Program 2016

Venue : Université Paris - Dauphine, Place du Maréchal de Lattre de Tassigny, Paris.

  • From 9:00 a.m. to 7:00 p.m., Room A709, building A
  • From 7:00 p.m. to 8:30 p.m., Amphitéatre 8 - Edgard Faure, Main building

March 17, 2016

9:00 am Registration
9:20 am Opening address by G. LE FOL (Dauphine and Scientific Director of QMI)
9:30– 11:00 am Invited Session 1
- "Structural Dynamic Analysis of Systematic Risk", L. Clavet, V. Czellar, and C. Gouriéroux (Univ. Toronto, CREST & QMI)
Discussant: Tba
- "Strategic Interaction between Hedge Funds and Prime Brokers", N. Gerasimova, and E. Jondeau (HEC Lausanne)
Discussant: O. Toutain (Banque de France) 
11:00 – 11:30 am Coffee break
11:30 – 12:30 pm Keynote session 1
- "Identifying Contagion", M. Dungey (Univ. Of Tasmania) and E. Renault
12:30 – 2:00 pm Lunch break
2 : 00 – 3 : 30 pm Invited Session 2
- "Transparency Regime Initiatives and Liquidity in the CDS Market", A. Fulop (ESSEC Business School) and L. Lescourret
Discussant: J. Dudek (Lutetia Capital and QMI)
- "Does Central Clearing affect Price Stability? Evidence from the Nordic Equity Markets", A. Menkveld, E. Pagnotta , and M. Zoican (Univ. Paris - Dauphine and QMI)
Discussant: G. Mero (Univ. Cergy-Pontoise and QMI)
3:30 – 4:00pm Coffee break
4:00 – 5:00 pm Invited Session 3
- "Portfolio rho-presentativity", T. Froidure (TOBAM)
- "Returns drives for CTAs : Is volatility beneficial for CTAs? ", R. Molinero (Molinero Capital)
5 : 00 – 6:00 pm Keynote Session 2
- "Close-Out Risk Evaluation: Integrating liquidity and market risk", R. Cont (Imperial College of London)
7 : 00 – 8 : 30 pm

Panel Session, co-organized by the Master 203 - Financial Markets, (in French) “Liquidity and Funding risks", with the participation of :
- E. Brard, (Global Head of Fixed Income at Amundi)
- P. Guillot (Executive Director of the Markets Directorate at AMF)
- S. Giordano (Chairman of AMAFI)

Register to the Panel Session

8 : 30 pm Cocktail

 

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