×D3. Financial risk modelling and computational finance

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