Modeling Default Correlation in a US Retail Loan Portfolio, Dennis Bams (Maastricht University), Magdalena Pisa (Maastricht University & Luxembourg School of Finance) and Christian Wolff (Luxembourg School of Finance & CEPR)
|
| Does Contagion Have Persistent Effects? A Novel Perspective of Contagion and the Eurozone Sovereign Debt Crisis, Dirk G. Baur (University of Technology, Sydney) and Gunter Löffler (University of Ulm) |
| Distressed Trade Credits: The Case of Debt Collection Agencies, Timo Beck (University of Tuebingen), Jens Grunert (University of Tuebingen), Werner Neus (University of Tuebingen) and Andreas Walter (University of Giessen) |
| Predicting Distress in European Banks, Frank Betz (European Investment Bank), Silviu Oprică (Goethe-Universität Frankfurt), Tuomas A. Peltonen (European Central Bank) and Peter Sarlin (Åbo Akademi University) |
The Co-CoVaR and some other Fair Systemic Risk Measures with Model Risk Corrections, Christophe M. Boucher (ABN AMRO, Variances & University of Lorraine), Patrick S. Kouontchou (Variances & University of Lorraine), Bertrand B. Maillet (ABN AMRO, Variances & University of Orléans) and Olivier Scaillet (Swiss Finance Institute & University of Geneva) |
Sovereign Credit Risk Co-movements in the Eurozone: Simple Interdependence or Contagion?, Manuel Buchholz (Halle Insitute for Economic Research (IWH) and Lena Tonzer (European University Institute, Florance) |
Estimating Bank Default with Generalised Extreme Value Regression Models, Raffaella Calabrese (Università Milano-Bicocca) and Paolo Giudici (Università di Pavia) |
Architecture on the Execution of Algorithmic Trading and High Frequency Algorithmic Trading, Giulio Carlone (Università “G.D’Annunzio” di Chieti e Pescara) |
The Determinants of European Returns, Spillovers and Contagion, Lara Cathcart (Imperial College London), Lina El-Jahel (University of Auckland) and Ravel Jabbour (Imperial College London) |
The Vicious Circle of Bank and Public Finance Distress, Clara Galliani (European Commission) and Stefano Zedda (Università di Cagliari) |
Empirical Inference of Related Trading between two Securities: Detecting Pairs Trading, Merger Arbitrage, and Strategy Rules, Keith Godfrey (University of Western Australia) |
Modeling Emergence of the Interbank Networks, Grzegorz Halaj (European Central Bank) and Christoffer Kok (European Central Bank) |
Dispersed Information in FX Trading: a Martingale Representation, Victoria Halstensen (European University Institute, Florence) |
Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach, Václav Hausenblas (Czech National Bank & Charles University, Prague), Ivana Kubicová (Czech National Bank & VSB-Technical University, Ostrava) and Jitka Lešanovská (Czech National Bank & Charles University, Prague) |
Diversification and Endogenous Financial Network, Jean-Cyprien Héam (Autorite de Controle Prudentiel (ACP), Banque de France & CREST, Paris) and Erwan Koch (ISFA and CREST, Malakoff) |
The Network Structure of the CDS Market and its Determinants, Tuomas A. Peltonen (European Central Bank), Martin Scheicher (European Systemic Risk Board) and Guillaume Vuillemey (Sciences-Po) |
Bank Recapitalization and the Information Value of a Stress Test in a Crisis, Fabrizio Spargoli (Universitat Pompeu Fabra, Barcelona) |
