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Research Seminar Series in Statistics and Mathematics

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

Type Lecture / discussion
SpeakerWalter Farkas (Department of Banking and Finance, University of Zurich)
Organizer Institut für Statistik und Mathematik

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:

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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