As the former head of financial engineering, Abaxbank, Italy, Carlo Acerbi focused mainly on derivatives pricing (equity in particular). His core research activity is in the field of risk theory. His paper Coherent Risk Measures and Liquidity Risk aims to discuss the Liquidity Risk in the framework of the axiomatic context of Coherent Risk Measures (CRMs) by introducing a new formalism for illiquid markets that generalizes ordinary portfolio theory and redefines basics concepts such as 'asset' and 'portfolio value'. Using this formalism it has been found out that CRMs prove perfectly fit to describe liquidity risk as well as other financial risks, and in such a way that make them inextricable.
Carlo Acerbi will speak on "Portfolio Value and Liquidity Risk Mapping in a Space of Portfolios".
