14:00 - 15:00
Lectures, talks and seminars
Mathematical Sciences, Department of
Osama Mahmoud email@example.com
These Departmental Seminars are for everyone in Maths. We encourage anyone interested in the subject in general, or in the particular subject of the seminar, to come along. It's a great opportunity to meet people in the Maths Department and join in with our community.
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.
Tolulope Fadina, University of Essex
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 firstname.lastname@example.org.