Risk Aversion in Regulatory Capital Principles
主 题: Risk Aversion in Regulatory Capital Principles
报告人: 毛甜甜 副教授 (中国科学技术大学 )
时 间: 2017-04-13 15:00-16:00
地 点: 理科1号楼1493
摘要：We incorporate a notion of risk aversion favoring prudent decisions from financial institutions into regulatory capital calculation principles. In the context of Basel II, III as well as Solvency II, regulatory capital calculation is carried out through the tools of monetary risk measures. The notion of risk aversion that we focus on has four equivalent formulations: through consistency with second-order stochastic dominance, or with conditional expectations, or with portfolio diversification, and finally through expected social impact. The class of monetary risk measures representing this notion of risk aversion is referred to as consistent risk measures. We characterize the class of consistent risk measures by establishing an Expected Shortfall-based representation. The results obtained suggest that for the determination of regulatory capital, every regulator in favor of risk-averse financial decisions is essentially using a combination of Expected Shortfalls up to some adjustments. This reveals important advantages of the Expected Shortfall for prudent regulation as compared to the Value-at-Risk, a topic very much under discussion in Basel III. This is based on a joint work with Ruodu Wang.
报告人介绍: Tiantian Mao (毛甜甜) is an Associate Professor in the Department of Statistics and Finance, University of Science and Technology of China (USTC). Dr. Mao’s research interests concentrate on stochastic orders, extreme value theory and quantitative risk management. She is the winner of the Chinese Academy of Sciences Presidential Scholarship and also the Scholarship Award for Excellent Doctoral Student granted by Ministry of Education. She has published more than 20 research articles in major research journals in applied probability and insurance. Tiantian Mao received her PhD degree in Probability Theory and Statistics from USTC in 2012.