HEC Montréal, Canada, May 2 - 4, 2011

2011 Optimization Days

HEC Montréal, Canada, 2 — 4 May 2011

Schedule Authors My Schedule

TC8 Ingénierie financière III / Financial Engineering III

May 3, 2011 03:30 PM – 05:10 PM

Location: Nancy et Michel-Gaucher

Chaired by Nabil Channouf

2 Presentations

  • 03:30 PM - 03:55 PM

    Market Price-Based Convex Risk Measures: A Distribution-Free Optimization Approach

    • Roy Kwon, presenter, University of Toronto
    • Jonathan Li, University of Toronto

    We extend a well known risk measure that measures the impact of uncertainty resulting from mis-specification of derivative models by using an optimization-based approach that uses distributions based on non-parametric specification. This allows for incorporation of a much wider class of distributions that results in more revealing measures.

  • 03:55 PM - 04:20 PM

    A NORTA-Based Approach for Portfolio Credit Risk

    • Mohamed Ayadi, Brock University
    • Hatem Ben Ameur, GERAD, HEC Montréal
    • Nabil Channouf, presenter, GERAD

    We use NORTA method to assess portfolio credit risk under factor models.
    First, we consider traditional risk measures such as value-at-risk and expected shortfall, and then we estimate right tail probabilities of the loss function. To improve the efficiency of estimates we use importance sampling in two-steps: exponential twist and shift in mean.