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3rd International Research Forum - Risk Dependencies
Paris March 25-26, 2010
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The International Financial Research Forum on "Risk Dependencies" is an international research forum for academics and professionals organised by the Louis Bachelier Institute (ILB), the Europlace Institute of Finance (EIF) and the Risk Foundation.
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OBJECTIVES
The forum pursues three objectives:
- to identify the main streams of research that will structure the market's evolution in the future;
- to organize presentations and debates on these new trends;
- to reassess in view of recent developments the market and regulatory impacts of these evolutions.
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TOPICS
- Economic Foundation of Risk Dependence: term structure of dependence, contagion models, effects of cycles, links between real and financial factors, dynamic of demand, lapse and prepayment, long run factors such as longevity, global warming or demography, effect of life cycle for retail products;
- Behavioral and Informational Foundations: herding , informational avalanche, management of information, heterogeneous beliefs;
- Modelling Risk Dependence : risk factor models, copulas, dependence of extreme risks, measures of multivariate risk, linear vs nonlinear dependence;
- Hedging of Risk Dependence: basket derivatives, multisupport derivatives, longevity bonds;
- Management and Control of Systematic Factors: defining and regulating systemic risk, pro vs countercyclical management, monitoring of a liquidity crisis, disentangling macro and idiosyncratic risks for required capital, granularity adjustment, stress testing on systematic factors, coordination of regulators.
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More information
http://www.institutlouisbachelier.org/risk10/index.htm
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