Risk measures for multivariate risks

Birgit Rudloff - Princeton University
Date and time
Wednesday, July 3, 2013 at 11:00 AM - 10:45 a.m. rinfresco; 11:00 a.m. inizio seminario
Ca' Vignal 2, Floor 1°, Lecture Hall M
Programme Director
Luca Di Persio
External reference
Publication date
June 18, 2013
Computer Science  


Multivariate risks (e.g. in markets with transaction costs) lead naturally to risk measures that are set-valued if one allows capital requirements to be made in a basket of currencies.  
In this talk, representations, calculations, and time consistency of these risk measures will be discussed. We will see that time consistency is related to a set-valued Bellman's principle. As examples we consider superhedging in markets with transaction costs and the composed average value at risk. It will turn out that time consistency enforces to consider the set-valued approach even if one is only interested in capital requirements in one currency and thus in scalar risk measures for multivariate risks.

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