The topics covered by this session include any original research and comprehensive review papers in theoretical, quantitative, mathematical, computational, numerical and empirical financial risk management that are concerned with: dynamic price integration; global energy markets; conditional single index models with local covariates; portfolio models; detecting and evaluating active risk management; Basel Accord and improved risk management; global financial crisis; banking regulation; credit risk and liquidity shocks; stress testing correlation matrices for risk management; corporate risk taking; pricing options on stocks denominated in different currencies; EVT and tail-risk modelling; model-free volatility in a high frequency world; arbitrage-free implied volatility surfaces for options; non-uniform pricing effects of employee stock options; quantile regressions; nonlinear dynamics and recurrence plots for detecting financial crisis; news sentiment impacts on asset volatility; long memory and regime-switching approaches; quantitative evaluation of contingent capital; high quantiles estimation; value-at-risk (VaR) for financial assets; evaluating inflation targeting; distribution of inflation and inflation volatility; size effects of volatility spillovers for firm performance; forecasting volatility with the realized range; noise and non-trading; deciphering the Libor and Euribor spreads; sub-prime crisis; information transmission between sovereign debt credit default swaps; time-varying mixture GARCH models and asymmetric volatility; diagnostic checking for non-stationary ARMA models.
Key topics: Empiricafinancial risk management, Global energy markets, Corporate finance, Climate finance