700 University Avenue 9F
Toronto, Ontario
Canada
University of Toronto
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Portfolio Allocation, Behavioural Finance, Wasserstein Distance, Tail Value-at-Risk, Benchmark
Sensitivity analysis, risk measures, stress testing, sensitivity measures, Kullback-Leibler divergence
Risk Bounds, Distortion Risk Measures, Wasserstein Distance, Distributional Robustness, Tail Value-at-Risk
Portfolio Allocation, Risk Parity, coherent risk measures, Stochastic Optimisation
Dynamic Risk Measures, Portfolio Allocation, Risk Parity, Elicitability, Deep Learning
Robust Optimisation, Reinforcement Learning, Risk Measures, Wasserstein Distance, Statistical Arbitrage, Portfolio Optimisation
Reverse Stress Testing, Compound Poisson Processes, KL divergence, Value-at-Risk, Conditional Value-at-Risk
Sensitivity analysis, importance measures, model uncertainty, risk measures, dependence, Rosenblatt transform
Relative entropy, Kullback-Leibler, Levy-Ito processes, Reverse sensitivity, Risk Management, Model Uncertainty, Cryptocurrency
Dynamic Risk Measures, Time-consistency, Distributional Uncertainty, Wasserstein distance
Distortion Risk Measures, Expected Utility, Wasserstein Distance, Robustness and Sensitivity Analysis, Model Uncertainty
risk measures; deviation measures, distributionally robust optimization, convexification, conditional expectation
Robustness and Sensitivity Analysis, Risk Management, Value-at-Risk, Expected Shortfall, Stress Testing
Lambda Quantiles, Capital Allocation, Risk Contribution, Lambda Value-at-Risk, Euler Allocation
Stackelberg game, reinsurance, barycentre, Kullback-Leibler divergence, excess-of-loss reinsurance, proportional reinsurance
Convex risk measures, Aggregation, Value-at-Risk, Robustness, Continuity
Consistency; Elicitability; Expected Shortfall; Information value; Value-at-Risk
Distortion Risk Measures, Capital Allocation, Euler Allocation, Aumann-Shapley, Reinsurance, Aggregation
Optimal transport, risk measures, scoring functions, elicitability, coupling, Wasserstein distance, asymmetric Optimal Transport
Elicitability, Kullback-Leibler divergence, Model Uncertainty, Risk Measures
Sensitivity analysis, importance measurement, differential sensitivity measures, simulation, risk measures, credit risk
Mixtures of Experts, Kullback-Leibler, Barycentre, Model Combination, Ensemble Model, Deep learning, Elicitability, Volatility Smiles
Portfolio choice, Preferences, Expected Utility, Hoeffding-Fréchet bounds, Bregman Divergence, Wasserstein distance, cost-efficiency
