Dynamic Acceptability Indices
Systemic Risk
Description
Tao Chen
Title: Dynamic Acceptability Indices
Mr. Tao Chen will discuss concave distortions in dynamic case.
Yu-Sin Chang
Title: Systemic Risk
Ms. Yu-Sin Chang will report the paper "CVA for Bilateral Counterparty Risk of Collateralized Contracts under Systemic Risk" by Durand and Rutkowski.
Marcin Pitera
Title: Multiperiod Portfolio Optimization with Expected Utility and Multiple Coherent Risk Constraints
Mr. Marcin Pitera will talk about the existence and uniqueness of the solution. He will also show that computations could be simplified into single-period problems and computed recursively
Event Topic
Mathematical Finance, Stochastic Analysis, and Machine Learning