Limburg Institute of Financial Economics (LIFE) & Journal of Empirical Finance
Conference on Risk Management – Sheraton Algarve Hotel (Albufeira-Portugal)
PROGRAMME
NOVEMBER 19, 1999
09:00 - 10:00 Sensitivity analysis of values at risk
Christian Gouriéroux, J.P. Laurent & Olivier Scaillet
Discussant: Dennis Jansen
10:00 - 11:00 Stochastic correlation across international stock markets
Clifford A. Ball & Walter N. Torous
Discussant: Ronald Mahieu
11:00 - 11:30 Coffee/tea break
11:30 - 12:30 A semi-Markov approach to modeling volatility dynamics
John M. Maheu & Thomas H. McCurdy
Discussant: Christian Gouriéroux
12:30 - 14:00 Lunch
14:00 - 15:00 Firms, do you know your currency risk exposure ? Survey results
Claudio Loderer & Karl Pichler
Discussant: Willem Verschoor
NOVEMBER 20, 1999
09:00 - 10:00 Horizon sensitivity of the inflation hedge of stocks
Peter C. Schotman & Mark Schweitzer
Discussant: Casper de Vries
10:00 - 11:00 Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
Alexander J. McNeil & Rüdiger Frey
Discussant: Rachel Campbell-Pownall
11:00 - 11:30 Coffee/tea break
11:30 - 12:30 Market risk, capital requirements and stress tests
Fabrice Aléonard
Discussant: Harald Benink
12:30 - 14:00 Lunch
14:00 - 15:00 Diagnosing and treating the fat tails in financial returns data
Stefan Mittnik, Marc Paolella & Svetlozar T. Rachev
Discussant: Jon Danielsson