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The University of Southampton
Centre for Risk Research

Wei Wang PhD Title: 'Risk Measure and Risk Capital Allocation as a Function of Risk Attitudes' - 2017

Wei Wang's Photo

Risk capital allocation is one of the most important components of an Enterprise Risk Management process for financial reporting purposes and supporting decisions concerning business expansions, reductions, or even eliminations. However, the current financial regulations, such as Basel III or Solvency II, are designed to limit each institution’s risk in isolation and are not sufficiently focused on the dependence structure between institutions. Also, they do not considered the risk attitudes of the decision maker’s. I choose this risk-related topic to provide a new risk capital allocation scheme and to guide the development of financial regulations.

Student Biography: I obtained a BSc in Mathematics from Xi’an Jiaotong University in 2014, and an MSc in Computing Mathematics and Numerical Optimization from Xi’an Jiaotong University in 2017. I also studied in the Department of Mathematics at Michigan State University from August 2013 to December 2013. My PhD is funded by the South Coast Doctoral Training Partnership.

Supervisors: Prof Tiejun Ma and Prof Huifu Xu

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