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Previous Annual Program Special Seminars

Ruodu Wang, University of Waterloo

Wednesday, May 1, 2013 10:30 a.m. - 12:00 p.m. Lind Hall 305

The model risk is the risk of inappropriate modelling and misused quantitative methods in financial risk management. One of the most challenging model risk lies in modelling the dependence between individual risks. In this talk I will give a general introduction to this challenge. To give a proper mathematical framework to study the model risk in dependence, I will introduce the admissible risk class as the set of all possible risk aggregation when the marginal distributions of individual risks are given but the dependence structure among them is unspecified. The concept provides flexibility to analyze model risk of dependence. I will also discuss some theoretical results on convex ordering bounds of this class, which can be used to identify extreme scenarios for risk aggregation and calculate bounds on convex risk measures and other quantities of interest.

David Mumford, Brown University

Thursday, February 28, 2013 11:15 a.m. Lind Hall 305

Sastry Pantula, National Science Foundation

Monday, July 9, 2012 2:30 - 3:30 p.m. Lind Hall 305

Dr. Pantula is the Director of the Division of Mathematical Sciences at the The National Science Foundation and will give a presentation about the Programs in the Division of Mathematical Sciences.