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Monetary Risk Measures: Representation Results and Dynamic Consistency Conditions
Mon, Nov 17, 2008 @ 02:15 PM - 03:15 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Mathematical Finance ColloquiumWhere: KAP 249When: Monday, November 17, 2008, 2:15-3:15 PMTitle: "Monetary Risk Measures: Representation Results and Dynamic Consistency Conditions"Speaker: Prof. Patrick Cheridito, Department of Operations Research and Financial Engineering, Princeton UniversityABSTRACT: After a short introduction to monetary risk measures I present new representation results and give dual characterizations of various properties of risk measures. Then I discuss conditions for dynamic consistency. The theoretical results are applied to analyze several specific examples of risk measures. Some of them have appeared earlier,
others are new.Location: Kaprielian Hall (KAP) - 249
Audiences: Everyone Is Invited
Contact: Georgia Lum
