[MRM] PRisMa 2005, One-Day Workshop on Portfolio Risk Management

Tue Sep 6 11:05:27 CEST 2005

Sehr geehrte Damen und Herren,

Anbei leite ich Ihnen eine Ankuendigung von Professor Schmock/TU Wien
weiter.

Mit besten Gruessen,

Markus Fulmek

PRisMa 2005: One-Day Workshop on Portfolio Risk Management
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WEB PAGE: <http://www.fam.tuwien.ac.at/prisma2005/>

TIME: Monday, September 26, 2005, 9 am - 5 pm

LOCATION:
Vienna University of Technology, Main Building,
Karlsplatz 13, 1040 Wien, Austria
Lecture Theatre "HS 16 Karl von Terzaghi HÃ¶rsaal"
(staircase I, 3rd floor)

Participation is free!

REGISTRATION: There is no official registration - nevertheless we would be
happy if you write for administrative reasons a short e-mail to our
secretary Sandra.Trenovatz at fam.tuwien.ac.at with your name and university
or company.

Everyone is welcome, practitioners are especially encouraged to attend.

PROGRAM:
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9:00-9:10  Welcome

9:10-10:00  Prof. Dr. Saul Jacka (Department of Statistics, University of
Warwick)
Title: (Partial) Hedging for Coherent Risk Measures
Abstract: The talk will consider problems of hedging for a market maker
who prices with respect to coherent risk measures including the
hedging/reserving problem for an intermediate market maker.

10:00-10:30  Coffee Break

10:30-11:20  Dr. Michael Kupper
(Operations Research and Financial Engineering, Princeton University)
Title: Dynamic Monetary Utility Functions
Abstract: If the random future evolution of discounted values is modeled
in discrete time, a monetary utility function can be viewed as a function
on the space of all bounded stochastic processes which are adapted to a
given filtration. Calculating the utility at each time t leads to the
notion of a process of monetary utility functions. We study
time-consistency properties of processes of monetary utility functions for
finite and infinite time horizon. It turns out that time-consistency is
equivalent to the property that the corresponding acceptance sets are
decomposable in time. For processes of coherent and concave monetary
utility functions admitting a robust representation with sigma-additive
linear functionals, we give necessary and sufficient conditions for
time-consistency in terms of the representing functionals. We also give a
new representation for processes of concave monetary utility functions,
which is based on the decomposition of the acceptance set in the
one-time-step acceptance sets. This new representation allows us to
construct multi-period utility functions. Some examples are discussed. It
is joint work with Patrick Cheridito and Freddy Delbaen.

11:20-12:00  Giovanni Puccetti
(Department of Mathematics for Decisions, University of Firenze)
Title: Bounds for Functions of Multivariate Risks
Abstract: Li et al. [Distributions with Fixed Marginals and Related
Topics, vol. 28, Institute of Mathematics and Statistics, Hayward, CA,
1996, pp. 198-212] provide bounds on the distribution and on the tail for
functions of dependent random vectors having fixed multivariate marginals.
We correct a result stated in the above article and we give improved
bounds in the case of the sum of identically distributed random vectors.
Moreover, we provide the dependence structures meeting the bounds when the
fixed marginals are uniformly distributed on the k-dimensional hypercube.
Finally, a definition of a multivariate risk measure is given along with
actuarial/financial applications. This is a joint work with Paul
Embrechts, to appear in Journal of Multivariate Analysis.

12:00-14:00  Lunch Break

14:00-14:50  Dr. JÃ¶rn Sass
(Research Group "Financial Mathematics", Johann Radon Institute for
Computational and Applied Mathematics (RICAM))
Title: Reducing the Risk of Optimal Portfolio Policies
Abstract: In 1969/1971 Merton derived in the continuous-time Black-Scholes
model optimal dynamic portfolio policies using stochastic control theory.
While the Black-Scholes pricing formula derived in the same model was
widely accepted in practice, Merton's strategy never had such a success.
In fact its performance is quite poor when applied to market data.
While the drift plays no role for pricing derivatives, it is of uttermost
importance for portfolio optimization. So we might improve the performance
by considering models of stock returns with a stochastic drift process.
But then neither the drift nor the underlying Brownian motion can be
observed from the stock prices: The investor has only partial information
and his investment decisions have to be based on the observation of the
stock prices only.
For the investor's objective to maximize the expected utility of the
terminal wealth, optimal strategies can be computed explicitly in certain
models using filtering techniques and Malliavin calculus. For logarithmic
utility the fraction of wealth invested in the stocks is simply
proportional to the filter for the drift. But for non-constant drift this
leads to extreme short and long positions. So while it is very convenient
to use continuous-time models to obtain explicit strategies, the use of
these strategies is very risky, especially when trading 'only' daily.
In a continuous-time hidden Markov model for the stock returns, we compare
different constraints and model reformulations, which lead to a better
performance of the optimal continuous-time strategies when applied to
market data: Like using risk-averse utility functions, non-constant
volatility models, LÃ©vy noise, convex constraints (e.g. no short
selling), or risk constraints (e.g. bounded shortfall risk).

14:50-15:40  Dr. Riccardo Gusso
(Department of Applied Mathematics, University of Venice)
Title: Urn-Based Credit Risk Models for Portfolios of Dependent Risks
Abstract: We present some models for portfolios of credit risks that take
into account the dependence of defaults according to the rating of the
involved counterparties. We show how these models can be derived from a
multi-colour urn scheme and discuss the problems of calibration.

15:40-16:10  Coffee Break

16:10-17:00  Dr. HansjÃ¶rg Albrecher
(Department of Mathematical Sciences, University of Aarhus and Department
of Mathematics A, Graz University of Technology)
Title: Ruin Estimates for an Insurance Portfolio with Dependent Risks
Abstract: The classical stochastic model in collective risk theory to
describe the surplus process of an insurance portfolio over time is based
on the assumption of independence of claim sizes and claim arrival times.
However, it has been recognized that such an independence assumption is
often too restrictive for practical applications. We will give an overview
of some recent results on the probability of ruin and related quantities
in generalized models that allow for certain types of dependence.

I hope to see you at the workshop. With best regards,

Uwe Schmock

Financial and Actuarial Math. at TU Vienna: http://www.fam.tuwien.ac.at/
Personal Home Page: http://www.fam.tuwien.ac.at/~schmock/

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++++++++ Wissenschaftlicher Verein INFORM ++++++++++
Insurance, Financial and Operational Risk Management
Fakultaet fuer Mathematik          Universitaet Wien
Nordbergstrasse 15                       A-1090 Wien
@: inform at inform.ac.at   W3: http://www.inform.ac.at
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