||Extreme events in finance tend to appear on a regular basis: the stock market crash of October 19th 1987 (a drop of 20% in asset prices on Wall Street!), the breakdown of the European Monetary System in September 1992, the turmoil in the bond market in February 1994, the internet bubble in 2000 and the recent crisis…
Extreme events are a central issue in finance and particularly in risk management, asset management and financial regulation. The performance of a financial institution over a year is often the result of a few exceptional trading days as most of the other days contribute only marginally to the bottom line. Regulators are also interested in market conditions during a crisis because they are concerned with the protection of the financial system against catastrophic events which can be a source of systemic risk. As experienced during the latest crisis, problems in financial markets and the banking system tend to transmit to the real world impacting at the end the life of all economic actors.
The conference Extreme Events in Finance will address the following topics: extreme value theory (probability and statistical estimation), applications in finance and insurance, modeling the distribution of asset price tail events (univariate and multivariate cases), modeling of volatility in financial markets, high-frequency trading and market crashes, risk management and asset management under extreme conditions. What do we know about extreme events in finance? What is their size, their frequency and their impact? How to anticipate them and to manage them? There are the questions that will be addressed during the conference.
The conference is open to both academics and practitioners (quants, risk managers, asset managers, central bankers, etc.).
The conference is organized by ESSEC Business School as part of the project Labex MME-DII (ANR11-LBX-0023-01). It also benefited from the financial support by ACE Finance & Conseil (financial investment consulting firm), La Française (asset management firm) and SMA BTP (insurance company).
Scientific committee: Geoffrey Booth (Michigan State University – USA), John-Paul Broussard (Rutgers University – USA), Hélyette Geman (Birbeck, University of London, UK & Johns Hopkins University, USA), Ivette Gomes (Universidade de Lisboa – Portugal) and Marie Kratz (ESSEC Business School & CREAR, France).
The conference will take place at Royaumont Abbey, a peaceful place to discuss extreme events – situated approximately 35km north of Paris (near Roissy Charles de Gaulle airport).
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