Graduate Seminar Financial and Actuarial Mathematics LMU and TUM

Dates

09.01.2023

Time: 14:15 - 15:00
Place: 2.01.03 Handelsraum/Riskfactory
Speaker: Gunter Meissner (University of Hawaii & TUM,https://www.math.cit.tum.de/mathfinance/personen/gastdozenten/dr-gunter-meissner/ )
Title: A unified Market Risk-Liquidity Risk Model
Abstract: Liquidity risk is typically added exogenously to a market price process. This is conceptually unsatisfying. We build a model, which integrates liquidity risk into the market price process. In particular, we add a liquidity (jump) component to the standard geometric Brownian motion and show that this approach models market prices better than without the liquidity component. Since long positions have to be liquidated at the bid price, we model bid and ask price individually. We verify our model with 50 million bond price data. We suggest that this model should underlie long positions in risk management approaches such as VaR (Value at Risk), ES (Expected Shortfall) and EVT (Extreme Value Theory). The talk is based on a joint work with Robert Engle and Anna van Elst.

 

06.02.2023

Time: 14:15 - 15:00
Place: 2.01.03 Handelsraum/Riskfactory
Speaker: Colin Zhang von der Macquarie University in Sydney https://researchers.mq.edu.au/en/persons/colin-zhang
Title: Optimal Consumption, Investment, Housing and Life Insurance Purchase Decisions for a Couple with Dependent Mortality
Abstract: In this paper we study an optimisation problem for a couple including two breadwinners with uncertain lifetimes. Both breadwinners need to choose the optimal strategies for consumption, investment, housing and life insurance purchasing during to maximise the utility. In this paper, the prices of housing assets and investment risky assets are assumed to be correlated. These two breadwinners are considered to have dependent mortality rates to include the breaking heat effect. The method of copula functions is used to construct the joint survival functions of two breadwinners. The analytical solutions of optimal strategies can be achieved, and numerical results are demonstrated.

 

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