Séminaire FDD-FiME // A. Matoussi

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 Read more [...]