3rd Empirical Finance Workshop
ESSEC Business School

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


Organizers: 

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:
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