讲座编号：jz-yjsb-2016-y007
讲座问题：Robustness of regulatory risk measures in aggregation and optimization
主 讲 人：王若度 Assistant Professor Actuarial Science at the University of Waterloo
讲座时间：2016年03月28日（周一）下昼15:00
讲座所在：阜成路东校区一号楼241室
加入工具：理学院统计专业的研究生及青年西席
主理单位：研究生院
承办单位：理学院
Dr. Ruodu Wang is currently Assistant Professor of Actuarial Science at the University of Waterloo in Canada. He received his Ph.D. in Mathematics from the Georgia Institute of Technology, USA. His research interest lies mainly in Quantitative Risk Management (QRM), with current focus on risk measurement, dependence modelling, model uncertainty and risk aggregation. He has published over 30 papers on leading academic journals in related fields, including the Annals of Applied Probability, the Annals of Statistics, Statistical Science, Mathematics of Operations Research, Finance and Stochastics, and the SIAM Journal on Financial Mathematics. His research is currently funded by the Natural Sciences and Engineering Research Council of Canada.
主讲内容：
In the past few years, there have been extensive debates on the desirability of regulatory risk measures in both academia and industry of finance and insurance. We discuss some progress in the recent research trend on the comparative advantages of Value-at-Risk (VaR) and Expected Shortfall (ES, or TVaR). In particular, we focus on robustness issues in the aggregation and the optimization of risks. As opposed to the classic notion that VaR is statistically more robust than ES, our research brings in some new insights and perspectives on advantages of ES in robust aggregation and optimization. This talk is based on joint work with Paul Embrechts (Zurich) and Bin Wang (Beijing), and some on-going research projects.