Tid: 22 september 2003 kl 1515-1600

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Mikael Nowak

Titel: Monetary Risk Measures - A Survey. (Examensarbete)


In Chapter 1, we begin by introducing V@R and AV@R. We then continue by giving a proper definition of the monetary risk measure and introducing the notion of an acceptance set. Then a discussion of convex and coherent risk measures follows. We end the chapter with two representations in terms of finitely additive measures, one for convex risk measures and one for coherent risk measures.

The financial market model will, to some extent, be discussed in Chapter 2. We also investigate how different continuity properties affect convex and coherent risk measures. Due to some continuity criteria we get representations of coherent and convex risk measures in terms of probability measures. We end Chapter 2 by giving a representation of a convex risk measure in a financial market.

In Chapter 3, we return to V@R and AV@R. This time we thoroughly derive some relations between these risk measures.

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