光华讲坛

主题：Portfolio management and risk neutral pricing in the context of credit risk 信用风险背景下的投资组合管理和风险中性定价

主讲人： 剑桥大学Dr. Matthias Dörrzapf副教授

主持人： 会计学院 王志 副教授

时间：北京时间2022年7月7日（周四）19：00-20：30

直播平台及会议ID：Zoom会议号 874 2964 9773

主办单位：会计学院 国际交流与合作处 科研处

主讲人简介：

Dr Matthias Dörrzapf is the Director of Studies in Mathematics and Director of Scholarships & International Programmes, St John’s College, University of Cambridge. Dr Dörrzapf is interested in algebraic aspects of quantum field theories, in particular representations of symmetry algebras in conformal field theories and string theories. He has worked on the representation theory of super conformal algebras which plays a central role in string theory and has developed methods to classify super conformal representations. Dr Dörrzapf is also interested in probability theory and has worked on risk management models in financial mathematics in particular with respect to credit risk. He has done work for Deutsche Bank in Frankfurt and New York in collaboration with KMV corporation, San Francisco.

马蒂亚斯·多尔扎普夫博士是剑桥大学圣约翰学院数学学监及国际项目及奖学金处主任。多尔扎普夫博士对量子场论的代数方面很感兴趣，特别是共形场论和弦论中对称代数的表示。他研究了超共形代数的表示理论，该理论在弦理论中发挥着核心作用，并开发了对超共形表示进行分类的方法。多尔扎普夫博士也对概率论感兴趣，并致力于研究金融数学中的风险管理模型，特别是与信用风险相关的模型。他曾与旧金山KMV公司合作，并在法兰克福和纽约为德意志银行工作。

内容简介：

This lecture will focus on the relationship between the expected rate of return of assets and risk assets in the securities market and the formation of equilibrium prices. It will introduce how to form a theoretical model of several interactive and interdependent risk factors through the method of system theory, and quantitatively calculate the optimal risk management method by using mathematical tools such as probability theory and mathematical statistics. In essence, risk management is a functional relationship between the future income and risk brought by capital assets. It is widely used in the field of investment decision-making and corporate finance. Good risk management helps to reduce the probability of wrong decisions, avoid possible losses, and relatively improve the added value of the enterprise itself.

本讲座将针对证券市场中资产的预期收益率与风险资产之间的关系以及均衡价格的形成，介绍如何通过系统论方法将若干相互作用、相互依赖的风险因素组成一个理论模型，运用概率论和数理统计等数学工具定量计算出最优的风险管理方法。风险管理本质上是资本资产所带来的未来收益与风险的一种函数关系，被广泛应用于投资决策和公司理财领域。良好的风险管理有助于降低决策错误几率、避免损失可能、相对提高企业本身附加价值。