Il giorno Giovedì 13 Febbraio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna

Giovanni PUCCETTI (Università di Firenze)

terrà un seminario su:

RISK AGGREGATION AND MODEL UNCERTAINTY: SOME MESSAGES FROM THE METHODOLOGICAL FRONT

Abstract. We review some of the most recent mathematical achievements in the field of Risk Aggregation and Model Uncertainty and discuss their implications on the current Basel regulatory framework, with particular emphasis on VaR/ES risk measurement. Specific issues that will be handled: - How much superadditive can VaR be? - What are the likely constraints with moving from VaR to ES? - Which kind of dependence is implied by a worst-VaR scenario? - What are the available tools to capture the model uncertainty associated with a joint risk position?