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Program for stream Risk management in Finance
Sunday
Monday
Tuesday
Tuesday, 10:30-12:00
TB-36: Asset Pricing and Portfolio management
Stream: Risk management in Finance
Room: Virtual Room 36
Chair(s):
Sergio Ortobelli
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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
Tuesday, 12:30-14:00
TC-02: Portfolio Selection
Stream: Risk management in Finance
Room: Bulding A, Room A5
Chair(s):
Tommaso Lando
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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
Tuesday, 14:30-16:00
TD-02: Stochastic Dominance in Finance
Stream: Risk management in Finance
Room: Bulding A, Room A5
Chair(s):
Aleš Kresta
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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
Tuesday, 18:30-20:00
TF-36: Credit Risk Management
Stream: Risk management in Finance
Room: Virtual Room 36
Chair(s):
Davide Radi, Andrea Perchiazzo
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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