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“统计大讲堂”第208讲预告:投资组合的联合风险度量:流动性缺口角度

2023-03-07

报告时间:2023年3月10日

下午3:00-4:00

报告地点:中国人民大学明德主楼1016

                (腾讯会议ID:308-924-261)

报告嘉宾:胡亦钧

报告主题:Risk measurement of joint risk of portfolios: a liquidity shortfall aspect

报告摘要

Risk measurement of joint risk of portfolios: a liquidity shortfall aspect

In this talk, I will present a novel axiomatic framework of measuring the joint risk of a portfolio consisting of several financial positions. Precisely, from the liquidity shortfall aspect, we first construct a distortion-type risk measure to measure the joint risk of portfolios, which we refer to as multivariate distortion joint risk measure, representing the liquidity shortfall caused by the joint risk of portfolios. After its fundamental properties have been studied, then we axiomatically characterize it by proposing a novel set of axioms. Furthermore, we also propose a new class of vector-valued multivariate distortion joint risk measures, as well as with sensible financial interpretation.  It turns out that this new class is rich enough, as it can not only induce new vector-valued multivariate risk measures, but also recover some popular vector-valued multivariate risk measures known in the literature with alternative financial interpretation. This talk mainly gives some theoretical results, helping one to have an insight look at the measurement of joint risk of portfolios.

This talk is based on a joint work with Shuo Gong and Linxiao Wei.

个人简介

胡亦钧,武汉大学数学与统计学院,教授, 博士生导师。1993年毕业于武汉大学数学系、获博士学位并留校任教。主要从事金融风险度量、保险数学、概率极限理论等相关领域的研究。先后主持完成国家自然科学基金面上项目多项,在保险、金融、概率统计等领域的国内外专业刊物上发表论文60余篇。曾获湖北省自然科学奖二等奖(2003年),教育部“新世纪优秀人才支持计划”(2004年)的奖励和荣誉称号。曾先后应邀赴美国、加拿大和香港地区访问。