Quantitative Aspects of Measuring Financial Risk
报告题目(Title)：Quantitative Aspects of Measuring Financial Risk
报告人(Speaker)：高牛山（Assistant Professor，Department of Mathematics, Ryerson University, 加拿大）
地点(Place)：后主楼1124
时间(Time)：12月21日下午3:00-4:00
邀请人(Inviter)：刘永平
报告摘要
In this talk, we will review the theoretical framework for quantifying market risk of financial institutions in terms of coherent risk measures, which was laid in a seminal paper of Artzner et al.(1999).
For a coherent risk measure $\rho:L^\infty\rightarrow\mathbb{R}$, Delbaen (2002) proved that $\rho$ can be represented as the worst expectation over a class of probabilities whenever it has the Fatou property. Lately, it has been asked whether Delbaen's representation theorem holds on more general model spaces containing unbounded positions. We will present a comprehensive investigation on this problem. We characterize the Orlicz spaces over which the representation holds. We also show that the representation holds on general Orlicz spaces if the risk measure possess additional properties, e.g., law-invariance or surplus-invariance.
