Information on seminars, symposia, workshops and other events of the Risk Analytics Research Group.
Divorce as a Forward Option on Marital Quality 7th Apr 2015
Stephen Satchell and Andrew Grant, The University of Sydney Business School
Abstract: Conditional value at risk (CVaR), also called expected shortfall, has been widely used as a risk measure in finance. In this talk we explore the effects of different choices for the confidence level, beta. When the confidence level is set close to 1 then CVaR approximates the extreme (worst scenario) risk measure. Particularly when we need to base our estimates of risk on a sample (or a set of historical results) there can be advantages in using a lower value of beta. There are two types of model we consider, involving either optimizing an objective which includes a risk component, or optimizing an objective subject to a bound on risk. We use some simple portfolio optimization problems with a bound on CVaR to investigate the impact of changing beta, and our numerical results demonstrate how reducing the confidence level can lead to better overall performance.
This talk is part of a series organised by the Risk Analytics Research Group at the Business School and is suitable for people from a range of disciplinary backgrounds. The Risk Analytics Research Group has the objective of encouraging collaboration on research in risk analytics, defined as the use of mathematical and statistical methods to measure, predict, analyse and control risk.
Inaugural Group Meeting 17th Apr 2014
This is an open meeting at which anyone with an interest in Risk Analytics is welcome. We are in the start-up process for the Risk Analytics Research Group and at this meeting we will begin the process of planning future events; establish an initial set of members; and briefly share information on the kinds of research projects that are of interest to individuals.
Risk Analytics Research Group Meeting 29th May 2014
The following Business School academics will all give short talks on research topics in the area of risk analytics:Jamie Alcock, Michiel Bliemer, David Johnstone, Stewart Jones, Artem Prokhorov.