3rd International Financial Research Forum "Risk Dependencies"
Topics: - Economic Foundation of Risk Dependence: term structure of dependence, contagion models, effects of cycles, links between real and financial factors, dynamic of demand, lapse and prepayment, long run factors such as longevity, global warming or demography, effect of life cycle for retail products; - Behavioral and Informational Foundations: herding , informational avalanche, management of information, heterogeneous beliefs; - Modelling Risk Dependence : risk factor models, copulas, dependence of extreme risks, measures of multivariate risk, linear vs nonlinear dependence; - Hedging of Risk Dependence: basket derivatives, multisupport derivatives, longevity bonds; - Management and Control of Systematic Factors: defining and regulating systemic risk, pro vs countercyclical management, monitoring of a liquidity crisis, disentangling macro and idiosyncratic risks for required capital, granularity adjustment, stress testing on systematic factors, coordination of regulators.
|Event dates:||2010-03-25 – 2010-03-26|
|Deadline Call for Papers:||2009-12-01|
|Organizers:||Louis Bachelier Institute (ILB) Europlace Institute of Finance (EIF) Risk Foundation|
|Classification:||D8 - Information and Uncertainty ; G1 - General Financial Markets ; G3 - Corporate Finance and Governance|
|Event type:||Konferenzen, Tagungen; Conferences|