Saul Jacka: Multi-currency reserving for coherent risk measures
V četrtek, 13. 10. 2022 ob14:15, bo v predavalnici 2.03 na FMF, Jadranska 21, potekalo predavanje Saula Jacke (University of Warwick) Multi-currency reserving for coherent risk measures.
Povzetek: We examine the problem of dynamic reserving for risk in multiple currencies under a general coherent risk measure. The reserver requires to hedge risk in a time-consistent manner by trading in baskets of currencies. We show that reserving portfolios in multiple currencies $\V$ are time-consistent when (and only when) a generalisation of Delbaen's m-stability condition, which we term optional $\V$-m-stability, holds. We prove a version of the Fundamental Theorem of Asset Pricing in this context.
Zaenkrat je predvideno, da bo predavanje potekalo v živo, bo pa organiziran tudi prenos prek videokonferenčnega sistema ZOOM. https://uni-lj-si.zoom.us/j/95492285750 ID: 954 9228 5750 Vljudno vabljeni!