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
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12:00 – 1:30
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Lunch | |
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Session Chair:
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Mark Watson
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1:30 – 2:00
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Christian Gouriéroux, “Bilateral Exposures and Systemic Solvency Risk” (with J.C. Heam and A. Monfort)
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2:00 - 2:30
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Monica Billio, “Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks”
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2:30 - 3:00
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Mardi Dungey, “Ranking Systemically Important Institutions” (with Matteo Luciani and David Veredas)
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3:00 - 3:30
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Coffee Break | |
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Session Chair:
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Jianqing Fan
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3:30 - 4:00
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Andrew Lo, "Transparency versus Privacy in Systemic Risk Management"
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4:00 - 4:30
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Eckhard Platen, “Measuring General Market Risk”
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4:30 - 5:00
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René Garcia, “The Long and the Short of the Risk”
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6:00
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Dinner (by invitation) | |
September 22, 2012, Bendheim Center for Finance
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8:30 – 9:30
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Breakfast | |
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Session Chair:
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Atif Mian
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9:00 – 9:30
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Jia Li, “Volatility Occupation Times”
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9:30 – 10:00
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Marcel Rindisbacher, “A Structural Model of Dynamic Market Timing” (with Jerome Detemple)
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10:00 – 10:30
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Song Xi Chen, “On Implied Volatility for Options—Some Reasons to Smile and More to Correct”
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10:30 – 11:00
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Coffee Break | |
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Session Chair:
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Jakub Jurek
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11:00 – 11:30
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Victor Chernozhukov, “An Extended Pareto Law for Operational Risk Losses”
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11:30 – 12:00
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Jialin Yu, “The Bigger They Come, The Harder They Fall”
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12:00 – 1:30
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Lunch | |
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Session Chair:
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Ronnie Sircar
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1:30 - 2:00
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Marc Hoffmann, “Price Modeling Across Time Scales with Mutually Exciting Point Processes: Microstructure Noise and Price Impact”
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2:00 - 2:30
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Laurent Calvet, “Extreme Risk and Fractal Regularity in Finance” (with A. Fisher)
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2:30 - 3:00
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Dacheng Xiu, “A Tale of Two Option Markets: State-Price Densities Implied from S&P 500 and VIX Option Prices” (with Zhaogang Song)
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3:00 – 3:30
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Coffee Break | |
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Session Chair:
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Valentin Haddad
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3:30 - 4:00
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Peter Carr, “Risk, Return and Ross Recovery”
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4:00 - 4:30
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Michael Imerman, “An Econometric Analysis of the Volatility Risk Premium”
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6:00
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Dinner (by invitation) | |