Dynamic Acceptability Indices

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Systemic Risk



 

Description

Tao Chen
Title: Dynamic Acceptability Indices
Mr. Tao Chen will report the paper ā€On Consistent Valuations Based on Distorted Expectations: from Multinomial Random Walks to Levy Processesā€ by Madan, Pistorius and Stadje.

Yu-Sin Chang
Title: Systemic Risk
Ms. Yu-Sin Chang will ļ¬nalize the topic about calibrating default intensity from lending activities and report the paper ā€œCVA for Bilateral Counterparty Risk of Collateralized Contracts under Systemic Riskā€ by Durand and Rutkowski.

Event Topic

Mathematical Finance, Stochastic Analysis, and Machine Learning

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