Heath Lectures, May 15-19, 2006

RISK MEASUREMENT AND MANAGEMENT

Plan of the lectures given by Freddy Delbaen.

1. Monetary utility functions on L-infinity and their representations, the coherent and the concave case, the Fatou property and the weak compactness property.
2. The relation with VaR and some examples. The extension to spaces of non-integrable random variables.
3. Capital allocation problems and exposed points, the problem of differentiability.
4. The inf-convolution and the Fatou property. Dynamic risk measures.
5. Different characterizations of time consistency. The case of Brownian Motion and BSDE.

Plan of the lectures given by Alexander Schied.

1. Structure theorems for TailVaR and general law-invariant risk measures.
2. Risk measures in financial markets.
3. Quantification of model risk in finance and economics.
4. Optimal investments under model uncertainty: complete market.
5. Optimal investments under model uncertainty: incomplete market.