Berlin 2005 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 1: Dynamics of Groups and Organizations I

AKSOE 1.1: Hauptvortrag

Freitag, 4. März 2005, 10:00–10:45, TU P-N203

Quantifying Extreme Risk - Critical Phenomena in Natural and Social Sciences — •Didier Sornette — CNRS-Univ. Nice and UCLA

Portfolio analysis, risk assessment, risk management and portfolio optimization require ideally to determine (1) the distributions of returns at different time scales and (2) the nature and properties of dependences between the different assets. This talk focuses on the multidimensional nature of financial risks and dependences by using concepts and tools that remain valid for large and extreme price moves. We will discuss the state of the art on (i) the different distributions of financial returns for various applications (VaR, stress testing) and (ii) the most important and useful measures of dependences, both unconditional and conditional and a study of the impact of conditioning on the size of large moves on the measure of extreme dependences with application to contagion. A large emphasis is put on the theory of copulas, their empirical testing and calibration, as they offer intrinsic and complete measures of dependences. The talk is based in the book “Extreme Financial Risks (from dependence to risk management” by Y. Malevergne and D. Sornette, Springer (2005).