Friday, September 9, 2022

Friday, September 9, 2022 — 1:00 PM EDT

Title: Conditional Value-at-Risk

Speaker: Nathan Benedetto Affiliation: University of Waterloo Location: MC 6029 or contact Rian Neogi for the Zoom link

Abstract: The mean and variance of a probability distribution may not reflect what one wants from a scenario involving uncertainty.In particular, such measures fall short of expressing risk in a way suitable for financial and similar applications.

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