Il giorno Giovedi 19 Giugno 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna
Fabio BELLINI (Università di Milano-Bicocca)
terra un seminario dal titolo
"Risk management with expectiles"
Abstract We discuss the main properties of the expectiles, a one parameter family of coherent risk measures introduced in the statistical literature by Newey and Powell (1987). Expectiles are the only coherent risk measures that are also elicitable, in the sense that they can be equivalently defined as the minimizers of an expected loss; this property provides a natural methodology to perform a consistent backtesting. In this talk we explore the potential applicability of expectiles in a capital regulation framework, as an alternative to VaR and CVaR.