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ORIE 6630 - [Risk Measures]


     
Fall (weeks 8-14). Next Offered: 2019-2020. 2 credits. Student option grading.

Prerequisite: MATH 4310  or an equivalent. First half of ORIE 6500 .

Staff.

This is an introductory course in the axiomatic theory of risk measures. In the first part of the course we will introduce the axiom sets for monetary, convex and coherent risk measures. We will then characterize risk measures in terms of their acceptance sets and discuss the financial applications to regulatory capital. In the second part of the course we will discuss the relation between coherent risk measures and convex game theory. The last part of the course will be dedicated to systemic risk measures and the allocation of risk to the components of a system.


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