ISIPTA '05: Detailed Program


Carnegie Mellon University
Pittsburgh, PA, USA
July 20-23 2005


After consulting the program overview, you can find here a more detailed list of activities for ISIPTA'05.

Wednesday, July 20

Thursday, July 21

Friday, July 22

Saturday, July 23

Sunday, July 24 (only morning)
Workshop on Financial Risk Assessment

  • Dynamic monetary risk measures for processes
    Patrick Cheridito
    We study time-consistency properties of processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of monetary risk measures time-consistent if it assigns to a process of financial values the same risk irrespective of whether it is calculated directly or in two steps backwards in time, and we show how this property manifests itself in the corresponding process of acceptance sets. For processes of coherent and convex monetary risk measures admitting a robust representation with sigma-additive linear functionals, we give necessary and sufficient conditions for time-consistency in terms of the representing functionals.
  • Time Consistent and Currency Invariant Convex Risk Measures
    Stephen D'Silva
    In order to study time-consistent monetary concave risk adjusted valuations in a continuous time, finite horizon setting, there arises a need to define risk adjusted valuations at all dates in the time continuum. One approach of tackling this issue is to define risk adjusted valuations at all dates and call this sequence of risk valuations as the risk valuation process. However, monetary risk adjusted valuations enjoy the translation invariance property which enables us to define monetary risk adjusted valuations at intermediate stopping times in terms of the date-0 risk adjusted valuation.
    We characterize these intermediate risk adjusted valuations in terms of the date-0 risk adjusted valuation for strongly relevant time-consistent monetary risk measures. We develop a representation for strongly relevant monetary risk measures which are time consistent at certain specified dates.
    We seek to characterize convex risk measures which are both time consistent and currency invariant. We define currency invariance for monetary concave risk adjusted valuations. We show that only trivial monetary concave risk adjusted valuations satisfy both time consistency and currency invariance for all positive exchange rate processes.
  • Generalized Deviation in Risk Analysis
    R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin
    General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such measures include standard deviation as a special case but need not be symmetric with respect to ups and downs. Their properties are explored with a mind to generating a large assortment of examples and assessing which may exhibit superior behavior. Connections are shown with coherent risk measures in the sense of Artzner, Delbaen, Eber and Heath, when those are applied to the difference between a random variable and its expectation, instead of to the random variable itself. However, the correspondence is only one-to-one when both classes are restricted by properties called lower range dominance, on the one hand, and strict expectation boundedness on the other. Dual characterizations in terms of sets called risk envelopes are fully provided.
  • Fundamental Theorems of Previsions and Asset Pricing Theories
    Mark Schervish, Teddy Seidenfeld, Jay Kadane
    We explore the connections between the concepts of arbitrage and Dutch Book.  These concepts are related to the fundamental theorem of previsions and the fundamental theorem of asset pricing.  In loose terms, fair prices for gambles (previsions) are coherent and asset prices are arbitrage free if they are expected values under probability measures.  How generally this loose result holds and how closely the two concepts correspond are the main focus of this study.

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