[Forum SIS] seminario Valeria Bignozzi in Bicocca

[Fabio Bellini]

Il giorno venerdì 24 aprile alle ore 14.00 presso 
la aula seminari del Dipartimento di Statistica e 
Metodi Quantitativi della Università di 
Milano-Bicocca (edificio U7, IV piano), la 
dott.ssa Valeria Bignozzi della Università di Firenze terrà un seminario su:

Reducing model risk using positive and negative dependence assumptions

Abstract

We give analytical bounds on the Value-at-Risk 
and on convex risk measures for a portfolio of 
random variables with fixed marginal 
distributions under an additional positive 
dependence structure. We show that assuming 
positive dependence information in our model 
leads to reduced dependence uncertainty spreads 
compared to the case where only marginals 
information is known. In more detail, we show 
that in our model the assumption of a positive 
dependence structure improves the best-possible 
lower estimate of a risk measure, while leaving 
unchanged its worst-possible upper risk bounds.
In a similar way, we derive for convex risk 
measures that the assumption of a negative 
dependence structure leads to improved upper 
bounds for the risk while it does not help to 
increase the lower risk bounds in an essential 
way. As a result we find that additional 
assumptions on the dependence structure may 
result in essentially improved risk bounds (joint 
work with G. Puccetti and L. Ruschendorf).

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
http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it