Amsterdam, 1018 WB
University of Amsterdam - Department of Quantitative Economics (KE)
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Model risk, Capital requirements, (Coherent) risk measurement, Derivative pricing models
American options, high-dimensional problems, free boundary problems, optimal stopping, variational inequalities, numerical methods, unstructured mesh, Markov chain approximation
Linear Uncertain Systems, Game Theory, Algebraic Riccati Equations
retirement security redesign, life cycle investment, contingent claims analysis, dynamic portfolio selection
disturbance decoupling, dynamic games
convex risk measures, acceptability measures, weak time consistency
risk sharing, fair division, Perron-Frobenius theory, eigenvector computation, collectives
Optimal control, Differential games, Threshold effects, Discontinuous dynamics
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distortion risk measures, hypothesis testing, receiver operating characteristic, divergence
risk exchange, Pareto efficiency, financial fairness, cooperative investment
collective pensions, conditional indexation, intergenerational risk sharing, overlapping generations models.
pension fund regulation, replacement ratio, funding ratio
Inter-temporal risk sharing, Pareto efficiency, financial fairness, contract design
risk measures, value-at-risk, VAR, tail distribution, hedge errors, delta-hedged options, autoregressive model
Risk management, backtesting, expected shortfall, value-at-risk
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