Mathematical Finance Seminar
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Tue, 27/04/2004 17:00 |
Prof Paul Embrechts (ETH-Zurich) |
Mathematical Finance Seminar  |
Clarendon Lab |
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Fri, 07/05/2004 14:15 |
Christoph Reisinger (Oxford) |
Mathematical Finance Seminar |
DH 3rd floor SR |
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Fri, 21/05/2004 14:15 |
Pauline Barrieu (London School of Economics) |
Mathematical Finance Seminar |
DH 3rd floor SR |
| We develop a methodology to optimally design a financial issue to hedge non-tradable risk on financial markets.The modeling involves a minimization of the risk borne by issuer given the constraint imposed by a buyer who enters the transaction if and only if her risk level remains below a given threshold. Both agents have also the opportunity to invest all their residual wealth on financial markets but they do not have the same access to financial investments. The problem may be reduced to a unique inf-convolution problem involving some transformation of the initial risk measures. | |||
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Fri, 18/06/2004 14:15 |
Harry Zheng (Imperial College, London) |
Mathematical Finance Seminar |
DH 3rd floor SR |
| In this talk we discuss the analytic approximation to the loss distribution of large conditionally independent heterogeneous portfolios. The loss distribution is approximated by the expectation of some normal distributions, which provides good overall approximation as well as tail approximation. The computation is simple and fast as only numerical integration is needed. The analytic approximation provides an excellent alternative to some well-known approximation methods. We illustrate these points with examples, including a bond portfolio with correlated default risk and interest rate risk. We give an analytic expression for the expected shortfall and show that VaR and CVaR can be easily computed by solving a linear programming problem where VaR is the optimal solution and CVaR is the optimal value. | |||
