Conference

 


2015 International Dauphine-ESSEC-SMU Conference on Systemic Risk


December 11-12, 2015 ESSEC Business School Singapore Campus


The objective of the workshop is to enhance the understanding and quantitative measurement of systemic risk.  We encourage submissions for contributed talks and poster presentations on any topic within the overall theme of the conference and in the following areas in particular:

  • Financial crisis events are by definition rare. How to alleviate data scarcity by including new sources of data or appropriate modelling (eg unstructured ‘big’ data, factor models, extreme value theory)  
  • How to address non-stationarity due to boom/bust episodes
  • Macro/Finance Nexus
  • Contagion vs Interdependence
  • Intertwined sovereign credit risk/Bank sector risk

Organizers:     

  • Serge Darolles, Université Paris-Dauphine
  • Andras Fulop, ESSEC Business School
  • Junye Li, ESSEC Business School
  • Jeroen Rombouts, ESSEC Business School
  • Jun Yu, Singapore Management University

 Keynote speakers: 

  • Peter C.B. Phillips, Yale University
  • Yacine Ait-Sahalia, Princeton University
Invited speakers: 
  • Christian Brownlees, Universitat Pompeu Fabra
  • Yoosoon Chang,Indiana University
  • Jin-Chuan Duan, National University of Singapore
  • Joon  Y. Park, Indiana University
  • Hao Zhou, PBC School of Finance, Tsinghua University

Submissions should be sent to cfp2015@essec.edu by October 1, 2015. Notice of acceptance is given by October 15,2015. Accepted papers will be presented at the conference either as contributed talks or at a poster session.

The registration fee is 250 SGD. This fee includes lunch on each day of the workshop and coffee breaks and the conference dinner but does not include the hotel.  There is a reduced registration fee of 150 SGD for doctoral students and postdoctoral researchers.