Friday, March 11

08h15 / 08h45
08h45 / 10h15

Guest speaker: Zvi BODIE, Boston University School of Management
“Sovereign Risk and Wealth Management”

Panel Session : Towards a sustainable Sovereign Wealth and Risk Management

Chairman :   Marie BRIÈRE, Head of Investor Research Center, AMUNDI Asset Management

Tom FEARNLEY, Investment Director at the Norway Ministry of Finance
Fatos KOÇ, Department Head of Market Risk Management, General Directoriate of Public Finance, Turkish Treasury
Markus KRYGIER, Deputy CIO, Amundi London Branch

10h15 / 10h30
10h30 / 11h30
Parallel Session 9: Long Term Allocation

Chairman: Monique JEANBLANC, Evry University

"Growth Options, Asset Composition, Future Pension Benefits, and Corporate Pension Funding and Asset Allocation Policies: Theory and Evidence"
Eugene Y. LEE, University of Rhode Island, Jeffrey ZHANG, University of Dayton, Ousmane SECK, University of Texas at El Paso
Paper | Slides

"Long-Term Optimal Portfolios with Floor"
Jun SEKINE, Osaka University
Paper | Slides

Discussant: Simon DUBECQBanque de France

Parallel Session 10: Inflation and Demography

Chairman: Stéphane LOISEL, ISFA, Lyon 1 University

"Inflation, Stock Market and Long-Term Investors: Real Effects of Changing Demographics"
Arie GOZLUKLU, Bocconi University
Paper | Slides

"Hedging Severe Inflation Seems Easier than Hedging Low Inflation"
Maximilian ROEDEL, Christophe KASERER, Technical University Munich School of Management

Discussant: Caroline JARDET, Banque de France

11h30 / 12h30
Parallel Session 11: Geographical Diversification

Chairman: Stéphane GREGOIR, EDHEC

"Portfolio Diversification and the Cross-Sectional Distribution of Foreign Investment"
Alexandra TABOVA, Duke University
Paper | Slides

"Volatility Spillover among Sector Index of International Stock Markets
Imen KOUKI, Higher Institute of Management, Tunis, Nizar HARRATHI, Faculty of Economic Sciences and Management of Nabeul, Mahfuzul HAQUE, Scott College of Business, Indiana State University
Paper | Slides


Parallel Session 12: Growth

Chairman: Jean-Paul RENNE, Banque de France

"Long-Run Risk in a Production Economy with Endogenous R&D"
Rodolfo PRIETO, Boston University School of Management
Paper | Slides

"Empirical Measures of Growth Risk"
Philippe DUPUY, Grenoble Business School, Javier SANTISO, ESADE Business School
Paper | Slides

12h30 / 14h00

hosted by Thierry FRANCQ, Secretary General, French Financial Market Authority

14h00 / 15h30
PLENARY SESSION IV – Institut CDC pour la Recherche

Guest speaker: Rama CONT, CNRS – Pierre and Marie Curie University
“Risk Management 2.0: Understanding Endogenous Risk”

Panel Session : Long Term Discount Rates
Chairman: Didier JANCI, Chief Economist & Strategist Studies, Strategic Planning and Sustainable Development Department, Caisse des Dépôts et Consignations (CDC)

Stéphane GALLON, Head of Economic Studies Division Studies, Strategic Planning and Sustainable Development Department, Caisse des Dépôts et Consignations (CDC)
Olivier GUÉANT, Associate Professor, Paris Diderot University
15h30 / 16h30
Parallel Session 13: Long Term Yields 2

Chairman: Marc DIENER, University of Nice Sophia-Antipolis

"Understanding the Term Structure of Yield Curve Volatility"
Pavol POVALA, University of Lugano, Anna CIESLAK, University of Lugano, Kellogg School of Management, Northwestern University
Paper | Slides

"No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth"
Alain MONFORT, CREST, Banque de France and Maastricht University, Fulvio PEGORARO, Banque de France, CREST and HEC Lausanne, Caroline JARDET, Banque de France
Paper | Slides

Parallel Session 14: General Equilibrium

Chairman: Jean-Paul LAURENT, Paris I University

"Time-Change Risks and the Aggregate Stock Market Behavior"
Roberto MARFÈ, University of Lausanne and Swiss Finance Institute
Paper | Slides

"Long Run Risk and the Persistence of Consumption Shocks"
Andrea TAMONI, Fulvio ORTU, Claudio TEBALDI, Bocconi University
Paper | Slides

Discussant: Luciano CAMPI, Paris Dauphine University

16h30 / 17h00
Chairman: Francine DIENER, University of Nice Sophia-Antipolis
Analytical CoVaR
Jimmy Kihoon HONG, Cambridge University

Tail Return Analysis of Bear Stearns’Credit Default Swaps
Bruce MIZRACH, Rutgers University, Liuling LI, Nankai University

Volatility Clustering with Learning and Model Heterogeneity
Daniel ANDREI, Swiss Finance Institute, HEC Lausanne, Michael HASLER, Swiss Finance Institute, Ecole Polytechnique Fédérale de Lausanne

Stock Market Volatility and Exchange Rates in Three European Countries: A Bivariate FIGARCH and FIAPARCH Models
Walid CHKILI, Chaker ALOUI, Faculty of Management and Economics Science of Tunis, El Manar University

Backtesting Value-at-Risk Models: A Multivariate Approach
Cristina DANCIULESCU, Indiana University Bloomington

Market Efficiences and Market Risks
Pierre-André MAUGIS, Paris School of Economics

Corporate Risk Management: What Can We Learn from Financial Statements?
Peter MACKAY, School of Business Management, Hong Kong University of Science and Technology, Sara B. MOELLER, Babcock Graduate School of Management, University of Pittsburgh

Equity Risk Premium and Time Horizon: What Do US Secular Data say?
Georges PRAT, CNRS, West Paris University
Market Risk Prediction under Long Memory: When VaR is Higher than Expected
Niklas WAGNER, Harald KINATEDER, Passau University

Understanding Guaranteed Minimum Withdrawal Benefit: A Study on Financial Risks and Rational Lapse Strategy
Lihang WANG, Aymeric KALIFE, Paris Dauphine University, Xiaolu TAN, Ecole Polytechnique
** Poster sessions are effective means of conveying information. Poster's visual aspects and the presenter's verbal explanations work together to get the material across quickly
17h00 / 18h00
Parallel Session 15: Long Term Yields 3

Chairman: Anna CIESLAK, University of Lugano, Kellogg School of Management Northwestern University

"The Value of a Variance Swap – A Question of Interest"
Olaf TORNE, Ecole Centrale Paris, Per HÖRFELT, Barclays Capital
Paper | Slides

"Default, Liquidity and Crises: An Econometric Framework"
Jean-Paul RENNE, Banque de France, Alain MONFORT, CREST, Banque de France and Maastricht University
Paper | Slides

Guillaume SIMON, Capital Fund Management

Parallel Session 16: Persistence and Regimes

Chairman: Pierre-André MAUGIS, Paris School of Economics

"A Regime Switching Unobserved Component Analysis of the CDX Index Term Premium"
Giovanni CALICE, University of Southampton, Christos IOANNIDIS and RongHui MIAO, University of Bath
Paper | Slides

"Persistence Based Decomposition and Temporal Aggregation of Risks"
Claudio TEBALDI, Fulvio ORTU, Andrea TAMONI, Bocconi University
Paper | Slides

Discussant: Nicolas DUBOURGLCF Rothschild


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* To be confirmed