The economics of interest rates
Freitag, 6.5.11, 12:15-13:15, Hörsaal 1199 im KG 1, Platz der Universität 3
It will discuss the following points:\n\nWhat is the mechanism by which interest rates are determined in general equilibrium?\n\nWhich economic quantities influence interest rates?\n\nHow do changes in economic opportunities and investors' preferences affect interest rates?
Modelling Obesity as a function of weekly physical activity profiles measured by Actigraph accelerometers
Freitag, 13.5.11, 11:15-12:15, Raum 404, Eckerstr. 1
Risk management, Modeling Volatile Markets and Forecasting Market Crashes
Mittwoch, 10.8.11, 11:30-12:30, Raum 404, Eckerstr. 1
It has long been known that all classes of asset returns have fat-tailed, skewed non-normal distributions to various degrees. Yet all existing risk management and portfolio optimization systems, based on distributional models, use multivariate normal distributions. This leaves unaddressed the challenge to use multivariate non-normal distributions that can model the co-dependent extreme movements of asset returns. In this talk we discuss the application of skewed fat-tailed multivariate distributions - stable and tempered stable distributions - to portfolio risk calculations, modeling volatile markets, forecasting market crashes and portfolio optimization. Stable and tempered stable distributions accurately reflect the varying degrees of tail fatness and skewness of the individual portfolio assets. Additionally, this modeling framework accounts for volatility clustering and the co-dependency structure among the assets in a portfolio. Use of these stable and tempered stable distributions to compute value-at-risk and expected tail loss realizes more accurate and informative risk measures, and portfolios that yield higher risk adjusted returns.\n\nThis talk discusses and demonstrates commercial applications of stable and tempered stable distributional models in risk management, modeling volatile markets, forecasting market crashes, option pricing and portfolio optimization.\n\nThe talk is based on my joint work with Aaron Kim, Boryana Racheva-Iotova, Stoyan Stoyanov, Michele-Leonardo Bianchi, Ivan Mitov, and Frank Fabozzi.