Kempinski Taschenbergpalais, Dresden, Germany
Papers
Implications of Monetary Policy and Regulation after the Crisis for Risk Taking and Investments
Luc Laeven (European Central Bank)
Strategic Asset Allocation and Risk Budgeting for Insurers under Solvency II
Roy Kouwenberg (Erasmus School of Economics and Mahidol University Bangkok)
Multi Yield Curve Stress-testing Framework Incorporating Temporal and Cross Tenor Structural Dependencies
Emmanouil Karimalis (Bank of England), Ioannis Kosmidis (University College London) and Gareth W Peters (University College London)
The Bond Pricing Implications of Rating-Based Capital Requirements
Stanislava Nikolova (University of Nebraska-Lincoln)
The Impact of Stress on Market Liquidity: a Simulation of Investment Fund Redemptions
Yuliya Baranova, Joseph Noss and Laura Silvestri (Bank of England)
Consumer Loans: Return and Risk
Kathy Yuan (London School of Economics and Political Science)
Diversify and Purify Factor Premiums in Equity Markets
Raul Leote de Carvalho (BNPParibas)
The Equity Risk Premium and the Low Frequency of the Term Spread
Gonçalo Faria (University of London and University of Porto) and Fabio Verona (Bank of Finland)
Portfolio Optimisation in an Uncertain World
Marielle de Jong (Amundi
Currency Mispricing and Dealer Balance Sheets
Pasquale Della Corte (Imperial College), Gino Cenedese (Bank of England) and Tianyu Wang (Imperial College)