There was a small mistake in the announcement:
The duration of the talk on Thuesday is only 45 minutes
from 17:15-18:00.
Sorry for the faulty mail a minute ago, Sandra Trenovatz
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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, 17:15-18:00, 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).