Conference program

Monday 15 December 2014

  • 8:45 – 9:00: Registration
  • 9:00 – 10:30: Plenary session
François Longin (ESSEC Business School)
    Intoduction to the conference
Christian Walter (Fondation Maison des Sciences de l’Homme)
    History of financial modeling
Maria Isabel Fraga Alves (University of Lisbon)
    Extreme value theory: an introductory overview
John-Paul Broussard (Rutgers University)
    Extreme value problems in finance
  • 10:30 – 11:00: Coffee break
  • 11:00 – 12:30: Parallel sessions
Session A – Estimation of univariate extremes
Chair: Ivette Gomes (Univesity of Lisbon)
Patrice Bertail, Stéphane Clémençon and Charles Tillier (MODAL’X , Université Paris X)
    Extreme values statistics for Markov chains with applications to Finance and Insurance
Holger Drees (University of Hambourg), Johan Segers and Michal Warchol (Université catholique de Louvain)
    Statistics for tail processes of Markov chains
Frederico Caeiro and Dora Prata Gomes (Universidade Nova de Lisboa, FCT and CMA)
    A log probability weighted moment estimator of extreme quantiles
Session B – Portfolio management
Chair: John Paul Broussard (Rutgers University)
Adam Farago (University of Gothenburg), Magnus Dahlquist (Stockholm School of Economics and Swedish House of Finance) and Romeo Tedongap (Stockholm School of Economics and Swedish House of Finance)
    Asymmetries and portfolio choice
Daniel Reed Bergmann, José Roberto Ferreira Savoia and Eduardo Contani (Faculdade de Economia, Administração e Contabilidade – University of São Paulo)
    Portfolio management with tail dependence using dynamic symmetrized Joe-Clayton copula
Kuan Xu, Lei Wu, Qingbin Meng (School of Economics and Management – Beihang University)
    “Slow-burn” spillover and “Fast and furious” contagion: a study of international stock markets
  • 12:30 – 14:00: Lunch
  • 15:00 – 16:30: Parallel sessions
Session A – High and low frequency & Portofolio management
Chair: Alexandre Kozlov (SMA)
Anton Golub – Olsen, G. Chliamovitch – University of Genova, A. Dupuis (Olsen and University of Genova) and B. Chopard (University of Genova)
    Multi-scale representation of high frequency market liquidity
Christophe M. Boucher (Université de Lorraine), Catherine Lubochinsky (Université Paris-2), Bertrand B. Maillet (Université La Réunion et Orléans)
    Macroeconomic tail risk and financial intermediation stress
Jean-Luc Prigent (University of Cergy-Pontoise)
    Portfolio insurance: the extreme value approach to the CPPI method
Session B – Learning from option markets
Chair: Natalie Packham (Frankfurt School of Finance and Management)
Michael Neumann, George Kapetanios and George Skiadopoulos (School of Economics and Finance, Queen Mary, University of London)
    Jumps in option prices and their determinants: real-time evidence from the E-mini S&P 500 option market
Tarik Driouchi (King’s College London, University of London), Lenos Trigeorgis (University of Cyprus) and Ha Yan So (King’s College London, University of London)
    Ambiguity attitudes, volatility and option pricing: evidence from US equity and index options
Yang-Ho Park (Federal Reserve Board)
    Volatility of volatility and tail risk premiums
  • 16:30 – 17:00: Coffee break
  • 17:00 – 18:00: Group discussions
Chaos – Charles Pahud de Mortanges (Management School – University of Liège)
Choice – Ivette Gomes (Univesity of Lisbon) & Frederico Caeiro (CMA & FCT – Universidade Nova de Lisboa)
Human – Maxime Laot (European Central Bank)
Jumps – Jacques Ninet (La Française)

Tuesday 16 December 2014

  • 9:00 – 10:30: Plenary session
Chair : Marie Kratz (ESSEC Business School & CREAR)
Jan Beirlant (KU Leuven)
    Estimation methods for the extreme value index
Ivette Gomes (Univesity of Lisbon)
    The role of bootstrap in statistics of univariate extremes
Casper de Vries (Erasmus University Rotterdam)
    Portfolio management, diversification and tail risk
  • 10:30 – 11:00: Coffee break
  • 11:00 – 12:30: Parallel sessions
Session A – Estimation of multivariate extremes and heteroskedasticity
Chair : Casper de Vries (Erasmus University Rotterdam)
S.U. Can (University of Amsterdam), J.H.J. Einmahl (Tilburg University), E.V. Khmaladze (Victoria University of Wellington), R.J.A. Laeven (University of Amsterdam)
    Asymptotically distribution-free goodness of fit testing for tail copulas
Alexandru V. Asimit, Russell Gerrard (Cass Business School), Yanxi Hou (Georgia Institute of Technology) and Liang Peng (Georgia State University)
    Characterizing asymptotic dependence via conditional Kendall’s tau
John H.J. Einmahl (Tilburg University), Laurens de Haan (Erasmus University Rotterdam and University of Lisbon) and Chen Zhou (De Nederlandsche Bank and Erasmus University Rotterdam)
    Statistics of heteroskedastic extremes
Session B – Credit risk
Chair: Stefan Straetmans (Maastricht University)
Wesley Phoa (Capital Group)
    Extreme value theory and credit spreads
Hugues Langlois, Peter Christoffersen, Kris Jacobs, and Xisong Jin (HEC)
    Dynamic dependence and diversifcation in corporate credit
Natalie Packham (Frankfurt School of Finance and Management) and Michael Kalkbrener (Deutsche Bank AG)
    Stress testing of credit portfolios in light- and heavy-tailed models
Session C – Extremes in financial markets
Chair: Irina Zviadadze (Stockholm School of Economics)
Lorne N. Switzer and Zhigang Yang (Concordia University)
    Assessing stock price risk in G7 and West european markets using extreme measures
Dion Bongaerts, Dominik Rösch, Mathijs van Dijk, and Darya Yuferova (Erasmus University) and Richard Roll (California Institute of Technology)
    The propagation of shocks across international equity markets: a microstructure perspective
François Longin and Giovanni Pagliardi (ESSEC Business School)
    Tail relation between return and volume in the US stock market: an analysis based on extreme value theory
Torun Sæther Fretheim
    Commodity market risk 1980 – 2012: an extreme value theory approach
  • 12:30 – 14:00: Lunch
  • 14:00 – 14:15: Group picture
  • 14:15 – 16:00: Parallel sessions
Session A – Extremes in financial markets
Chair: Jean-Luc Prigent (University of Cergy-Pontoise)
Daniela A. Castro, Miguel de Carvalho (Pontificia Universidad Catholica de Chile) and Jennifer L. Wadsworth (University of Cambridge)
    Time-varying extremal dependence in leading European stock markets
Aldrin Herwany and Erie Febrian (Universitas Padjadjaran), Mohd. Azmi Omar, Ahamed Kameel B. Mydin Meera (International Islamic University Malaysia)
    Asset pricing and volatility modeling: the case of Indonesia stock market
Michael Ungeheuer, Stefan Ruenzi (University of Mannheim) and Florian Weigert (University of St.Gallen)
    Extreme downside liquidity risk
Session B – Regulation
Chair : Patricia Charlety (ESSEC Business School)
Hye-Jin Cho (Sorbonne University)
    The bank capital regulation (BCR) model
Dale W.R. Rosenthal (University of Illinois at Chicago)
    Market structure, couterparty risk and systematic risk
Session C – Currency and equity tail risks
Chair: Jacques Ninet (La Française)
Irina Zviadadze (Stockholm School of Economics), Mikhail Chernov (UCLA Anderson and CEPR) and Jeremy Graveline (Minnesota Carlson)
    Crash risk in currency returns
Philippe Dupuy (Grenoble Ecole de Management)
    The tail risk premia of the carry trades
Serguei Novak ()
    Measures of financial risk
  • 16:00 – 16:30: Coffee break
  • 16:30 – 17:45: Plenary session
Chair : Radu Vranceanu (ESSEC Business School)
Holger Rootzen (Chalmers University of Technology)
    Extreme value methods and selection bias in naturalistic driving studies
Bent Nielsen (University of Oxford)
    Outlier detection algorithms for least squares time series regression

Wednesday 17 December 2014

  • 9:00 – 10:30: Plenary session
Chair : Maria Isabel Fraga Alves (University of Lisbon)
Marie Kratz (ESSEC Business School and CREAR)
    On risk aggregation and diversification benefits
Stefan Straetmans and Thanh Thi Huyen Dinha (Maastricht University)
    Comparing tail risk and systemic risk profiles for different types of US financial insitutions
Michel Dacorogna (Scor)
    The price of being a systemically important financial institution
  • 10:30 – 11:00: Coffee break
  • 11:00 – 12:00: Group discussions
Future – Holger Rootzén (Chalmers University of Technology) and Ross Leadbetter (University of North Carolina – Chapel Hill)
Problems – John-Paul Broussard (Rutgers University) and Natalie Packham (Frankfurt School of Finance & Management)
Time – Michel Dacorogna (Scor) and Laurent Bibard (ESSEC)
  • 12:00 – 13:30: Lunch
Extreme events in finance Extreme events in finance


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