Feb 06, 2014
from 05:30 PM to 06:30 PM
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PLEASE NOTE VENUE IS TRINITY HALL AND CHANGE OF TIME TO 5.30 ON THIS OCCASION.
Cambridge Finance Seminar Series
Department of Mathematics
Imperial College London
Consistency of Risk Measure Estimates
Recently there has been renewed debate about the relative merits of VaR and CVaR as measures of financial risk. VaR is not coherent and does not qantify the risk beyond VaR, while CVaR shows some computational instabilities and is not "elicitable" (Gneiting 2010, Zwiebel 2013). It is argued in this talk that such questions are best addressed from the point of view of probability forecasting or Dawid's "prequential statistics". We introduce a concept of "consistency" of a risk measure, which is close to Dawid's "strong prequential principle", and show that VaR indeed has special properties not shared by any other risk measure.
Thursday 6th February 2014
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