Robust Risk Measures with Silvana Pesenti
Offered By: Society for Industrial and Applied Mathematics via YouTube
Course Description
Overview
Explore distributionally robust risk measures in this 53-minute webinar presented by Silvana Pesenti from the University of Toronto as part of the SIAM Activity Group on Financial Mathematics and Engineering Virtual Talk Series. Delve into the concept of worst-case distortion risk measures for Wasserstein uncertainty sets and their application to portfolio optimization. Examine dynamic robust risk measures and uncertainty sets, studying conditions for properties like convexity and coherence, while gaining insights into time-consistency and recursive representation. Conclude with a Q&A session to further enhance understanding of these cutting-edge topics in financial mathematics and engineering.
Syllabus
Robust Risk Measures with Silvana Pesenti
Taught by
Society for Industrial and Applied Mathematics
Related Courses
Introduction to FinanceUniversity of Michigan via Coursera Information Security and Risk Management in Context
University of Washington via Coursera Financial Engineering and Risk Management
Columbia University via Coursera Building an Information Risk Management Toolkit
University of Washington via Coursera Caries Management by Risk Assessment (CAMBRA)
University of California, San Francisco via Coursera