Program for Wednesday, April 4th: Talk View

PROGRAM FOR WEDNESDAY, APRIL 4TH: TALK VIEW

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View: with abstracts session overview

9:00

9:30

10:00

10:30

11:00

11:30

12:00

12:30

13:00

13:30

14:00

14:30

15:00

15:30

16:00

16:30

17:00

17:30

18:00

18:30

19:00

19:30

20:00

20:30

21:00

08:45-09:00 Openning. Prof. Juan Romo. Universidad Carlos III de Madrid

09:00-10:00 Financial contagion in the eurozone. Enrique Sentana, CEMFI

10:05-10:25

Variable Annuities with State-Dependent Fees

Anna Rita Bacinello, Ivan Zoccolan

10:25-10:45

Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder

Emilio Russo, Massimo Costabile, Ivar Massabo'

10:45-11:05

Some empirical evidence on the need of more advanced approaches in mortality modeling

Asmerilda Hitaj, Lorenzo Mercuri, Edit Rroji

10:05-10:25

Forecasting Systemic Risk

Massimiliano Caporin, Laura Garcia-Jorcano, Juan-Angel Jimenez-Martin

10:25-10:45

Left tail risk attribution in algorithmic portfolio strategies

Nabil Bouamara, Kris Boudt, Jürgen Vandenbroucke

10:45-11:05

A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation

Roy Cerqueti, Massimiliano Giacalone, Demetrio Panarello

10:05-10:25

The Rearrangement algorithm of Puccetti and Rüschendorf: proving the convergence

Marcello Galeotti, Giovanni Rabitti, Emanuele Vannucci

10:25-10:45

Comparing possibilistic portfolios to probabilistic ones

Marco Corazza, Carla Nardelli

10:45-11:05

ESTIMATING REGULATORY CAPITAL REQUIREMENTS FOR REVERSE MORTGAGES. AN INTERNATIONAL COMPARISON

Ivan Fuente, Eliseo Navarro, Gregorio Serna

11:05-11:25

Empirical Evidence from the Three-way LC model

Giuseppe Giordano, Steven Haberman, Maria Russolillo

12:00-12:20

Mortality Projection using Bayesian Model Averaging

I. Albarrán Lozano, A. Benchimol, P.J. Alonso-González, J.M. Marín Diazaraque

12:20-12:40

Using deepest dependency paths to enhance life expectancy estimation

Irene Albarrán Lozano, Pablo J. Alonso-González, Aurea Grané

12:40-13:00

Analysis of the evolution of changes in the Spanish mortality rates using functional data

Pablo J. Alonso-González, Eliseo Navarro Arribas, Pilar Requena Cabezuelo

12:00-12:20

On the tail behavior of a class of multivariate conditionally heteroskedastic processes

Rasmus Sondergaard Pedersen, Olivier Wintenberger

12:20-12:40

Bootstrap Non-Stable Autoregressive Processes: Modelling of Bubbles

Giuseppe Cavaliere, Heino Bohn Nielsen, Anders Rahbek

12:40-13:00

Detecting Time Irreversibility Using Quantile Autoregressive Models

Alain Hecq, Li Sun

13:00-13:20

Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles

Sebastian Fries, Jean-Michel Zakoian

12:00-12:20

Integration of non-financial criteria in equity investment

Diana Barro

12:20-12:40

Some critical insights on the unbiased efficient frontier à la Bodnar & Bodnar

Marco Corazza, Claudio Pizzi

12:40-13:00

The bank tailored integrated rating

Daniela Arzu, Guido Massimiliano Mantovani, Marcella Lucchetta

13:00-13:20

Bond Portfolio Management in a Post-Solvency II Regulatory Environment

Mikica Drenovak, Vladimir Rankovic, Branko Urosevic, Ranko Jelic

13:20-13:40

A note on the shape of the probability weighting function

Martina Nardon, Paolo Pianca

15:00-15:20

Coherent risk measures and infinite expectation risks

Ivan Blanco

15:20-15:40

Monotone monetary preferences on large spaces

Hirbod Assa

15:40-16:00

VaR Representation Theorem

Raquel Balbas, Alejandro Balbas, Beatriz Balbas

15:00-15:20

Stock prices dynamics through multidimensional linkages

Stefano Nasini, Deniz Erdemlioglu

15:20-15:40

Multiple testing for different structures of Spatial Dynamic Panel Data models

Massimo Pacella, Francesco Giordano, Maria Lucia Parrella

15:40-16:00

Variable selection in estimating bank default

Francesco Giordano, Marcella Niglio, Marialuisa Restaino

15:00-15:20

Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic

Lourdes Gómez-Valle, Julia Martínez-Rodríguez

15:20-15:40

What if two different interest rates datasets allow for discribing the same financial product?

V. D’amato, A. Diaz, E. Di Lorenzo, E. Navarro, M. Sibillo

15:40-16:00

Dissecting Interbank Risk using Basis Swap Spreads

Juan Angel Lafuente, Nuria Petit, Jesús Ruíz, Pedro Serrano

16:30-16:50

An individual risk model for premium calculation based on quantile: a comparison between Generalized Linear Models and Quantile

Fabio Baione, Davide Biancalana, Paolo De Angelis, Ivan Granito

16:50-17:10

Bridging risk measures and classical ruin theory

Wenjun Jiang, Jose Garrido

17:10-17:30

Value at Risk for heavy tailed ambiguous risks

Beatriz Balbas, Alejandro Balbas, Jean Philippe Charron

16:30-16:50

Price convergence within and between the Italian electricity day-ahead and dispatching services

Massimiliano Caporin, Fulvio Fontini, Muhammad Shahbaz, Elham Talebbeydokhti

16:50-17:10

Forecasting the volatility of electricity prices by robust estimators: an application to the Italian

Lisa Crosato, Luigi Grossi, Fany Nan

17:10-17:30

An electricity price index for volatile spatially dependent data

Alessandro Sapio

16:30-16:50

A Self-Excited Switching Jump Diffusion (SESJD): properties, calibration and hitting time

Donatien Hainaut, Griselda Deelstra

16:50-17:10

Decomposition formula for jump diffusion models

Josep Vives

17:10-17:30

Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes

Ali Caner Turkmen, Ali Taylan Cemgil

17:35-17:55

A Single Factor Model for Constructing Dynamic Life Tables.

David Atance, Eliseo Navarro

17:55-18:15

Improving Lee-Carter forecasting: methodology and some results

Giovanna Apicella, Michel Dacorogna, Emilia Di Lorenzo, Marilena Sibillo

18:15-18:35

Risk and Uncertainty for Flexible Retirement Schemes

Mariarosaria Coppola, Maria Russolillo, Rosaria Simone

18:35-18:55

A comparative analysis of neuro fuzzy infer-ence systems for mortality prediction

Gabriella Piscopo

17:35-17:55

Bayesian semiparametric multivariate stochastic volatility with an application to international volatility

Martina Danielova Zaharieva, Mark Trede, Bernd Wilfling

17:55-18:15

Geographic Dependence and Diversification in House Price Returns: the Role of Leverage

Andreas Heinen, Kim Mi Lim

18:15-18:35

A Comparison of Limited Information Estimators in Dynamic Simultaneous Equations Models

Dandan Wang

18:35-18:55

Reexamining financial and economic predictability with new estimators of realized variance

Isabel Casas, Xiuping Mao, Helena Veiga

17:35-17:55

Bayesian Factorization Machines for Risk Management and Robust Decision Making

Pablo Angulo, Víctor Gallego, David Gómez Ullate, Pablo Suárez

17:55-18:15

Socially Responsible Ratings and Financial Performance

Antonio Diaz, Gloria Garrido Sanchez

18:15-18:35

Household wealth and portfolio choice when tail events are salient

Ali Lazrak, Murray Carlson

18:35-18:55

A Bi-level Programming Approach for Global Investment Strategies with Financial Intermediation

Stefano Nasini, Francisco Benita, Francisco Lopez-Ramos

19:00

Dependence modelling: Vine Copula

Marianna Roccetti

19:00

Bivariate Functional Archetypoid Analysis: An Application to Financial Time Series

Jesús Moliner, Irene Epifanio

19:00

A spatio-temporal model for the inequality in the income distribution of Italy

Francesco Porro

19:00

Pricing illiquid assets by entropy maximization through linear goal programming

José Luis Vilar-Zanón, Olivia Peraita-Ezcurra

19:00

The effect of rating contingent guidelines and regulation around credit rating news

Pilar Abad, Antonio Díaz, Ana Escribano, M. Dolores Robles

19:00

Life insurers’ asset-liability dependency and low-interest-rate environment

Domenico Curcio, Nicola Borri, Rosaria Cerrone, Rosa Cocozza

19:00

Insurance premium principles to price future contracts. Applications in Energy markets.

Debora Daniela Escobar

19:00

Two–Sided Skew and Shape Dynamic Conditional Score Models

Alberto Bernardi, Mauro Bernardi

19:00

Approximate arbitrage with limit orders

Davide Tedeschini

19:00

Reducing the risk of adverse selection in the pricing process. A practical case with a two-stage cluster procedure and a Hurdle negative binomial

Moura E Moura, Pérez Martín, Martínez Rodríguez, Hernández Estrada

19:00

Price informativeness and rating revisions: Effects of reputational events and regulation reforms

Pilar Abad, Rodrigo Ferreras, M. Dolores Robles

19:00

DO GOOGLE TRENDS HELP TO FORECAST SOVEREIGN RISK IN EUROPE?

Marcos González-Fernández, Carmen González-Velasco

19:00

The optimal investment and consumption for financial markets generated by the spread of risky assets for the power

Sahar Albosaily, Serguei Pergamenshchikov

19:00

Could Machine Learning predict the Conversion in Motor Business?

Lorenzo Invernizzi, Vittorio Magatti

19:00

The Islamic Financial Industry. Performance of Islamic vs. conventional sector portfolios

Maria De La O Gonzalez, Francisco JareÑo, Camalea El Haddouti Ben Ali

19:00

Asian Options pricing under Ornstein–Uhlenbeck dynamic

Riccardo Brignone, Gianluca Fusai, Ioannis Kyriakou

19:00

Optimum Thresholding for Semimartingales with Levy Jumps under the mean-squared error

Cecilia Mancini, Jose Figueroa-Lopez

19:00

Statistical learning algorithms to forecast the equity risk premium in the European Monetary Union

David Cortes-Sanchez, Pilar Soriano-Felipe

19:00

Google searches for portfolio management: a risk and return analysis

Mario Maggi, Pierpaolo Uberti

19:00

Market Price of Longevity Risk for A Multi-Cohort Mortality Model with Application to Longevity Bond Option

Michael Sherris, Jonathan Ziveyi, Yajing Xu

19:00

The w(p) in the financial markets: An empirical approach on the S&P 500

Fabrizio Di Sciorio

19:00

Illusion of control and decision making under risk: experimental results

Maria Forlicz, Tomasz Rólczyński

19:00

EXTENSIONS OF FAMA AND FRENCH MODELS

María De La O González, Francisco Jareño

19:00

Modelling mortality of subpopulation with Per Capita GDP

Giuseppina Bozzo, Susanna Levantesi, Massimiliano Menzietti

19:00

When is utilitarian welfare higher under insurance risk pooling? (Short Paper - pdf)

Indradeb Chatterjee, Angus Macdonald, Pradip Tapadar, R. Guy Thomas

19:00

A Boolean-valued model approach to conditional risk (Poster)

José Miguel Zapata García

19:00

Sustainability of the Algerian retirement system: a multi scenarios analysis

Farid Flici

19:00

Nudging long-term saving: Might the “Save More Tomorrow” approach work in Spain?

Jesús García, José Vila

19:00

When is utilitarian welfare higher under insurance risk pooling? (Abstract)

Indradeb Chatterjee, Angus Macdonald, Pradip Tapadar, R. Guy Thomas

19:00

Optimal Management of Immunized Portfolios

Riccardo Cesari, Vieri Mosco

19:00

The value of information for optimal portfolio management

Katia Colaneri, Stefano Herzel, Marco Nicolosi

19:00

Simulating Economic Variables using Graphical Models

Jaideep Oberoi, Aniketh Pittea, Pradip Tapadar

19:00

Pricing Electricity Derivatives with Markov Regime Switching Models

Rashed Alghanim

11:25-12:00 Coffee Break

13:20-15:00 Lunch Break

16:00-16:30 Coffee Break