Risk measures are set to quantify in terms of assets/money the amount of financial risk associated to a certain financial position. The purposes for such evaluations are many and interesting both from the investors perspectives and regulators. As example, these evaluations are important to quantify the amount of reserve that financial institutions, such as banks or insurance companies, have to set aside as hedging guarantee. In the recent years large attention is given towards convex and coherent risk measures.

A series of 10 lectures will be held by Prof. Giacomo Scandolo, Department of Mathematics, University of Verona (Italy), visiting scholar at our department.

The course is suggested to Master and PhD students in the area of Stochastic Analysis, Insurance, and Risk as well as practitioners in the area.


Tuesday March 4, 2014: Nils Henrik Abel's hus, Seminarrom B63 at 9:15-12:00 and 13:15-14:00

Wednesday March 5, 2014: Nils Henrik Abel's hus, Seminarrom B1063 at 9:15-12:00 and 13:15-16:00


Registration to the course is free, but for organizational purposes, please send an email to:

Program for the lectures

1. The problem of risk quantification

2. Value-at-Risk, Expected Shortfall and other risk measures

3. Risk estimation with a single risk factor: univariate distributions

of risk factors, normal and fat-tailed distributions, (univariate) delta

and delta-gamma methods

4. Risk estimation with multiple risk factors: multivariate

distributions of risk factors, (multivariate) normal, spherical and

elliptical distributions, (multivariate) delta method

5. Coherent risk measures: definition, examples and dual representation

6. Portfolio optimization with risk measures


Giulia Di Nunno
Published Feb. 25, 2014 2:46 PM