[Forum SIS] An Introduction to Risk Measures. Corso per dottorandi- Valeria Bignozzi

[Lea Petrella]

Si comunica che all’interno del Dottorato di Ricerca “Modelli per l’Economa
e la Finanza” (Dipartimento MEMOTEF) la Dottoressa Valeria Bignozzi
svolgera’ il ciclo di lezioni  “An Introduction to Risk Measures” secondo
il seguente calendario
13 maggio ore 18-20
17 maggio ore 16.30-18
18 maggio ore 11.30-13
Le lezioni si svolgeranno presso l’aula Maramma VI piano Economia, Via del
Castro Laurenziano 9, 00161 Sapienza Universita’ di Roma.
Gli interessati possono contattarmi via mail all'indirizzo
lea.petrella at uniroma1.it

Segue il programma del corso ed i riferimenti bibliografici

An Introduction to Risk Measures:

1. Definition of a risk measure (rm) and its applications in finance and
insurance;
2. Classical examples of rm: Value-at-Risk (VaR), Expected Shortfall (ES),
Expectiles;
3. Computing risk measures for discrete and continuous distributions;
4. Properties: Monotonicity, Translation Invariance, Positive homogeneity,
subadditivity, convexity, comonotonicity, law-invariance; Convex and
coherent rm;
5. Non subadditivity of VaR and its consequences on portfolio
diversification;
6. Estimation of rm (Historical estimation, generalised quantile
regression, maximum likelihood methods, bayesian approach);
7.Risk measurement for an aggregate position.

References:
1. Embrechts, P., F. Rudiger., and A. McNeil. "Quantitative risk
management." *Princeton Series in Finance, Princeton* 10 (2005).
2. Föllmer, H., and A. Schied. *Stochastic finance: an introduction in
discrete time*. Walter de Gruyter, 2011.
3. Jorion, P.. *Value at risk: the new benchmark for managing financial
risk*. Vol. 3. New York: McGraw-Hill, 2007

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Prof. Lea Petrella
Memotef Department
Sapienza University of Rome
http://www.memotef.uniroma1.it/users/petrella-lea
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