81115 - Sem. Risk Measures: Frontiers of Mathematics and Regulation

Learning outcomes

The program consists in a day devoted to a tutorial where the theory of risk measures and the main aspects of regulations will be illustrated. The second day will be devoted to a conference where relevant scientific contributions on risk measures will be presented and to a panel discussion with experts from financial industry.

Course contents

Tutorial:

• Giacomo Scandolo: An introduction to coherent risk measures

• Fabio Bellini: Elicitable risk measures and expectiles
• Carlo Acerbi: TBA

Conference:

• Emanuela Rosazza-Gianin: Risk measures and time-consistency
• Valeria Bignozzi: Diversification limit of VaR under dependence uncertainty
• Giacomo Scandolo: Assessing financial model risk and an application to electricity prices
• Fabio Bellini: Portfolio Optimization with Expectiles
• Piotr Jaworski: On the Conditional Value at Risk (CoVaR) from the copula perspective
• Carlo Acerbi: TBA

Panel Discussion:

• Carlo Acerbi, MDCI Inc.
• Andrea Resti, Bocconi University of Milan
• Giovanni Pepe, KPMG

For more info see http://www2.stat.unibo.it/risk-measures/Program.html

Readings/Bibliography

See the website

http://www2.stat.unibo.it/risk-measures/Program.html

The title of each talk links to detailed informations on contents and bibliography

From the section "Slides" it is possible to download most of the slides and the material provided by speakers. For the missing one, pleas send an email to Prof. S. Mulinacci.

Teaching methods

Tutorial the first day, conference and panel discussion the second day, informal meeting the third day.

Assessment methods

Attendance of the conference and writing of a dissertation of about 5 pages on one of the talks or on a related topic.

Teaching tools

Seminar

Office hours

See the website of Sabrina Mulinacci