Seminar "Modern Statistics in Financial Risks and Capital Risk Allocation"

Abstract: We present several related modern statistics surrounding the basic concept
of financial risks, as well as an example of risk management using
coalitional game theory:
(a) These are quantile-based risk measures, quantile (robust) regression,
copulas for risk dependence, heavy-tailed distribution
(b) We illustrate a new approach to capital risk allocation using game
theory.

Hung T. Nguyen, Dr

New Mexico State University, USA

Chiang Mai University, Thailand

Dr Hung received his Ph.D in Mathematics from University of Lille (France) in 1975. He is a member of The Institute of Mathematical Statistics and the North American Fuzzy Information Processing Society. He is also an Associate Editor of the following Journals: Soft Computing Research Journal (Springer-Verlag), International Journal of Approximate Reasoning (North Holland), International Journal of Fuzzy and Intelligent Systems (John Wiley) and International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (World Scientific) International Journal of Fuzzy Sets and Systems (North Holland).

His Research Interests:

+ Mathematical Statistics: Statistics of stochastic processes, spatial statistics, statistics of non-regular models, bootstrap re-sampling method.

+ Probability Theory: Foundations of random sets, Theory of conditionals.

+ Fuzzy Logic for Intelligent Systems: Mathematical basis for modeling of linguistic information, control of complex systems, data fusion and logics for computational intelligence.