[Forum SIS] seminario Giovanni Puccetti in Bicocca

[fabio.bellini]

Il giorno martedì 3 dicembre alle ore 14.30
presso la aula seminari del Dipartimento di
Statistica e Metodi Quantitativi al IV piano
dell'edificio U7 in via Bicocca degli Arcimboldi
8, il dott. Giovanni Puccetti della Università di Firenze 
terrà un seminario su

The Rearrangement Algorithm: a new tool for computing 
bounds on risk measures

Abstract:
We introduce a numerical algorithm which allows for the
computation of sharp upper and lower bounds on the
Value-at-Risk or on the Expected Shortfall of
high-dimensional risk portfolios having fixed marginal 
distributions. These bounds can be interpreted
as a measure of model uncertainty induced by possible 
dependence scenarios. We also illustrate several recent 
applications of the algorithm to quantitative risk 
management and applied probability.

Tutti gli interessati sono invitati a partecipare.


Prof. Fabio Bellini
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi 8, 20126 Milano
0039-2-64483119
http://www.economia.unimib.it/bellini