Dynamic risk measures: time consistency, asymptotics, and the appearance of bubbles
Speaker:
Hans Föllmer, Humboldt University of Berlin
Date and Time:
Monday, January 11, 2010 - 9:15am to 10:00am
Abstract:
Different notions of time-consistency imply different supermartingale properties of the dynamic risk measure and the process of penalization. In particular we discuss the appearance of ”bubbles” in the penalization process. They amount to an underestimation of the model risk, and as a result the risk assessment may not be asymptotically safe. The talk will be based on joint work with Irina Penner and Beatrice Accaio.