PhD thesis defense
Related to the JEF conference themes, it is scheduled the defense of the PhD thesis by Mohammed Berkhouch titeled "Spectral risk and variability measures: representation results and applications in finance" , supervised by Pr. Ghizlane Lakhnati, at the ENSA of Agadir on December 19, 2020 at 10 a.m.
Abstract: Risk management practices are booming, thus mathematical modeling is an essential tool that must be able to support this development by providing adequate tools for estimating and quantifying different types of risk. In this thesis, we propose contributions on the theory of risk applied in finance and actuarial science.
In the first part, we are interested in reviewing the literature concerning the class of so called spectral risk measures, presenting the different measures proposed in this direction, and highlighting the theoretical and/or practical problems associated with each of these proposals. Next, we are interested in the introduction of a new spectral risk measure, called Extended Gini Shortfall, that takes into account the psychological behavior of the decision maker in terms of risk aversion. In addition, this measure takes into account the notion of variability, which is a crucial pillar in the measurement and management of risks. To do this, the theoretical development of this risk measure is established within the framework of Choquet integrals.
The second part is devoted to variability measures, also called measures of deviation. The first contribution in this direction proposes the exploitation of these measures in the quantification of model risk, which is associated with the choice of inadequate assumptions in the risk measurement process. In a second contribution, we propose an analogy between inequality in the economic sense and variability in the financial context. Thus, we suggest adopting indices of economic inequality in measuring the variability of potential losses inherent to a financial position. In addition and in the same logic, we introduce new measures of variability that take into account the relativity between large and small financial losses.
The researches carried out in this thesis are fueled with case studies and empirical simulations on real data.
P.S. This thesis includes in particular two chapters published in the international revues: Applied Mathematical Finance and Computational Economics.
PhD thesis Committee:
President: Abderrahim Driouich
Supervisor: Ghizlane Lakhnati
Examiners: Brahim El Asri & Sahar Saoud
Internal referees: Malika El Kyal & Bezza Hafidi
External referee: Ahmed El Ghini
If you are interested to attend M. Berkhouch's PhD thesis defense, please feel free to contact the coordinator of this event, Ghizlane Lakhnati (E-mail: g.lakhnati@uiz.ac.ma), and note that the number of places is limited due to the COVID-19 pandemic.