The Hitchhiker’s Guide to the Galaxy of Financial Risk Management: Risk Measures and Procyclicality

schedule le lundi 03 décembre 2018 de 17h00 à 18h00

Organisé par : A. Lefebvre, N. Meyer, O. Safsafi, T. Touati

Intervenant : Marcel Bräutigam (LPSM & CREAR)
Lieu : Jussieu, salle de séminaire, couloir 16-26, salle 209

Sujet : The Hitchhiker’s Guide to the Galaxy of Financial Risk Management: Risk Measures and Procyclicality

Résumé :

Welcome on planet risk measures! I sense you feel a bit lost – it is unclear to you how far you are from your home planets of statistics and probability, right? Don’t worry, simply join our tour, we will visit the three main sights of our beautiful planet: Wait, before starting the tour, let us give a brief introduction to the history and beginnings of this planet and why it evolved so much in the last years. And now, let’s go! First, let’s visit the village of the axiomatic approach to risk measures - this is the place nearest to the planet of probability. Then, the town of risk measure estimation from which you can see the planet statistics. Last, we stop at the institute of the performance analysis of risk measures (the most visited sight for guests from planet earth). This institute takes care of evaluating the performance of risk measure estimates – as only sufficiently well performing risk measures are allowed on planet earth. And that’s where I will tell you my story, the story about procyclicality…