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Abdul-Lateef Haji-Ali - Sub-sampling and other considerations for efficient risk estimation in large portfolios

Dates:22 October 2019
Times:12:00 - 13:00
What is it:Seminar
Organiser:Department of Mathematics
Who is it for:University staff, External researchers, Current University students
Speaker:Dr Abdul-Lateef Haji-Ali
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  • Department of Mathematics

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  • In category "Seminar"
  • In group "(Maths) Maths seminar series"
  • In group "(Maths) Statistics, quantification of uncertainty, inverse problems and data science"
  • By Department of Mathematics

Join us for this research seminar, part of the SQUIDS (Statistics, quantification of uncertainty, inverse problems and data science) seminar series.

Abstract: Computing risk measures of a financial portfolio comprising thousands of options is a challenging problem because (a) it involves a nested expectation requiring multiple evaluation of the loss of the financial portfolio for different risk scenarios and (b) evaluating the loss of the portfolio is expensive and the cost increases with its size. In this talk, I look at applying Multilevel Monte Carlo (MLMC) with adaptive inner sampling to this problem and discuss several practical considerations. In particular, I will discuss a sub-sampling strategy that results in a method whose computational complexity does not increase with the size of the portfolio. I will also talk about several control variates that significantly improve the efficiency of MLMC in the current setting.

Speaker

Dr Abdul-Lateef Haji-Ali

Role: Assistant Professor - Actuarial Mathematics and Statistics

Organisation: Heriot-Watt University

  • https://www.hw.ac.uk/staff/uk/macs/abdul-lateef-haji-ali.htm

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