------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------
Th., 17.12.2015, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Kevin Schnelli (Institute of Science and Technology, Klosterneuburg) http://pub.ist.ac.at/~kschnell/ "Local law of addition of random matrices on optimal scale" (Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------
Fr., 18.12.2015, 11:00, room D3.0.221 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Frederico Belo (University of Minnesota, US) http://www.tc.umn.edu/~fbelo/ "External Equity Financing Shocks, Financial Flows, and Asset Prices" (Finance Research Seminar)
For further details (including abstracts) see http://www.vgsf.ac.at/index.php?id=172
To find the room on the WU Campus search for "D3.0.221" on: http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------ Announcement of a Habilitation Talk at WU Wien ------------------------------------------------------------------------
Fr., 18.12.2015, 12:00, room D4.0.022 WU Wien, 1020, Welthandelsplatz 1, building D4, ground floor
Birgit Rudloff (WU Wien) https://www.wu.ac.at/statmath/faculty-staff/faculty/birgit-rudloff/ "Multivariate Risks" (Habilitation Talk)
To find the room on the WU Campus search for "D4.0.022" on: http://gis.wu.ac.at/?roomShow=D4.0.022
Abstract: The talk addresses the question how to measure the risk of a multivariate random variable X, representing e.g. the vector of risky holdings of banks in a system of d banks or a portfolio with random outcomes in d assets. In the past literature, one often applies an aggregation function to the vector X, then a classical scalar risk measure can be used and the problem is reduced to a scalar problem. The aim of the habilitation thesis is to discuss shortcomings of the aggregation approach in various situations, to develop an alternative theory with a economic meaningful interpretation and provide computational methods to implement the alternative. It is based on the idea that for a multivariate input X, the output of a risk measure can (and often should) also be multivariate (e.g. a vector of capital requirements of the d banks). As the vector of initial capitals/portfolios that makes X acceptable will in generally not be unique anymore, this leads naturally to set-valued risk measures. The theory of set-valued functions and their optimization has seen rapid development within the last decade and provides for the first time the mathematical tools that are needed to understand and work with set-valued risk measures. In the thesis, a mathematical theory of dynamic set-valued risk measures is developed. Somewhat surprisingly, many results (e.g. on equivalent characterizations of time consistency, dual representations) known for scalar risk measures have a counterpart in the the set-valued case. We show that the computation of set-valued risk measures is linked to vector optimization and new and improved algorithms to solve linear and convex vector optimization problems are developed that are also of independent interest in the optimization community. Furthermore, we provide a connection between the computation of time consistent dynamic risk measures and a set-valued dynamic programming principle, which also enables the computation of time consistent scalar multivariate risk measures like the scalar super hedging price in markets with transaction costs.
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