Workshop on Modelling and Forecasting Moment Risk Premia

March 13, 2014 
La Defense, Paris, France

This workshop brings together researchers interested in the modelling of risk premia. A central topic in finance is the identification of risk premia, which is the extra payment that risk adverse investors require for bearing different risks, or rather, the market price attached to different sources of risk. While the equity return premium has been studied for decades, the recent literature focuses on the identification and estimation of premia related to variance, skewness, correlation, etc.

     Junye Li, Associate Professor of Finance, ESSEC, CREAR
      Jeroen VK Rombouts, Associate Professor of Statistics and Econometrics, ESSEC, CREAR

Session I: 9.30-10.50 
      Chair: Jeroen VK Rombouts, ESSEC

      Loriano Mancini, Swiss Finance Institute 
      The Term Structure of Variance Swaps and Risk Premia

      Christian Gourieroux, University of Toronto and CREST
      Pricing Default Events: Surprise, Exogeneity and Contagion

Coffee Break: 10.50-11.00

Session II: 11.00-13.00 
      Chair: Rachidi Kotchoni, THEMA, University de Cergy

      Paul Schneider, University of Lugano
      Generalized Risk Premia - The Economic Value of Predictability
      Andrea Vedolin, London School of Economics
      Bond Variance Risk Premiums

      Francesco Violante, CREATES, University of Aarhus
      A simple approach to retrieve Variance Risk Premia

LUNCH: 13.00-14.20 

Session III: 14.20-15.40 
      Chair: Andras Fulop, ESSEC Business School

      Junye Li, ESSEC

      The Term Structure of Variance Risk Premia and Stock Return Predictability: International Evidence

     Eric Ghysels, University of North Carolina, Chapel Hill
     What drives the VIX and the volatility risk premium?

Coffee Break: 15.40-16.10

Session IV: 16.10-17.30 
      Chair: Tolga Cenesizoglu, HEC Montreal

      Laurent Calvet, HEC Paris
      What's beneath the surface? Option pricing with multifrequency latent states

      Lars Stentoft, University of Western Ontario
      Which Pricing Approach for Options under GARCH with Non-Normal Innovations?

Drinks: 17.30-18.30 

To attend, please register here. The registration fee is 65 Euro for academia, 130 Euro for private sector and free for PhD students. The maximum capacity is 40. 
The fee covers coffee breaks, lunch and drinks. For questions, send an email to

Special thanks to Europlace Finance Institute for its support