The conference is going to take place at Eötvös Loránd University, Budapest, Hungary Pázmány Péter Sétány 1/A, Harmony Hall.
Claudia Klüppelberg (TU Munich)
We introduce a random network model for business relationships as for instance an insurance market, overlapping portfolios, or Operational Risk. Using Pareto-tailed losses (as are observed for large risks) with a dependence structure introduced by the graph we study systemic risk measures, which are based on the Value-at-Risk and the Expected Shortfall. We show that the dependence on the network structure plays a fundamental role for the individual agent’s risk as well as for the market risk. The focus of our analysis lies in the study of the influence of the random graph on risk measures, where we consider the Bernoulli graph and a Rasch-type graph as examples. In particular, we explain the influence of the network structure on diversification in such models. This is joint work with Oliver Kley and Gesine Reinert.
This paper analyzes the reliability of standard approaches for financial risk analysis. We focus on the difference between Value-at-Risk and expected shortfall, their small sample properties, the scope for underreporting risk and how estimation can be improved. Overall, we find that risk forecasts are extremely uncertain at low sample sizes, with Value-at-Risk more accurate than expected shortfall. Value-at-Risk is easily deliberately underreported without violating regulations and control mechanisms. Finally, we discuss the implications for academic research, practitioners and regulators, along with best practice suggestions.
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Note that abstracts of proposed talks are expected to arrive at the organizers before January 31, 2020.
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