Avviso di seminari - Universita' di Pavia

["Leonardo Bottolo" <lbottolo@eco.unipv.it>]

UNIVERSITA' DEGLI STUDI DI PAVIA
DIPARTIMENTO DI ECONOMIA POLITICA E METODI QUANTITATIVI
DIPARTIMENTO DI MATEMATICA "F.CASORATI"
DOTTORATO DI RICERCA IN STATISTICA MATEMATICA
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                         AVVISO DI SEMINARIO


Giovedi' 14 marzo, alle ore 15.30, nell'aula del Consiglio di Facolta',
Dipartimento di Economia Politica e Metodi Quantitativi (via San Felice 5,
Pavia)


                             FABIO TROJANI
                 (Universita' della Svizzera Italiana)


terra' un seminario dal titolo:


          SADDLEPOINT APPROXIMATION AND TEST STATISTICS FOR
              FINITE SAMPLE INFERENCE IN GMM MODELS WITH
                   OVERIDENTIFIED MOMENT CONDITIONS


Abstract:

A new class of accurate dual likelihood ratio statistics for testing
overidentifying restrictions in moment conditions models is presented.
These tests are derived from the dual likelihood implied by an exponentially
tilted empirical likelihood and are based on test statistics that are
chi-squared distributed up to a relative error of order O(1/n). Monte
Carlo evidence shows the new tests to be very accurate in finite samples,
producing virtually exact empirical sizes for smaller sample sizes that
those typically used to evaluate the accuracy of standard GMM test
statistics
or more recent information theoretic alternatives. This is joint work with
Elvezio Ronchetti (University of Geneva).


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Giovedi' 14 marzo, alle ore 16.15, nell'aula del Consiglio di Facolta',
Dipartimento di Economia Politica e Metodi Quantitativi (via San Felice 5,
Pavia)


                            PAOLO VANINI
                 (Universita' della Svizzera Italiana
                                 e
                       Zürcher Kantonalbank)


terra' un seminario dal titolo:


                     MODELLING OPERATIONAL RISK


Abstract:


The Basel Committee on Banking Supervision ("the Committe") released a
consultative document that included a regulatory capital charge for
operational risk. The complexity of the object "operational risk" led
from the time of the documents release to vigorous and recurring
discussions.

We show that for a production unit of a bank with well-defined
workflow processes where a comprehensive self-assessment based on six
risk factors has been carried out, operational risk can be unambiguously
defined and modelled. Using techniques from extreme value theory, we
calculate risk measures for independent and dependent risk factors,
respectively.

The results of this modelling exercise are relevant for the
implementation of a risk management framework. Frequency dependence
among the risk factors only slightly changes the independency results,
severity dependence on the contrary changes the independency results
significantly, the risk factor "fraud" dominates all other factors and
finally, only 10 percent of all processes have a 98 percent contribution
to the resulting VaR. Since the definition and maintenance of processes
is very costly, this last results is of major practical relevance.
Performing a ensitivity analysis, it turns out that the key 10% of
relevant processes is rather robust under this stress testing.This is
joint work with Silvan Ebnöther (ETHZ Zurich), Alexander McNeil (ETHZ
Zurich) and Pierre Antolinez-Fehr.



Durante i seminari sarŕ offerto ai partecipanti un piccolo rinfresco.


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Per ulteriori informazioni riguardo ai Seminari di Probabilita' e
Statistica e' possibile scrivere a:

lbottolo@eco.unipv.it