Edward Melnik

NYU Stern School of Business

The talk introduces fundamental issues of risk analysis. The first topic will focus on preliminary background information that will include axioms of risk, decision trees, and strategies for analyzing risk. The second topic will introduce models for studying risk such as extreme value theory, value at risk, survival models, and loss distributions. Extensions of these models to multivariate distributions and measures of relationships with copulas will be the third and concluding topic in the talk.