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Научно-практический семинар "Управление финансовыми рисками и страхование"

8 ноября состоялось выступление профессора Университета Альберты Мельникова А.В. на семинаре Международной профессиональной ассоциации риск-менеджеров (PRMIA) совместно с лабораторией по финансовой инженерии и риск-менеджменту на тему "Conditional Value at Risk: hedging, estimation and related applications".

8 ноября состоялось выступление профессора Университета Альберты Мельникова А.В. на семинаре Международной профессиональной ассоциации риск-менеджеров (PRMIA) совместно с лабораторией по финансовой инженерии и риск-менеджменту на тему "Conditional Value at Risk: hedging, estimation and related applications". Адрес: ул. Шаболовка, 26, ауд. 3211.


Аннотация доклада:

Hedging of options is one of the basic and comprehensive problems of mathematical finance
which has very interesting insurance applications. The most visible developments in this area
during the last decades were done by using the notion of partial or imperfect hedging. We
formulate this problem as a possibility to create a terminal capital which is close enough to
given contingent claim in some probabilistic sense. Such understanding of the problem
explains clearly why a reasonable statistical technique properly works here creating new types
of hedging like quantile, efficient etc. Due to new developments in the theory of risk
measures, hedging problem became a new insight. We investigate the partial hedging problem
using the most applicable risk measure CVaR - Conditional Value at Risk. We develop the
CVaR optimization technique along with the fundamental Neuman-Pearson lemma to solve
hedging problem by minimizing CVaR under initial budget constraints. Explicit solutions will
be derived in the framework of the Black-Scholes and regime-switching market models.
Moreover, an efficient technique for CVaR estimation will be provided based on the so-called
path-wise comparison theorem for strong solutions of stochastic differential equations.
Applications for pricing of equity-linked life insurance contracts and for valuation of
regulatory capital requirements will be given.

Дискуссант: профессор Обижаева А.А., РЭШ.