Alexander S. Cherny, (Moscow State University)
"Coherent Risks and their applications"
1st part: Friday, 9.06.2006, 11:00-12:30, FH 2, FH2: Freihaus, yellow area, 2nd floor Freihaus, Wiedner Hauptstr. 8-10, 1040 Wien
2st part: Tuesday, 13.06.2006, 17:15-18:30, Sem 107, Sem 107: Freihaus, green area, 6th floor
3rd part: Friday, 16.06.2006, 11:00-12:30, Sem 105B Sem 105B: Freihaus, green area, 7th floor
The basic idea behind these lectures is: the whole finance can be built based on coherent risks.
I will speak about applications of coherent risks to:
- pricing; - optimization; - optimality pricing; - equilibrium.
Moreover, several topics in the "pure" theory of coherent risks will be discussed. These include:
- coherent risk contribution; - capital allocation; - factor risks.
I will also describe two new classes of coherent risks: Alpha V@R and Beta V@R that are better than Tail V@R.
These lectures will be based on a series of papers available at: http://mech.math.msu.su/~cherny/ (papers 24-30).