Workshop on RISK MEASURES University of Evry, 6 & 7 July 2006 |
Thursday, July 6 Morning Coffee 10h
10h45
See presentation and articles : > See document 1> See document 2 > See document 3 Lunch 14h M. Fritelli (Firenze university). 14h45
> See abstracts. 16h30
M. Kupper (ETH Zurich), |
Friday, July 7 Morning Coffee 10h
M. Crouhy (IXIS-CIB), Risk Management, Capital Attribution and Performance Measurement. > See abstracts. > See presentation 10h45
S. Peng (Shandong University), G-Expectation, G-Measure of Risk and Related Stochastic Calculus.See presentation and articles : > See document 1> See document 2 > See document 3 Lunch 14h S. Kloeppel (ETH Zurich), Dynamic Good Deal Bounds. > See abstracts > See presentation 14h45
Optimal risk transfer with interest rates ambiguity . Joint work with Cl. Ravanelli. > See presentation 16h30
Jocelyne Bion Nadal (CMAP Ecole Polytechnique), Dynamic risk measuring and pricing in incomplete markets. See presentation and articles : > See document 1> See document 2 | |
Registration: valerie.picot@univ-evry.fr Fees (including lunches) : Before 30th April : 40 euros for academics, 100 euros for practitioners. After 30 April : 50 euros for academics, 150 euros for practitioners. |
> See presentation
Microeconomic problems with concave law invariant utilities. We consider a class of one dimensional calculus of variations problems with monotonicity and comonotonicity constraints arising in economic and financial models where law invariant concave criteria are used. Existence and characterization of solutions are provided. The theory is applied to demand, risk sharing and equilibrium problems. For each of these applications, an example is fully solved.
> See document 1
> See document 2
> See document 3
Dynamic variational preferences monetary utility functions, with Massimo Marinacci, and Aldo Rustichini. We introduce and axiomatize dynamic variational preferences, the dynamic version of the variational preferences we axiomatized, which include the multiplier preferences inspired by robust control and used in macroeconomics, as in a series of paper by Hansen and Sargent, as well as mean-variance preferences of Markovitz and Tobin, used in finance. We provide a condition that makes dynamic variational preferences time consistent, and their representation recursive. This gives them the analytical tractability needed in finance and macroeconomic applications. A corollary of our results is that multiplier preferences are time consistent, but mean-variance preferences are not. Our work extends the results obtained by Epstein and Schneider for the multiple priors preferences of Gilboa and Schmeidler. Finally, we show the relation between variational preferences and monetary utility functions.
> See presentation
Generalized Deviations are Counterparts to Risk Measures Generalized Deviations versus Risk Measures
Coherent Deviations
Portfolio Optimization with Generalized Deviations
Optimal Portfolio Policies with Multiple Deviations
Betas for Optimal Portfolios
Market Equilibrium with Investors Having Different Deviations
Statistics with Generalized Deviations
> See presentation
Time-consistency of indifference prices and monetary utility functions. (joint work with Patrick
Cheridito, Princeton University).
We consider an economic agent with dynamic preferences over a set of uncertain
monetary payoffs. We assume that the agent's preferences are given by utility
functions, which are updated in a time-consistent way as more information is
becoming available. Our main result is that the agent's indifference prices are
time-consistent if and only if his preferences can be represented with utility
functions that are additive with respect to cash. We call such utility functions
monetary. The proof is based on a characterization of time-consistency of dynamic utility functions in terms of indifference sets. As a special case, we obtain
the result that expected utility leads to time-consistent indifference prices if and
only if it is based on a linear or exponential function.
Michel Crouhy :
Risk Management, Capital Attribution and
Performance Measurement in Best Practice Banks
> See presentation
This presentation discusses how risk capital can be attributed to business lines
as part of a risk-adjusted performance measurement system. The four different
purposes that risk capital does serve are reviewed as well as the measures of
risk capital that can accommodate each one of them. Practical issues in implementing a RAROC system are also addressed.
Suzanne Kloeppel :
Dynamic Good Deal Bounds
In an incomplete market, any arbitrage free price for an untraded payoff cor-
responds to its expectation under an equivalent martingale measure. Many of
these measures are not very reasonable for pricing because they are too "good"
respectively too far away, in an appropriate sense, from the reference measure
P. Omitting such measures, we obtain a set Q of pricing measures and a cor-
responding price interval which is smaller than the no arbitrage price interval.
The lower price bound is minus a coherent risk measure. We study the price
bounds as processes. Since their computability and dynamic properties depend
on the set Q, the main difficulty is to find an appropriate definition for this set
in the dynamic context. In a Lévy setting, we define Q by a pointwise restriction
on an appropriate integrand. This allows to apply dynamic programming techniques and yields a nice dynamic behavior of the price bounds. Moreover, we
show that the pointwise restriction implies a bound on a more intuitive "global"
criterion for too "good" pricing measures.
Accès : Cliquer ici
Accès RER D : station 'Evry Courcouronnes', départs aux 11 et 41 de chaque heure de Paris Gare de Lyon (durée : une demi-heure RER+5min à pieds)
For submissions please contact
Stéphane Crépey : stephane.crepey@univ-evry.fr
or
Monique Jeanblanc : monique.jeanblanc@univ-evry.fr
Programme 2005 :
Télécharger les comptes-rendus des Journées-Conférences en Finance (16 & 17 juin 2005) |
Thursday June 16 13h30 14h15 Jean-Pierre Lardy (JPMorgan), Capital Structure Arbitrage, A Guided Tour 14h15 15h Julien Turc (Société Générale), Stock-credit relative value strategies Coffee Break 15h30 16h15 Weidong Tian (University of Waterloo, Canada), Predictions of Credit Risk in Structural Model 16h15 17h Elie Ayache (Ito33), Model Robustness in the Equity to Credit Universe I: Co-Calibration |
Friday June 17 Morning Coffee 10h30 12h Fan Yu (University of California),
Conference lunch 13h30 14h15 Claudio Albanese (Imperial College), Pricing Equity to Default Swaps 14h15 15h Yoann Bourgeois & Marc Minko (HSBC-CCF), Arbitrage method on several underlyings Coffee Break 15h30 16h15 Frederic Patras (CNRS Mathématiques Nice & Zeliade Systems), Second-to-default Swaps 16h15 17h Philippe Henrotte (Ito33), Model Robustness in the Equity to Credit Universe II: Dynamic Hedging |