History of Financial Modeling – Christian Walter – Collège d’études mondiales de la Fondation Maison des sciences de l’homme
The Role of Bootstrap in Statistics of Univariate Extremes – Ivette Gomes – Universidade de Lisboa
Extreme values statistics for Markov chains with applications to Finance and Insurance – Patrice Bertail, Stéphane Clémençon, Charles Tillier – MODAL’X, Université Paris X
A Log Probability Weighted Moment Estimator of Extreme Quantiles – Frederico Caeiro, Dora Prata Gomes – Universidade Nova de Lisboa, FCT and CMA
Asymmetries and portfolio choice – 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
Portfolio management with tail dependence using dynamic symmetrized Joe-Clayton copula – Daniel Reed Bergmann, José Roberto Ferreira Savoia and Eduardo Contani – Faculdade de Economia, Administração e Contabilidade – University of São Paulo
“Slow-burn” spillover and “Fast and furious” contagion: a study of international stock markets – Kuan Xu, Lei Wu, Qingbin Meng – School of Economics and Management – Beihang University
Multi-scale representation of high frequency market liquidity – Anton Golub – Olsen, G. Chliamovitch – University of Genova, A. Dupuis – Olsen and University of Genova and B. Chopard – University of Genova
Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 option market – Michael Neumann, George Kapetanios and George Skiadopoulos – School of Economics and Finance, Queen Mary, University of London
Ambiguity attitudes, volatility and option pricing: evidence from US equity and index options – Tarik Driouchi – King’s College London, Lenos Trigeorgis – University of Cyprus and Ha Yan Soc – King’s College London
Volatility of volatility and tail risk premiums – Yang-Ho Park – Federal Reserve Board
Asymptotically distribution-free goodness of fit testing for tail copulas – 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
Characterizing asymptotic dependence via conditional Kendall’s tau – Alexandru V. Asimit, Russell Gerrard – Cass Business School, Yanxi Hou – Georgia Institute of Technology and Liang Peng – Georgia State University
Statistics of heteroskedastic extremes – 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
Extreme value theory and credit spreads – Wesley Phoa – Capital Group
Dynamic dependence and diversifcation in corporate credit – Hugues Langlois, Peter Christoffersen, Kris Jacobs, and Xisong Jin – HEC
Stress testing of credit portfolios in light- and heavy-tailed models – Natalie Packham – Frankfurt School of Finance & Management and Michael Kalkbrener – Deutsche Bank AG
Assessing stock price risk in G7 and West european markets using extreme measures – Lorne N. Switzer and Zhigang Yang – Concordia University
The propagation of shocks across international equity markets: a microstructure perspective – Dion Bongaerts, Dominik Rösch, Mathijs van Dijk, and Darya Yuferova – Erasmus University, Richard Roll – California Institute of Technology
Tail relation between return and volume in the US stock market: an analysis based on extreme value theory – François Longin and Giovanni Pagliardi – ESSEC Business School
Commodity Market Risk 1980 – 2012: An Extreme Value Theory Approach – Torun Sæther Fretheim
Time-varying extremal dependence in leading European stock markets – Daniela A. Castro, Miguel de Carvalho – Pontificia Universidad Catholica de Chile and Jennifer L. Wadsworth – University of Cambridge
Asset pricing and volatility modeling: the case of Indonesia stock market – Aldrin Herwany and Erie Febrian – Universitas Padjadjaran, Mohd. Azmi Omar, Ahamed Kameel B. Mydin Meera – International Islamic University Malaysia
Extreme Downside Liquidity Risk – Michael Ungeheuer and Stefan Ruenzi – University of Mannheim, Florian Weigert – University of St.Gallen
The Bank Capital Regulation (BCR) Model – Hye-Jin Cho – Sorbonne University
Market structure, couterparty risk and systematic risk – Dale W.R. Rosenthal – University of Illinois at Chicago
Crash risk in currency returns – Irina Zviadadze – Stockholm School of Economics, Mikhail Chernov – UCLA Anderson and CEPR and Jeremy Graveline – Minnesota Carlson
The tail risk premia of the carry trades – Philippe Dupuy – Grenoble Ecole de Management
Macroeconomic tail risk and financial intermediation stress – Christophe M. Boucher – Université de Lorraine, Catherine Lubochinsky – Université Paris-2, Bertrand B. Maillet – Université La Reunion et Orleans
Protecting Assets Under Non-Parametric Market Conditions – Charles Pahud – University of Liège
Two tales of liquidity stress – Jacques Ninet – La Française
Estimation methods for Value at Risk – Saralees Nadarajah – University of Manchester
The Price of Being a SIFI – Michel Dacorogna – SCOR Scientific Advisor
Extreme Value Problems in Finance – John Paul Broussard – Ph.D., CFA, FRM, PRM
Portfolio Insurance: the Extreme Value Approach to the CPPI Method – Jean-Luc Prigent
Selection bias in naturalistic driving studies – Holger Rootzén – Chalmers University of Technology
Statistics for Tail Processes of Markov Chains – Michal Warchol – Université catholique de Louvain, Belgium
Outlier detection algorithms for least squares time series regression – Bent Nielsen – University of Oxford
Estimation Methods – Jan Beirlant – Professor at KU Leuven, Belgium
Extreme Value Theory: an introductory overview – Isabel Fraga Alves – University of Lisbon
The Downside Risk of Heavy Tails Induces Low Diversification – Casper G. de Vries
Managing Operational Risk in the Banking Business – Maxime Laot