Extreme Dependence in Financial Markets
Speakers
Abstract
| 08.45 | Registration and Welcome |
| 09.10 | Opening |
| 09.15 | Clearing House, Margin Requirements, and Systemic Risk |
| Christophe Perignon (HEC Paris) | |
| 09.55 | Risk Measures of Autocorrelated Hedge Fund |
| Returns | |
| Casper de Vries (Erasmus University Rotterdam) |
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| 10.35 |
Break |
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11.05 |
Systematic risk under extremely adverse market conditions |
| Chen Zhou (De Nederlandsche Bank) | |
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| 11.45 |
KEYNOTE I: Modelling Dependence in High Dimensions with Factor Copulas |
| Andrew Patton (Duke University) |
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| 12.45 |
Lunch |
| 14.00 |
Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection |
| Denitsa Stefanova (VU University Amsterdam) | |
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| 14.40 |
KEYNOTE II: Asymmetry in Tail Dependence of Equity Portfolios |
| Eric Jondeau (HEC Lausanne) | |
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| 15.40 |
Break |
| 16.00 |
Sign and Quantiles of the Realized Stock-Bond Correlation |
| Charlotte Christiansen (Aarhus University) | |
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| 16.40 | Systemic Risk Diagnostics |
| Bernd Schwaab (European Central Bank) | |
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| 17.20 |
Drinks |
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Contact information: |
| Dr. Eric Kole |
