Contributed Talks (preliminary list)

  • Evgeny Bauman (Markov Process International, Summit, USA): Risk Parity for CVaR and Downside Risk
  • Christophe Dutang (Université du Maine, Le Mans, France): Robust and Bias-corrected Estimation of the Coeficient of Tail Dependence
  • Patrice Kiener (InModelia, Paris, France): Explicit models for bilateral distributions with heavy tails
  • Karl-Kuno Kunze (Fractional View Gmbh, Graz, Austria): Intermediate and Long Memory Time Series
  • A. Ntamjokouen et al. (Bergamo University, Italy): Modeling Life Expentancy at Birth for Multi-population: a Cointegration Approach
  • Tobias Setz (ETH, Zurich, Switzerland) Bayesian Investment Strategies for the Swiss Performance Sector Indices
  • Rajat Tayal (Indira Gandhi Institute of Development Research, Mumbai, India): Informed trades, uninformed trades and market resiliency: Evidence from a limit order book market
  • Stefan Theussl (Raiffeisen Research, Vienna, Austria): The ROI Package in Action: Portfolio Optimization and Beyond
  • Vineet Virmani (Indian Institute of Management, Ahmedabad, India): Quantifying Model Risk in Pricing Path-dependent Derivatives
  • Marjan Wauters et al. (KU Leuven, Belgium): Dynamic style allocation of characteristic-based equity portfolios
  • Jan Witte (Record Currency Management, Windsor, UK): BCP Stability Analytics: New Directions in Tactical Asset Management