Program for stream Risk management in Finance

TB-36: Asset Pricing and Portfolio management
Stream: Risk management in Finance
Room: Virtual Room 36
Chair(s): Sergio Ortobelli

• Skewed frontiers, inference, and international diversification
  Somayyeh Lotfi, Stathis Paparoditis, Stavros A. Zenios
• Extreme Risk Quantification for High-Frequency Assets Based on Their Inherent Degree of Impulsiveness
  George Tzagkarakis, Frantz Maurer
• ETS, Emissions and the Energy-Mix Problem
  Paolo Falbo, Cristian Pelizzari, Giorgio Rizzini
• Robust portfolio dominance for different investors' preferences
  Sergio Ortobelli, Tommaso Lando

TC-02: Portfolio Selection
Stream: Risk management in Finance
Room: Bulding A, Room A5
Chair(s): Tommaso Lando

• Comparison of order statistics with respect to the second stochastic order
  Idir Arab, Tommaso Lando, Paulo Oliveira
• Analysts’ target price as the prediction for future returns
  Aleš Kresta, Garegin Minasjan, Tomáš Tichý
• A revised version of the Cathcart & El-Jahel model and its application to CDS market
  Hana Dvorackova, Davide Radi, Gabriele Torri, Vu Phuong Hoang
• Modelling Stochastic Parameters of the Generalised Autoregressive Score Model as Regime Shifts
  Katleho Makatjane, Lawrence Diteboho Xaba

TD-02: Stochastic Dominance in Finance
Stream: Risk management in Finance
Room: Bulding A, Room A5
Chair(s): Aleš Kresta

• Analysis of Market and Stochastic Dominance Rules in Portfolio Process with Respect of Capital Requirement.
  David Neděla
• Efficiency analysis of market risk models with MCDM techniques
  Tomáš Tichý, Aleš Kresta, Frantisek Zapletal
• Efficiency of Credit Risk Management of Selected Commercial Banks in The Czech Republic
  Xiaoshan Feng
• Stochastic dominance with uncertain preferences
  Tommaso Lando

TF-36: Credit Risk Management
Stream: Risk management in Finance
Room: Virtual Room 36
Chair(s): Davide Radi, Andrea Perchiazzo

• A hybrid credit-risk model with stochastic recovery rate
  Davide Radi, Graziella Pacelli, Luca Vincenzo Ballestra
• Financial contagion in banking networks with community structure
  Gabriele Torri, Rosella Giacometti
• Empirical Asset Pricing: Economic Significance and Economic Model Evaluation
  Bernhard Nietert, Thomas Otto
• Implied Value-at-Risk and Model-Free Simulation
  Andrea Perchiazzo, Carole Bernard, Steven Vanduffel