conference
Event
description
Systemic Risk
At the heart of the asset management industry, risk based portfolio construction and factor investing will be taken up by the presentation of several academic papers recently published in a book on these themes.
This event is organized by the QMI/QuantValley Research Project and Imperial College London Business School, with the support of Unigestion, CFA Society of the UK and UBS. It will take place: LGS (Lecture Theatre Lower Ground Square), Imperial College Business School, South Kensington Campus, London SW7 2AZ, Thursday 5 November.
Agenda
FRIDAY, 11 DECEMBER 2015
9.00am – 9.25am: Registration
9.25am–9.30am: Welcome address
Martine Bronner , Dean of ESSEC Asia-Pacific
9.30am–10.30am: Keynote Speech
Chair: Jun Yu (Singapore Management University)
– Peter C. B. Phillips (Yale University): Asymptotics of the HP Smoother
10.30am – 11.00am: Coffee Break
11.00am–12.30pm: Contributed Session 1
Chair: Cheng Liu (Wuhan University)
– Serge Darolles (Université Paris – Dauphine & QMI): Contagion and Systematic Risk: an Application to the Survival of Hedge Funds
– Laura Parisi (Universita di Pavia): Modeling Systemic Risk with Correlated Stochastic Processes
– Cheng Liu (Wuhan University): A Combination of Low and High Frequency Data in Portfolio Study
12.30pm – 1.30pm: Lunch Break
1.30pm –3.30pm: Contributed Session 2
Chair: Haoxi Yang (Nankai University)
– Xingguo Luo (Zhejiang University): The Dynamic Correlations among the G7 and China: Evidence from both Realized and Implied Volatilities
– Michael Stutzer (University of Colorado): Entropy in Financial Contagion Research
– Haoxi Yang (Nankai University): Implications of Returns Predictability across Horizons for Asset Pricing Models
– Jeroen Rombouts (ESSEC Business School and CREST): Sparse Change-Point Time Series Models
3.30pm – 4.00pm: Coffee Break
4.00pm–5.30pm: Invited Session 1
Chair: Junye Li (Essec Business School)
– Christian Brownlees (Universitat Pompeu Fabra): Community Detection in Partial Correlation Networks
– Yoosoon Chang (Indiana University): A New Approach to Regime Switching
7pm – 9.00pm: Conference Dinner
Venue : The Halia at Botanic Gardens
SATURDAY, 12 DECEMBER 2015
9.30am–10.30am: Keynote Speech
Chair: Andras Fulop (Essec Business School)
– Yacine Ait-Sahalia (Princeton University): A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data
10.30am – 11.00am: Coffee Break
11.00am–12.30pm: Contributed Session 3
Chair: Yalin Gunduz (Deutche Bundesbank)
– Jun Kyung Auh (Georgetown University): The Role of Margin and Spread in Secured Lending: Evidence from the Bilateral Repo Market
– Yalin Gunduz (Deutche Bundesbank): Mitigating Counterparty Risk
– Jun Yu and Liang Jiang (Singapore Management University): New Methodology for Constructing Real Estate Price Indices Applied to the Singapore Residential Market
12.30pm – 1.30pm: Lunch Break
1.30pm –3.30pm: Contributed Session 4
Chair: Ser-Huang Poon (Manchester Business School)
– Francesco Violante (Aarhus University): Modelling dynamics of variance risk premia
– Ser-Huang Poon (Manchester Business School): News Analyses of International Stock Markets Jumps
– Andras Fulop (Essec Business School): Parameter Uncertainty, Volatility Dynamics and Variance Risk Premium Estimation
– Tao Huang (Shanghai Advanced Institute of Finance): R&D Information Quality and the Cross-Section of Stock Returns
3.30pm – 4.00pm: Coffee Break
4.00pm–5.30pm: Invited Session 2
Chair: Gaëlle Le Fol (Université Paris – Dauphine & QMI)
– Jin-Chuan Duan (National University of Singapore): Non-Gaussian Bridge Sampling with an Application
– Joon Y Park (Indiana University): Econometric Analysis of Continuous Time Asset Pricing Models
Venue
ESSEC Asia-Pacific, 2, One-North Gateway, Singapore 138502
