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Research Seminar Series in Statistics and Mathematics

Wirtschaftsuniversität Wien, Departments 4 D4.4.00809:00 - 10:15

Type Lecture / discussion
LanguageEnglish
SpeakerWalter Farkas (Department of Banking and Finance, University of Zurich)
Organizer Institut für Statistik und Mathematik
Contact katrin.artner@wu.ac.at

Wal­ter Far­kas (De­part­ment of Bank­ing and Fin­ance, Uni­versity of Zurich) about "In­trinsic Risk Meas­ures"

The In­sti­tute for Stat­ist­ics and Mathem­at­ics (De­part­ment of Fin­ance, Ac­count­ing and Stat­ist­ics) cor­di­ally in­vites every­one in­ter­ested to at­tend the talks in our Re­search Sem­inar Ser­ies, where in­ter­na­tion­ally renowned schol­ars from lead­ing uni­versit­ies present and dis­cuss their (work­ing) pa­pers.

The list of talks for the win­ter term 2018/19 is avail­able via the fol­low­ing link:
ht­tps://www.wu.ac.at/en/stat­math/ressem­inar

Ab­stract:
Mon­et­ary risk meas­ures clas­sify a fin­an­cial pos­i­tion by the min­imal amount of ex­ternal cap­ital that must be ad­ded to the pos­i­tion to make it ac­cept­able. We pro­pose a new con­cept: in­trinsic risk meas­ures. The defin­i­tion via ex­ternal cap­ital is avoided and only in­ternal re­sources ap­pear. An in­trinsic risk meas­ure is defined by the smal­lest per­cent­age of the cur­rently held fin­an­cial pos­i­tion which has to be sold and re­in­ves­ted in an eli­gible as­set such that the res­ult­ing pos­i­tion be­comes ac­cept­able. We show that this ap­proach re­quires less nom­inal in­vest­ment in the eli­gible as­set to reach ac­cept­ab­il­ity. It provides a more dir­ect path from un­ac­cept­able pos­i­tions to­wards the ac­cept­ance set and im­ple­ments desired prop­er­ties such as mono­ton­icity and quasi-­con­vex­ity solely through the struc­ture of the ac­cept­ance set. We de­rive a rep­res­ent­a­tion on cones and a dual rep­res­ent­a­tion on con­vex ac­cept­ance sets and we de­tail the con­nec­tions of in­trinsic risk meas­ures to their mon­et­ary coun­ter­parts.

Kindly note that on Oc­to­ber 12 two talks are sched­uled at our in­sti­tute:
9:00  Wal­ter Far­kas
10:30  Tor­sten Ho­thorn



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