Yuying Li - Black Swans, VaR, and Risk Management
Many of us have been negatively impacted by the current financial market collapse. The causes for this spectacular failure have been the subject of news paper articles, television news, and dinner conversations.
A common measure of risk used in financial institutions is Value-at-Risk ( VaR). However, this measure of risk clearly failed to prevent the extreme losses we have seen in the past year. In this talk, I will discuss the problems associated with computing VaR, in particular the difficulty in handling extreme events (the so called Black Swans). In addition, I will put forward some new ideas on how to compute better measures of risk.
Location: DC 1302
Time: 3:30-4:10pm
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