Program for stream Risk management in finance

MA-51: Risk management in finance
Stream: Risk management in finance
Room: M5 (building: 101)
Chair(s): David Neděla

• Firm Zombification & Corporate Policy: Empirical examination of Indian Firms
  S YESASWI DORA, AJAY KUMAR MISHRA
• Robust Asset Liquidation Strategies in Financial Systems
  Hongyi Jiang, Dohyun Ahn
• Portfolio selection with two risk sources and inverse optimization
  Hanna Zhurba, Sergio Ortobelli Lozza
• Return and volatility spillover among the global private equity markets
  Antonio Díaz, Carlos Esparcia Sanchís, Lars Tegtmeier

MB-51: Market risk in a volatile world
Stream: Risk management in finance
Room: M5 (building: 101)
Chair(s): Aleš Kresta

• Sparse Vine copula-based portfolio optimization
  Illia Kovalenko, Thomas Conlon, John Cotter
• Comparison of risk-minimization portfolios with cardinality constraints and period lengths
  Aleš Kresta, Qian Gao
• Competition in Liquidity Provision: Analysis of High Frequency Market Making and Policy Implications
  Katsumasa Nishide, Takaki Hayashi

MC-51: Quantitative methods for systemic and climate risk
Stream: Risk management in finance
Room: M5 (building: 101)
Chair(s): Gabriele Torri

• On the measure of ambiguity on financial markets
  hachmi ben ameur, Zied Ftiti, Wael Louhichi, Jean-Luc Prigent
• Pricing synthetic CDOs under infectious defaults with immunization
  Gabriele Torri, Gianluca Farina, Rosella Giacometti
• ESG enhanced tracking portfolio with quantile regression
  Marco Bonomelli, Rosella Giacometti
• Surface Measures of Tail Dependence and Climate Change
  Davide Lauria

MD-51: Portfolio risk management
Stream: Risk management in finance
Room: M5 (building: 101)
Chair(s): David Neděla

• Decision-making of Liquor Retailer based on Modified Portfolio Theory
  Xiaotong Sang
• Based on the applicability of the KMV model in Chinese commercial banks
  Shikai Gao
• Mean–trend risk portfolio selection with non-dominated sorting asset preselection
  David Neděla, Sergio Ortobelli Lozza, Tomáš Tichý
• Dynamic Investment Model for Pension Funds: Maximizing Mean-Risk Performance with SD constraints
  Audrius Kabasinskas, Milos Kopa, Kristina Sutiene, Sebastiano Vitali

TA-51: Corporate finance risk management
Stream: Risk management in finance
Room: M5 (building: 101)
Chair(s): Aleš Kresta

• Two-stage DEA model to evaluate corporate efficiency in sustainability
  Kristina Sutiene, Clara Vaz, Raminta Vaitiekuniene
• Exploring aspects of risk and sustainability in portfolio composition and Assets and Liabilities Management (ALM) for a Brazilian fintech
  Fernando Luiz Pereira de Oliveira, Carolina Vieira, André Robine, Gustavo Souza
• Reputation risk mitigation in investment strategies
  Alexandra Moura, Carlos Oliveira