主 题: Measurement of Economic Tail Risk
报告人: Prof. Steven KOU（ Centre for Quantitative Finance and Dept of Math, National University of Singapore）
时 间: 2014-01-03 15:00-16:00
地 点: 理科1号楼 1493（主持人：杨静平）
This paper attempts to provide a decision theoretical foundation for measuring economic tail risk. We prove that the only tail risk measure that satisfies a set of economic axioms proposed by Schmeidler (1989, Econometrica) and a statistical requirement called elicitability (i.e. there exists an objective function such that a reasonable estimator must be a solution of minimizing the expected objective function) is the median shortfall, which is the median of the tail loss distribution and is also the VaR at a high confidence level. Robust properties of the median shortfall, which is desirable for consistent legal implementation in face of model uncertainty, are also discussed. We apply the concept of the median shortfall to study Basel Accords. This is a joint work with Xianhua Peng.
报告人介绍: Professor Steven Kou joined National University of Singapore (NUS) as the director of Centre for Quantitative Finance in June, 2013. Prior to joining NUS, Professor Kou was a full professor in the Dept of Industrial Engineering and Operations Research at Columbia University. Professor Kou\'s research interests include mathematical and computational finance, and applied probability. He has published in numerous journals including Management Science, Operations Research, Mathematical Finance, Finance and Stochastics, Annals of Applied Probability, Mathematics of Operations Research, etc. In terms of financial engineering, Professor Kou is well known for his research on the double exponential jump diffusion model, the numerical pricing of discrete path-dependent options, market LIBOR models with jump risk, and option pricing in incomplete markets. His results have been widely used on Wall Street. Professor Kou has served on the editorial board of many top scholarly journals, including Management Sciences, Mathematical Finance, Mathematics of Operations Research, etc.
