
Segue il programma del corso ed i riferimenti bibliografici
An Introduction to Risk Measures:
1. Definition of a risk measure (rm) and its applications in finance and insurance; 2. Classical examples of rm: Value-at-Risk (VaR), Expected Shortfall (ES), Expectiles; 3. Computing risk measures for discrete and continuous distributions; 4. Properties: Monotonicity, Translation Invariance, Positive homogeneity, subadditivity, convexity, comonotonicity, law-invariance; Convex and coherent rm; 5. Non subadditivity of VaR and its consequences on portfolio diversification; 6. Estimation of rm (Historical estimation, generalised quantile regression, maximum likelihood methods, bayesian approach); 7.Risk measurement for an aggregate position.
References: 1. Embrechts, P., F. Rudiger., and A. McNeil. "Quantitative risk management." *Princeton Series in Finance, Princeton* 10 (2005). 2. Föllmer, H., and A. Schied. *Stochastic finance: an introduction in discrete time*. Walter de Gruyter, 2011. 3. Jorion, P.. *Value at risk: the new benchmark for managing financial risk*. Vol. 3. New York: McGraw-Hill, 2007.