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.

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Prof. Lea Petrella

Memotef Department

Sapienza University of Rome

http://www.memotef.uniroma1.it/users/petrella-lea

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