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Colloquium: Dr. Ricardas Zitikis

November 22, 2019 @ 2:00 pm - 3:30 pm

An Axiomatic Foundation for the Expected Shortfall

Dr. Ricardas Zitikis
Western University
Professor of Statistical and Actuarial Sciences

“The Value-at-Risk (VaR) and the Expected Shortfall (ES) are the most popular risk measures used in banking and insurance regulation. According to the recent Basel Accords, ES has replaced VaR as the standard risk measure for market risk in the banking sector. VaR has been characterized in the literature with several different sets of economic axioms, whereas ES, although being a most popular and coherent risk measure, does not yet have an axiomatic foundation. We shall put forward four intuitively attractive economic axioms that uniquely characterize ES. Key to the characterization are novel notions such as p-tail events and p-concentration, and we shall discuss them in detail. (Joint work with Ruodu Wang, University of Waterloo.)”

Light refreshments will be served @ 1:30 pm in EMS E424A.

Details

Date:
November 22, 2019
Time:
2:00 pm - 3:30 pm
Event Category:

Venue

EMS Building, Room E495
E495; 3200 N Cramer St.
Milwaukee, WI 53211 United States
Phone
414-229-4836
View Venue Website