报告人: 王若度 (University of Waterloo)

日  期: 2019年7月17日

时  间: 上午10:00

地  点: 理科楼 LD202

摘  要: In to the recent Basel Accords, the Expected Shortfall (ES) has replaced the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most popular risk measure in financial regulation. Although ES is, among many other nice properties, a coherent risk measure, it does not yet have an axiomatic foundation. In this paper we put forward four intuitive economic axioms for portfolio risk assessment - monotonicity, law invariance, prudence and no reward for concentration - that uniquely characterize the family of ES. The herein developed results, therefore, provide the first economic foundation for using ES as a globally dominating regulatory risk measure, currently employed in Basel III/IV. Key to the main results, several novel notions such as tail events and risk concentration naturally arise, and we explore them in detail. This talk is based on joint work with Ricardas Zitikis. 

报告人简介：Dr. Ruodu Wang is University Research Chair and Associate Professor of Actuarial Science at the University of Waterloo in Canada. He received his PhD in Mathematics (2012) from the Georgia Institute of Technology, after completing his Bachelor (2006) and Master's (2009) degrees at Peking University. His research interests include Quantitative Finance, Actuarial Science, Operations Research, and Risk Management, and has published over 50 papers in leading journals in the respective areas. He holds editorial positions of leading academic journals in Actuarial Science, including Co-Editor of ASTIN Bulletin - The Journal of the International Actuarial Association and Co-Editor of the European Actuarial Journal. He received one of Canada's 125 Discovery Accelerator Supplement Awards from the Natural Sciences and Engineering Research Council of Canada in 2018, and is an affiliated member of RiskLab at ETH Zurich.

公司联系人:张志民

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