Program for stream Decision making modeling and risk assessment in the financial sector

TE-01: Risk analysis and management
Stream: Decision making modeling and risk assessment in the financial sector
Room: 307B
Chair(s): Gerhard-Wilhelm Weber, Katsunori Ano, James Liou

• Longevity risk management for annuities by longevity derivatives
  Tadashi Uratani
• Hedging rainfall risk with derivatives in hospitality industry
  Cristian Pelizzari, Simona Franzoni
• A note on real estate pricing models with exogenous variables
  Hiroshi Ishijima, Akira Maeda
• A novel MCDM based FMEA model for risk analysis
  James Liou, Huai-Wei Lo

WA-01: Financial modeling 1
Stream: Decision making modeling and risk assessment in the financial sector
Room: 307B
Chair(s): Efsun Kürüm, Sebastien Lannez

• FICO optimization: A use case about optimizing credit line increase
  Sebastien Lannez, Livio Bertacco, Zsolt Csizmadia, Neill Crossley, Susanne Heipcke
• Residential real estate investment: Optimal holding period with taxation
  Jean-Luc Prigent, Charles-Olivier Amedee-Manesme, Fabrice Barthélémy, Philippe Bertrand
• Mean-variance indifference pricing
  Yang Shen
• Equilibrium asset pricing with incomplete information on regimes
  David Christen, Bernhard Nietert

HA-01: Portfolio optimization
Stream: Decision making modeling and risk assessment in the financial sector
Room: 307B
Chair(s): Gerhard-Wilhelm Weber, Derya Dinler, Miyoung Lee

• Reference-dependent expected shortfall: A new risk measure without perceiving tail event
  Sumito Onozaki, Junichi Imai
• Risk parity convex optimization algorithm
  Evgeny Bauman, Apollon Fragkiskos
• Risk analysis for project portfolios using a Bayesian network model
  Ying Yang, Gang Wang, Dong-Ling Xu
• Improved portfolio optimization approach in the sense of out-of-sample performance in the financial field
  Miyoung Lee, Jihun Kim, Sekyung Oh

HB-01: Financial modeling 2
Stream: Decision making modeling and risk assessment in the financial sector
Room: 307B
Chair(s): Efsun Kürüm, Zrinka Lukac

• Coupon bond duration and convexity analysis: A non-calculus approach
  Zrinka Lukac, Vedran Kojić, Margareta Gardijan Kedžo
• Valuation of Israeli options using a projected successive over relaxation algorithm
  Aloagbaye Momodu, Chi-Guhn Lee
• A semi-parametric contingent claims default forecasting model
  Zenon Taoushianis, Christakis Charalambous, Spiros Martzoukos
• Momentum and density forecasting
  Jose Faias, Duarte Stokes