On adjusted risk measures (Burzoni M., Frittelli M., Munari C., Wang R., and Zorzi F.)

Speaker:  Matteo Burzoni - Università degli Studi di Milano
  Wednesday, May 11, 2022 at 12:00 PM In presenza + Zoom webinar

We introduce different ways of adjusting classical risk measures in different contexts. We mainly discuss the properties of a new class of convex risk measures that robustifies Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The key element is a benchmark risk profile g which allows, at the same time, to tailor the risk assessment to the specific application of interest. The resulting risk measure is intimately connected with second-order stochastic dominance. A second way of adjusting and robustifying risk measures is presented in a systemic risk framework which is not based on any probabilistic assumption.

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Programme Director
Sara Svaluto Ferro

External reference
Publication date
January 13, 2022

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