Program for stream Risk Management in Finance

WA-16: Portfolio Risk Management
Stream: Risk Management in Finance
Room: U264 (building U-wing)
Chair(s): Tomáš Tichý

• Application of Technical Trading Rules to Approximated Returns by Semiparametric Regression with Copula PCA Approach
  David Neděla, Noureddine Kouaissah
• The effects of ETF ownership on the risk of the underlying stocks: Evidence from international markets
  Livia Carneiro, Sergio Ortobelli
• Conditional and dynamic portfolio strategies
  Noureddine Kouaissah
• Tracking the benchmark of Lithuanian pension funds
  Audrius Kabasinskas

WB-16: Stochastic Dominance in Risk Management
Stream: Risk Management in Finance
Room: U264 (building U-wing)
Chair(s): Tommaso Lando, Idir Arab

• Second-order stochastic dominance of k-out-of-n systems, with applications
  Tommaso Lando, Idir Arab, Paulo Oliveira
• Monotonicity properties of some exceedance probabilities
  Paulo Oliveira, Idir Arab
• Properties of a new ageing class
  Idir Arab, Tommaso Lando, Paulo Oliveira
• Risk and reward-based schedule optimisation for underground mining
  Fanie Terblanche

WC-16: Modeling credit and systemic risk
Stream: Risk Management in Finance
Room: U264 (building U-wing)
Chair(s): Davide Radi

• A hazard rate model for pricing CDS spreads
  Davide Radi
• Catastrophic and systemic risk in the non-life insurance sector: A micro-structural contagion approach
  Hana Dvorackova
• Financial contagion and systemic risk in multilayer networks
  Gabriele Torri, Davide Radi, Giovanni Covi
• A SEQUENTIAL ANALYSIS OF THE ROLE OF CLEAN ENERGIES AND EUROPEAN UNION ALLOWANCES IN INVESTMENT PORTFOLIOS
  Pilar Gargallo, Luis Lample, Jesús Miguel, Manuel Salvador

WD-16: Risk and Efficiency Management in Financial Institutions
Stream: Risk Management in Finance
Room: U264 (building U-wing)
Chair(s): Aleš Kresta

• Policy Effectiveness on the Global COVID-19 Pandemic and Unemployment Outcomes: A Large Mixed Frequency Spatial Approach
  Ying Chen
• An Empirical Study of the Efficiency and Influence Factor of Selected OECD Life Insurance Markets
  Biwei Guan
• Risk quantification of interest rate changes in mortgage offerings
  Aleš Kresta
• Robust portfolio dominance for different investors’ preferences
  Tomáš Tichý