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.