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                                                     Seminar

             Department of Systems Engineering and Engineering Management
The Chinese University of Hong Kong

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Title	:	External Risk Measures and Basel III Accord
Speaker	:	Prof. Xianhua Peng
		Department of Mathematics
		Hong Kong University of Science and Technology
Date	:	Oct 21st, 2010 (Thursday)
Time	:	4:30 p.m. - 5:30 p.m.
Venue	:	Room 513
		William M.W. Mong Engineering Building
		(Engineering Building Complex Phase 2)
		CUHK

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Abstract:
　

Choosing a proper external risk measure is of great regulatory importance, as exemplified in Basel II and its recent revision Basel III, which use Value-at-Risk (VaR) with scenario analysis as the external risk measure for setting capital requirements for market risk. Our main motivation is to investigate how to choose a good external risk measure. We argue that external risk measures should be robust to model misspecification (e.g. by incorporating scenario analysis) and small changes in the data (e.g. by using robust statistics). We propose new data-based risk measures called natural risk statistics that are characterized by a new set of axioms based on comonotonicity from decision theory. Natural risk statistics include VaR with scenario analysis, particularly Basel III risk measures, as special cases; therefore, we provide a theoretical framework to understand and to extend Basel III, if needed.

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Biography:
　

Xianhua Peng has been an Assistant Professor in the Department of Mathematics at Hong Kong University of Science and Technology since July 2010. He was a Fields Ontario Postdoctoral Fellow at Fields Institute and York University from August 2009 to July 2010. He received a Ph.D. degree in Operations Research under the supervision of Dr. Steven S.G. Kou at Columbia University in May 2009. He got a B.S. in Information Science and a M.S. in Applied Mathematics in the School of Mathematical Sciences at Beijing University in July 2000 and July 2003, respectively. His main research interests are in financial engineering, risk management, and applied probability.

************************* ALL ARE WELCOME ************************

Host	:	Prof. Chen Nan
Tel	:	(852)2609-8237
Email	:	nchen@se.cuhk.edu.hk
Enquiries	:	Prof. Nan Chen or Prof. Sean X. Zhou
	:	Department of Systems Engineering and Engineering Management
		CUHK
Website	:	http://www.se.cuhk.edu.hk/~seem5201
Email	:	seem5201@se.cuhk.edu.hk

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