Uni-Logo
Sie sind hier: Startseite Events Past Events
Artikelaktionen

Past Events

Events which have already happened.

Dr. Johannes Lederer

A General Framework for Uncovering Dependence Networks

Weiterlesen…

Dr. Blanka Horvath

Short-time near-the-money skew in rough fractional stochastic volatility models

Weiterlesen…

Prof. Dr. Christoph Becker

Value, Size, Momentum and the Average Correlation of Stock Returns

Weiterlesen…

Prof. Moritz Diehl

Nonlinear Optimization Methods for Model Predictive Control of Mechatronic Systems

Weiterlesen…

Dr. Kolyan Ray

Asymptotic equivalence between density estimation and Gaussian white noise revisited

Weiterlesen…

Prof. Cristina Butucea

Quantum statistical models and inference

Weiterlesen…

Prof. Peter Pfaffelhuber und Peter Czuppon

Noise in autoregulated gene expression

Weiterlesen…

Stefan Feuerriegel

Statistical learning and patient trajectories in healthcare analytics

Weiterlesen…

JProf. Philipp Harms

Shape Analysis: Infinite-Dimensional Geometry, Statistics on Manifolds, and Applications

Weiterlesen…

Prof. Alexander Meister

Starke Gauß'sche Approximation des Rasch-Mischungsmodells mit Anwendungen

Weiterlesen…

Prof. Dr. Fabian Theis

Reconstructing branching lineages in single cell genomics

Weiterlesen…

Prof. Dr. Tanja Stadler

A short trip through the tree of life: from Ebola over Diphtheria and Tuberculosis to Penguins

Weiterlesen…

Dr. Clemens Kreutz

New Concepts for Reliable Assessment of Statistical Methods

Weiterlesen…

Prof. Dr. Ludger Overbeck

Capital allocation for dynamic risk measures

Weiterlesen…

Sebastian Bossert

Competing selective sweeps

Weiterlesen…

Prof. Martin Wolkewitz

Statistical phenomena in hospital epidemiology: Challenges for statisticians and clinicians

Weiterlesen…

Prof. Dr. Stefan Weber

Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of this type of risk requires the design and implementation of tools for the efficient macroprudential regulation of financial institutions. We propose a novel approach to measuring systemic risk. Key to our construction is a rigorous derivation of systemic risk measures from the structure of the underlying system and the objectives of a financial regulator. The suggested systemic risk measures express systemic risk in terms of capital endowments of the financial firms. Their definition requires two ingredients: first, a random field that assigns to the capital allocations of the entities in the system a relevant stochastic outcome. The second ingredient is an acceptability criterion, i.e. a set of random variables that identifies those outcomes that are acceptable from the point of view of a regulatory authority. Systemic risk is measured by the set of allocations of additional capital that lead to acceptable outcomes. The resulting systemic risk measures are set-valued and can be studied using methods from set-valued convex analysis. At the same time, they can easily be applied to the regulation of financial institutions in practice. We explain the conceptual framework and the definition of systemic risk measures, provide an algorithm for their computation, and illustrate their application in numerical case studies. We apply our methodology to systemic risk aggregation as described in Chen, Iyengar & Moallemi (2013) and to network models as suggested in the seminal paper of Eisenberg & Noe (2001), see also Cifuentes, Shin & Ferrucci (2005), Rogers & Veraart (2013), and Awiszus & Weber (2015). This is joint work with Zachary G. Feinstein and Birgit Rudloff.

Weiterlesen…

Dipl. Phys. Bernhard Steiert

Parameter selection for nonlinear modeling using L1 regularization

Weiterlesen…

Prof. Dr. Jörg Rahnenführer

Statistical analysis of modern sequencing data – quality control, modelling and interpretation

Weiterlesen…

« April 2017 »
April
MoDiMiDoFrSaSo
12
3456789
10111213141516
17181920212223
24252627282930
Benutzerspezifische Werkzeuge