Speaker : Anis Matoussi (Le Mans Université)

Title : Stochastic Algorithms for Systemic Shortfall Risk Measure

Abstract : In this talk, I present  stochastic algorithms schemes for estimating Multivariate Shortfall Risk Measure (MSRM) and prove that the resulting estimators are consistent and asymptotically normal. We also test numerically the performance of these algorithms on several examples.  If time permits, I will present also a work in progress on a class of dynamic MSRM via BSDEs.

The first part of the talk is based on a joint  works with Sarah Kaakaï (Le Mans Université) and Achraf Tamtalini (Bank of America, London-UK),  and the second one is based in a work in progress with  Zakaria Bensaid (Le Mans Université), Roxana Dumitrescu (King’s College of London) and Wissal Sabbagh (Le Mans Université).

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