Dynamic Acceptability Indices
Systemic Risk
Description
Tao Chen
Title: Dynamic Acceptability Indices
Mr. Tao Chen will report the paper 鈥漁n Consistent Valuations Based on Distorted Expectations: from Multinomial Random Walks to Levy Processes鈥� by Madan, Pistorius and Stadje.
Yu-Sin Chang
Title: Systemic Risk
Ms. Yu-Sin Chang will 铿乶alize the topic about calibrating default intensity from lending activities and report the paper 鈥淐VA for Bilateral Counterparty Risk of Collateralized Contracts under Systemic Risk鈥� by Durand and Rutkowski.
Event Topic
Mathematical Finance, Stochastic Analysis, and Machine Learning