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\centerline{\bf STANFORD UNIVERSITY}
\centerline{\bf DEPARTMENT OF STATISTICS}
\centerline{\big JOINT PROBABILITY / STATISTICS SEMINAR}
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\centerline{4:15 p.m., Wednesday, January 21, 2003}
\centerline{Sequoia Hall Room 200}
\centerline{(Cookies at 3:45 in 1st Floor Lounge)}

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\centerline{\sl Amir Dembo (Math. \& Stat.) \& Darrell Duffie (GSB)}
\centerline{\sl Stanford University}
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\centerline{\bf Large Portfolio Losses}
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We use large-deviations methods to analyse
the tail risk of losses on large insurance
or bank portfolios. Among other results,
we calculate the approximate contribution
to large tail losses of each type of position,
as an input to portfolio structuring decisions.
We provide conditions under which a portfolio
lifetime risk measure can be reduced to a measure
similar to value at risk.

This talk is based on a joint work with Jean-Dominique Deuschel.

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