"Development in Risk Management / Hedge Funds / Estimation"
Park Hyatt Hotel, Zurich, Switzerland
Key note address: â€œRecent Development in Risk Management
Paul Embrechts (ETH Zurich)
â€œValuation of Non Traded Risk Component Factors Such as Longevity Risk and Inï¬‚ ation Risk'
Frank de Jong (Tilburg University)
Inquire tutorial: â€œDevelopments in Modelling Dependence'
Bas Werker (Tilburg University)
â€œDispersion, Equity Returns Correlations and Market Integration'
Bruno Gerard *, (Norwegian School of Management) and Esther Eiling (Rotman School of Management, University of Toronto)
â€œWhen 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)
â€œThe Determinants of Stock and Bond Return Comovements'
Lieven Baele * (Tilburg University), Geert Bekaert, (Graduate School of Business, Columbia University), Koen Inghelbrecht, (Ghent University)
â€œSide-by-Side Management of Hedge Funds and Mutual Funds'
Tom Nohel (Loyola University)
â€œThe 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).
â€œOn Estimating Covariances Between Many Assets With Histories of Highly Variable Lengths'
Robert Gramacy * (University of Cambridge, Statistical Laboratory) and Joo Hee Lee (Fidelity Investments)