3rd Empirical Finance Workshop
ESSEC Business School

March 16, 2016 
La Defense (CNIT), Paris, France 
Room 333


Andras Fulop, Professor of Finance, ESSEC
Jeroen Rombouts, Professor of Financial Econometrics, ESSEC
Romeo Tedongap, Professor of Finance, ESSEC
Francesco Violante, Professor of Financial Econometrics, CREATES

Session I: 10.00-12.00  Chair: Guillaume Chevillon, ESSEC

Hugues Langlois, HEC Paris
Dynamic Dependence and Diversification in Corporate Credit'
Roberto Reno, University of Verona
"The Drift Burst Hypothesis"

Sylvain Benoit, Dauphine University
"Where the Risks Lie: A Survey on Systemic Risk"

LUNCH: 12.00-13.20 

Session II: 13.20-14.40  Chair: Francesco Violante, CREATES

Victor Todorov, Kellogg School of Managament
"Pricing Short-Term Market Risk: Evidence from Weekly Options"

Maria Teresa Gonzalez Perez, CUNEF Madrid,
The Role of Market Makers in the dynamics of SPX quotes

Coffee Break: 14.40-15.10

Session III: 15.10-16.00  Chair: Andreas Heinen, UCP

Paolo Santucci de Magistris, CREATES
"Retrieving risk neutral densities embedded in vix options: a nonstructural approach"

Registration free for Academia 
Registration 300€ for Private Sector

For registrationsend an email to jeanlouis@essec.edu.

Special thanks to European Commission for its support