Scenario-Based Risk Evaluation

Assoc Prof. Ruodu Wang

University of Waterloo

About the Speaker

Dr. Ruodu Wang is University Research Chair and Associate Professor of Actuarial Science at the University of Waterloo in Canada. He received his PhD in Mathematics (2012) from the Georgia Institute of Technology, after completing his Bachelor (2006) and Master's (2009) degrees at Peking University. He holds editorial positions of leading academic journals in Actuarial Science, including Co-Editor of the European Actuarial Journal (since Aug 2016), and Co-Editor of ASTIN Bulletin - The Journal of the International Actuarial Association (since Jan 2018). He is an affiliated member of RiskLab at ETH Zurich. His scientific contributions have appeared in leading academic journals in a wide variety of fields, including The Annals of Applied Probability, The Annals of Statistics, Operations Research, Statistical Science, Mathematics of Operations Research, Mathematical Finance, and Finance and Stochastics. He received the Discovery Accelerator Supplement Award from the Natural Sciences and Engineering Research Council of Canada in 2018.

Research Seminar Abstract

With the aim to bridge the gap between a few practical considerations in risk evaluation, we propose a general unified risk measure framework to take into account three relevant issues: statistical and simulation tractability, model uncertainty and scenario sensitivity, and robustness. Our approach is motivated and demonstrated by the current internal model approach used for capital charges of market risk imposed by the Basel Committee on Banking Supervision. Along the way of our study, we establish new mathematical tools for new risk measures, axiomatic characterizations, non-parametric inference, and compatibility of scenarios. This talk resembles some unfinalized research projects with Damir Filipovic, Jie Shen, Yi Shen, Bin Wang and Johanna Ziegel.