[SFdS] Information du groupe BFA
WG Risk - 28 October 2022 - Prof. Matthias SCHERER

Dear All,

We have the pleasure thanks to the support of the ESSEC IDS dpt, Institut des Actuaires, LabEx MME-DII, the group BFA (SFdS), to invite you to the seminar by:

Prof. Matthias SCHERER
Technical University Munich, Germany

Date: Friday, October 28 at 12:30 pm (Paris) and 6:30 pm (Singapore)

Dual format: ESSEC Paris La Défense (CNIT), Room 237, and via Zoom, please click here
(Password/Code : WGRisk)

« A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependance »

A vector of bankruptcy times with Marshall-Olkin multivariate exponential distribution implies a simple, yet reasonable, continuous-time dynamic model for dependent credit-risky assets with an appealing trade-off between tractability and realism. Within this framework the maximization of expected power utility of terminal wealth requires the maximization of a concave function on a polygon, a numerical problem whose complexity grows exponentially in the number of considered assets. We demonstrate how to solve this seemingly impractical numerical problem reliably and efficiently in order to prepare the model for practical use cases. To this end, we resort to a specifically designed factor construction for the Marshall-Olkin distribution that separates dependence parameters from idiosyncratic parameters, and we develop a tailor-made stochastic gradient descent algorithm with random constraint projections for the model's numerical implementation. This is a joint work with J-F. Mai and A. Blagoeva.

Kind regards,
Jeremy Heng, Olga Klopp and Marie Kratz
and Riada Djebbar (Singapore Actuarial Society - ERM)

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