[Forum SIS] seminario Elena di Bernardino in Bicocca

[fabio.bellini]

Il giorno martedì 22 ottobre alle ore 14.30 presso la aula 
seminari del Dipartimento di Statistica e Metodi 
Quantitativi dell' Università di Milano-Bicocca, al IV 
piano dell'edificio U7, la dott.ssa Elena di Bernardino 
del CNAM di Parigi terrà un seminario dal titolo

On Multivariate Extensions of Value-at-Risk

Abstract:
In this paper, we introduce two alternative extensions of 
the classical univariate Value-at-Risk (VaR) in a 
multivariate setting. The proposed multivariate VaR are 
real-valued risk measures constructed from the level sets 
of multivariate distribution and multivariate survival 
functions. Several properties have been derived. In 
particular, we show that these risk measures satisfy the 
positive homogeneity and the translation invariance 
property. Comparisons between univariate risk measures and 
components of multivariate VaR are provided. We also 
analyze how these measures are impacted by a change in 
marginal distributions, by a change in the dependence 
structure and by a change in the risk level. Illustrations 
are given in the class of Archimedean copulas. (joint work 
with A. Cousin)

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