Fall Seminar Series - December 9, 2004
University of Minnesota
School of Statistics
College of Liberal Arts
Large Portfolio Losses
Amir Dembo
Department of Statistics
Stanford University
Thursday, December 9, 2004
3:30 PM, 115
Ford Hall
Minneapolis, East Bank Campus
Social at 3:00 PM, 300 Ford Hall
Abstract
We
use large-deviations methods to analyze
the tail risk of losses on large insurance
or bank portfolios. Among other results,
we calculate the approximate contribution
to large tail losses of each type of position,
as an input to portfolio structuring decisions.
We provide conditions under which a portfolio
lifetime risk measure can be reduced to a measure
similar to value at risk.
This talk is based on a joint work with
Jean-Dominique Deuschel and Darrell Duffie.