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The role of asymmetry in financial risk modelling

Giovedì 7 giugno 2018, ore 14:30, aula M2.5G, edificio Matematica, Dipartimento FIM, Modena

Relatore: Prof.ssa Silvia Muzzioli del Dipartimento di Economia "Marco Biagi" dell'Università di Modena e Reggio Emilia

Abstract: Since the onset of the global financial crisis it has been apparent that the fundamental assumptions underlying the mathematical and financial models used in evaluation and risk management can no longer be considered valid. There is a need to work on model assumptions, the analysis of the model proposed from an economic perspective and the computational methods put in place.
The aim of this talk is to analyze the risk measures in financial markets, and propose new measures explicitly accounting for risk asymmetry. Volatility treats increases and decreases in the underlying asset returns symmetrically and precludes the disentanglement of positive and negative stock price movements (good and bad news). To this end we intend to investigate techniques explicitly accounting for asymmetry in stock price movements, in order to model the moments of the underlying asset distribution and derive the option prices consistently.

Ospiti: Prof. Sergio Polidoro.

[Ultimo aggiornamento: 29/05/2018 17:03:08]