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Second Measuring Risk Conference

The conference will take place at the Bendheim Cemter, Room 103.

Conference Organizer: Yacine Ait-Sahalia.


September 21, 2012, Bendheim Center for Finance

 
   
12:00 – 1:30
Lunch
   
Session Chair:
Mark Watson
1:30 – 2:00
Christian Gouriéroux, “Bilateral Exposures and Systemic Solvency Risk” (with J.C. Heam and A. Monfort)
2:00 - 2:30
Monica Billio, “Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks”
2:30 - 3:00
Mardi Dungey, “Ranking Systemically Important Institutions” (with Matteo Luciani and David Veredas)
   
3:00 - 3:30
Coffee Break
 
 
Session Chair:
Jianqing Fan
3:30 - 4:00
Andrew Lo, "Transparency versus Privacy in Systemic Risk Management"
4:00 - 4:30
Eckhard Platen, “Measuring General Market Risk”
4:30 - 5:00
René Garcia, “The Long and the Short of the Risk”
   
6:00
Dinner (by invitation)
   

September 22, 2012, Bendheim Center for Finance

   
8:30 – 9:30
Breakfast
   
Session Chair:
Atif Mian
9:00 – 9:30
Jia Li, “Volatility Occupation Times”
9:30 – 10:00
Marcel Rindisbacher, “A Structural Model of Dynamic Market Timing” (with Jerome Detemple)
10:00 – 10:30
Song Xi Chen, “On Implied Volatility for Options—Some Reasons to Smile and More to Correct”
   
10:30 – 11:00
Coffee Break
 
 
Session Chair:
Jakub Jurek
11:00 – 11:30
Victor Chernozhukov, “An Extended Pareto Law for Operational Risk Losses”
11:30 – 12:00
Jialin Yu, “The Bigger They Come, The Harder They Fall”
 
 
12:00 – 1:30
Lunch
   
Session Chair:
Ronnie Sircar
1:30 - 2:00
Marc Hoffmann, “Price Modeling Across Time Scales with Mutually Exciting Point Processes: Microstructure Noise and Price Impact”
2:00 - 2:30
Laurent Calvet, “Extreme Risk and Fractal Regularity in Finance” (with A. Fisher)
2:30 - 3:00
Dacheng Xiu, “A Tale of Two Option Markets: State-Price Densities Implied from S&P 500 and VIX Option Prices” (with Zhaogang Song)
   
3:00 – 3:30
Coffee Break
 
 
Session Chair:
Valentin Haddad
3:30 - 4:00
Peter Carr, “Risk, Return and Ross Recovery”
4:00 - 4:30
Michael Imerman, “An Econometric Analysis of the Volatility Risk Premium”
   
6:00
Dinner (by invitation)