The Thalesians - Dilip Madan: Risk Management using the Valuation of Risk Exposure Variation
City University Club
Wednesday, March 13, 2019 - 06:30 PM
Until: Wednesday, March 13, 2019 - 08:30 PM
(Adjusted for timezone: Europe/London)
Categories
Risk Management using the Valuation of Risk Exposure Variation based on General Measure Distortions
Beginning by highlighting the unfortunate costs associated with assuming the law of one price, the fundamentals of arbitrage free two price economies are developed. Operationally they lead us towards the use of probability distortions. Questioning the relevance of probability leads us to the more genegal concept of distorting general variation measures that are used to describe risk by its variation exposure. Risk management is then rewritten with the objective of maximizing the lower prudential value of variation exposure as seen from a two price economy perspective. Illustrative examples for designing hedges and portfolios are presented.
£15.00/ person
Further info:
https://www.meetup.com/thalesians/events/257870487/
Beginning by highlighting the unfortunate costs associated with assuming the law of one price, the fundamentals of arbitrage free two price economies are developed. Operationally they lead us towards the use of probability distortions. Questioning the relevance of probability leads us to the more genegal concept of distorting general variation measures that are used to describe risk by its variation exposure. Risk management is then rewritten with the objective of maximizing the lower prudential value of variation exposure as seen from a two price economy perspective. Illustrative examples for designing hedges and portfolios are presented.
£15.00/ person
Further info:
https://www.meetup.com/thalesians/events/257870487/