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Program for stream Decision Making Modeling and Risk Assessment in the Financial Sector
Sunday
Monday
Tuesday
Tuesday, 8:30-10:00
TA-34: Portfolio Optimization 1
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: Room 016
Chair(s):
Ralph E. Steuer
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Asset Allocation Powered by Information Flow Correlation
Jose Faias -
Extracting from the Classical for Large-Scale Semi-Continuous Variable Efficient Frontiers
Ralph E. Steuer -
Multi-Period Mean-Variance Portfolio Selection with Risk Control over Bankruptcy and Uncertain Exit Time
Wu Xianping -
Efficient Simulations for a Bernoulli Mixture Model of Portfolio Credit Risk
Ismail Basoglu, Wolfgang Hörmann, Halis Sak
Tuesday, 10:30-12:00
TB-34: Portfolio Optimization 2
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: Room 016
Chair(s):
Paulo Rotella Junior
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Generalized Interval Multi-Objective Programming Problem and its Application to Portfolio Selection
Pankaj Kumar, Geetanjali Panda, Umesh Gupta -
Clustering Stocks for Portfolio Optimization
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Developing a Credit Rating model for Supreme Banking Portfolio at ZABG Bank
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Forecast and Fuzzy Data Envelopment Analysis: A Portfolio Optimization
Paulo Rotella Junior, Edson Pamplona, Fernando Salomon
Tuesday, 14:00-15:30
TD-34: Risk Analysis and Assessment
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: Room 016
Chair(s):
Jean-Luc Prigent
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Correlation Across Latent Variables in Credit Risk Models: A Direct Inference from Default Rates
Fernando Moreira -
A Generalization of Cornish Fischer Formula to Compute VaR: Evidence on Real Estate Data
Charles-Olivier Amedee-Manesme -
On the Debt Capacity of Growth and Decay Options
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Scoring Method of Enterprise Risk Management
Tuesday, 16:00-17:30
TE-34: Risk Analysis and Management
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: Room 016
Chair(s):
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Support Vector Regression for Loss Given Default Modelling
Xiao Yao, Jonathan Crook, Galina Andreeva -
Modelling Operational Risk Using Skew t-Copulas via Bayesian Inference and Extreme Value Theory
Betty Johanna Garzon Rozo, Jonathan Crook, Fernando Moreira -
Comparative Analysis of Multinomial and Multistage Logistic Regression Approaches to Credit Card Holders Behaviour Modelling
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Executive Compensation and Excessive Risk-Taking: A Quantile Regression Analysis
Thursday
Thursday, 8:30-10:00
HA-34: Financial Modeling 1
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: Room 016
Chair(s):
Thursday, 10:30-12:00
HB-34: Financial Modeling 2
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: Room 016
Chair(s):
Luiz F. Autran M. Gomes
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ARIMA: A Model for the Time Series Forecast applied to Sao Paulo Stock Exchange Index
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The Influence of Crude Oil Prices in Emerging and Developed Capital Markets
André Salles -
Application of Real Options Fuzzy Pay-Off Method: An Ex-post Multi-criteria Analysis
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Degree of Relationship Between Indicators of Capital Market, the Financial Indicators and the Return of Shares in Brazilian Companies – A Multi-criteria Analysis
Thursday, 14:00-15:30
HD-34: Financial Modeling 3
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: Room 016
Chair(s):
Marie-Louise Arlt
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Are there Gender Differences in Consumer Credit Risk?
Galina Andreeva, Anna Matuszyk -
Estimate Aggregated Default: An Impirical Investigation on Brazilian Loans using Cointegration Vectors
Angela De Moraes, Galina Andreeva, Jonathan Crook -
Modelling of Yearly Inflation Rate
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Standard & Poor’s Framework for Rating Banks