彭实戈院士的学术报告

发布时间:2015年12月12日 作者:   消息来源:    阅读次数:[]

 

报告人:彭实戈院士,   

时间:2015年12月12日下午四点,   

地点:数理楼小报告厅   

Titile: A parameterized risk model of VaR–GVaR under model uncertainty   

Abstract:   

The theory of nonlinear expectation provide us a powerful method to measure the risk of portfolios. On the other hand, it also rise challenging problems, in a very fundamental level, to understand how to estimate pa- rameters of a risk model of distribution. A typical example is the nonlinear maximal distribution and the nonlinear normal distribution . We have proposed a robust method to calculate the risk of profit/loss essentially based on the uncertainty of distributions. In this paper we will present how to use the parameterized G-normal distributionin the calculations of VaR with model risk, called GVaR approach. Comparing to the historical simulation VaR, actually widely used in financial markets, this approaches are surprisingly efficient in several typically important empirical testings.   

彭实戈院士简介:   

彭实戈教授,数学家,中国科学院院士,山东大学数学与系统工程学院博士生导师,长江学者,山东大学数学研究所所长,金融研究院院长。长期致力于随机控制、金融数学概率统计方面的研究,在随机控制理论研究领域,有很高的国际知名度。他和法国数学家Pardoux教授一起开创的“倒向随机微分方程”新方向BSDE)在期权期货等金融衍生证券定价中有重要的作用,成为研究金融产品定价的重要工具,他也是中国金融数学的奠基人。



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