Symmetric measures of variability induced by risk measures

Symmetric measures of variability induced by risk measures

General measures of variability induced by risk measures are investigated for their potential applications to risk management.

We emphasize on the three classes of variability measures generated by the Value-at-Risk, Expected Shortfall, and the Expectiles. Their properties are explored, and we obtain a characterization result on general model spaces. Convergence properties and asymptotic normality of the empirical variability measures estimators are established. An application of the variability measures to financial data is also investigated.

Speaker

Tolulope Fadina, University of Essex

How to attend

If not a member of the Dept. Mathematical Science at the University of Essex, you can register your interest in attending the seminar and request the Zoom’s meeting password by emailing Dr Osama Mahmoud o.mahmoud@essex.ac.uk.