Ten years ago, I was giving a short course in Louvain-la-Neuve, on “an introduction to multivariate and dynamic risk measures“. I have written notes that are still online, but I never found time to do anything with them…
Tag Archives: measures
Course on risk measures (in French)
The course on risk measure, in Luminy, starts at 16.00 on Monday (here). The slides can be found here,
Note that additional references can be downloaded on the internet, e.g. the short course on risk measures by Freddy Delbaen (here) or the article from the Encyclopedia of quantitative finance, by Hans Föllmer and Alexander Schied (there). See also here for the paper by Jean Marc Tallon, Johanna Etner and Meglena Jeleva, on decision theory under uncertainty.
Dynamic and Multivariate Risk measures
Exposé dans le cadre du groupe de travail Dynamic and multivariate risk measures, organisé par Rose-Anna Dana (Univ. Paris Dauphine) et Alfred Galichon (Ecole Polytechnique). La conférence a lieu du jeudi 16 au vendredi 17, à l’Institut Henri Poincare.
Les orateurs sont Imen Bentahar, Arthur Charpentier, Rama Cont, Nicole El Karoui, Paul Embrechts, Damir Filipovic, Jean-Charles Rochet, Ludger Ruschendorf, Marco Scarsini, et Walter Schachermayer, et le programme est en ligne.