"Development in Risk Management / Hedge Funds / Estimation"
Park Hyatt Hotel, Zurich, Switzerland
Papers
Key note address: “Recent Development in Risk Management
Paul Embrechts (ETH Zurich)
“Valuation of Non Traded Risk Component Factors Such as Longevity Risk and Infl ation Risk'
Frank de Jong (Tilburg University)
Inquire tutorial: “Developments in Modelling Dependence'
Bas Werker (Tilburg University)
“Dispersion, Equity Returns Correlations and Market Integration'
Bruno Gerard *, (Norwegian School of Management) and Esther Eiling (Rotman School of Management, University of Toronto)
“When Do Stop Loss Rules Stop Losses'
Kathryn Kaminski * (Massachusetts Institute of Technology Operations Research Center) and Andy Lo (MIT Sloan School of Management and AlphaSimplex Group)
“The Determinants of Stock and Bond Return Comovements'
Lieven Baele * (Tilburg University), Geert Bekaert, (Graduate School of Business, Columbia University), Koen Inghelbrecht, (Ghent University)
“Side-by-Side Management of Hedge Funds and Mutual Funds'
Tom Nohel (Loyola University)
“The Secondary Market for Hedge Funds'
Tarun Ramadorai (University of Oxford)
Arbitrage and Short-Horizon Predictability in the Foreign Exchange Market: A Microstructure Perspective
Dagï¬ nn Rime * (Central Bank of Norway) and Lucio Sarno (University of Warwick).
“On Estimating Covariances Between Many Assets With Histories of Highly Variable Lengths'
Robert Gramacy * (University of Cambridge, Statistical Laboratory) and Joo Hee Lee (Fidelity Investments)