Systemic risk measures based on tail risk projections

发布时间:2022-11-09 浏览次数:10

报告题目:Systemic risk measures based on tail risk projections

 讲人:以色列本古里安大学 Tomer Shushi博士



报告摘要:Systemic risks have been proved to be extremely harmful to the Financial system, with a potential for a catastrophic failure occurring when risks are mutually dependent. In practice, risk managers that focus on the possibility of a crisis are confronted with not only one risk but rather a system of risks (such as several business lines). So the world of risks is, in fact, multivariate, and in this context, dealing with a univariate risk measure is inadequate. I will present a novel approach to building systemic risk measures based on projections of the random vector of risks into models that focus on extreme loss events while capturing the dependence structure of the risks. The proposed measures can also be directly applied to various problems of assessing the risk from a system of mutually dependent risks. Several aspects will be examined, showing the strengths of such an approach as well as the weaknesses in speciÖc cases.


Dr. Tomer Shushi is a (tenured) Senior lecturer in the Department of Business Administration, Guilford Glazer Faculty of Business and Management, Ben-Gurion University of the Negev, Beer-Sheva, Israel. Tomer's research focuses on risk management and risk measurement, actuarial science, uncertainty, and finance. In his research, Tomer investigates and develops quantitative models for financial and actuarial risks, systemic risks, and extreme events. He also investigates loss distributions and their characteristics, optimal portfolio allocation and modern portfolio theory.

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