Ken Siu (Actuarial Mathematics and Statistics, Heriot-Watt University)

Risk measures for derivative instruments
Wednesday 9 March 2005 at 15.30, JCMB 5215


Over the past decades or so, there has been considerable interest on developing accurate and appropriate methods for risk measurement and management. Various measures for risk have been introduced and investigated theoretically and empirically. Value at Risk (VaR) has emerged as a popular tool for risk measures and become the workhorse of risk management practice. In this talk, I will first provide a snapshot for some contemporary research on risk measures, such as VaR and coherent risk measures. The risk behavior of linear portfolios has been investigated extensively and well documented in the finance and insurance literature. Recently, the spotlight has turned to developing theoretically consistent and practically useful quantitative techniques for measuring and managing risk for non-linear instruments, such as options. In the second part of my talk, I will present some research work on quantitative risk measures for derivative instruments and suggest some potential topics for further investigation.

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