Cara Antonella, potresti inoltrare alla lista AMASES?
Grazie mille!
Saluti
Il giorno martedì 14 febbraio alle ore 16 presso la Aula Seminari 4026
del DISMEQ, al IV piano dell'edificio U7, il Prof. Cosimo Munari del
Department of Banking and Finance della University of Zurich terrà un
seminario su
The theory of risk measures
Abstract
We provide a review of the theory of financial risk measures as
originally developed in the landmark paper by Artzner, Delbaen, Eber and
Heath. In that setting, a risk measure defines a rule to assign to each
financial position – be it the net capital position of a financial
institution or the profit-and-loss distribution of a single portfolio –
the minimal amount of capital that has to be invested in some
pre-specified eligible asset in order to make the position acceptable
with respect to a pre-specified risk-control target. We discuss a variety
of issues related to the choice of the acceptance set and of the eligible
asset and show that only part of the original program has been fulfilled.
We conclude by sketching some new research perspectives.
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