"Risk Measures in Financial Mathematics, part II"







Abstract:  In this second seminar on risk measures, we will discuss set-valued risk measures for random vectors. These functionals take values in an order-complete lattice of subsets of a finite dimensional Euclidean space. Furthermore, the lattice is equipped — almost — with the structure of a linear space, which makes it possible to do convex analysis and optimization with functions taking values in this lattice. In particular, one can even come up with algorithms to compute set-valued risk measures. As applications, we will talk about risk measures in frictional markets and measures of systemic risk in financial networks.


Date:  Monday, February 29, 2016

Time: 15.40

Place: Mathematics Seminar Room, SA-141



Tea and cookies will be served before the seminar.