g-Expectation and Dynamic Acceptability Indices
Systemic Risk
Description
Tao Chen
Title: g-Expectation and Dynamic Acceptability Indices
Mr. Tao Chen will present the left continuity of conditional risk measures via g-expectation and discuss the definition of the dynamic acceptability index with the process as input.
Yu-Sin Chang
Title: Systemic Risk
Ms. Yu-Sin will focus on systemic risk and present Massimo Morini’s paper, Solving the Puzzle in the Interest Rate Market.
Event Topic
Mathematical Finance, Stochastic Analysis, and Machine Learning