Applied Mathematics Colloquia by Nizar Touzi: Model Risk Hedging Through Distributionally Robust Sensitivity
Speaker: i, Professor and Chair Department of Finance and Risk Engineering, New York University
Title: Model Risk Hedging Through Distributionally Robust Sensitivity
Abstract:
Distributionally robust optimization studies the worst deviation of an evaluation functional on the Wasserstein ball centered at the model of interest. We derive explicit sensitivity analysis under marginal and martingale constraints which provide first order semi-static hedge against model risk.
Applied Mathematics Colloquium