**"****Risk Measures in Financial Mathematics, part II****"**

By

**ÇAĞIN ARARAT**

**(BİLKENT UNIVERSITY)**

**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.