15h30 - 15h55
Market Price-Based Convex Risk Measures: A Distribution-Free Optimization Approach
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.
15h55 - 16h20
A NORTA-Based Approach for Portfolio Credit Risk
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.