Symmetric measures of variability induced by risk measures

  • Thu 25 Feb 21

    14:00 - 15:00

  • Online


  • Event speaker

    Tolulope Fadina

  • Event type

    Lectures, talks and seminars

  • Event organiser

    Mathematical Sciences, Department of

  • Contact details

    Osama Mahmoud

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.

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.


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.

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