Contributed Posters

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Contributed Posters
 

Modelling Changes in the Unconditional Variance of Long Stock Return Series

Cristina Amado

(GENERALI PRIZE WINNER)

Timo Teräsvirta

University of Minho and NIPE; Aarhus University and CREATES

Portugal

DPOT methodology - an application to Value-at-Risk

Paulo Araujo Santos Isabel Fraga Alves

Instituto Politecnico de Santarem and CEAUL; Faculdade de Ciencias da Universidade de Lisboa and CEAUL

Portugal

Optimization of port operational and safety

P. Garcia-Morales

D. Magana, S. Solari  Garcia-Contreras

 A. Baquerizo

M.A. Losada

Grupo de Dinamica de Flujos Ambientales, Centro Andaluz de Medio Ambiente, Universidad de Granada

Spain

Asymptotic and bootstrap confidence bounds for the adjustment coefficient

Margarida Brito

Ana C Moreira Freitas

CMUP & FCUP, Universidade do Porto

Portugal

Probability weighted moment bootstrap estimation: a case study in the field of insurance

Frederico Caeiro

M. Ivette Gomes

Universidade Nova de Lisboa, FCT, DM, and CMA; Universidade de Lisboa, FCUL, DEIO, and CEAUL

Portugal

Assessing Extremal Dependence in Equity Markets

Miguel de Carvalho

Jose Faias

Antonio Rua

Ecole Polytechnique Federale de Lausanne; Universidade Catolica Portuguesa; Banco de Portugal

Switzerland

On Refining Pricing Methods for Liability Insurance Contracts

Alberto Chierici

GLUK

United Kingdom

The infuence of minimum capital levels in  financial risk

Joao P. da Cruz

Pedro G. Lind

Center for Theoretical and Computational Physics, University of Lisbon
Closer, Consultoria, Lda; Faculdade de Ciencias da Universidade de Lisboa

Portugal

A New Characteristic for the Dependence Structure of Clustered Extremes

Andree Ehlert

Anja Janen

Martin Schlather

CRC Poverty, Equity and Growth , Georg-August-Universitat Gottingen; Department of Mathematics University of Hamburg; Institute for Mathematical Stochastics

Germany

Adaptive Reduced Bias Estimation of Financial Log-Return

Fernanda Figueiredo

M. Ivette Gomes  Manuela Neves

Faculdade de Economia do Porto and CEAUL; Universidade de Lisboa, FCUL, DEIO and CEAUL; ISA/UTL, and CEAUL

Portugal

Liquidity Risk and Solvency II

Raquel M. Gaspar

Hugo Sousa

Advance Research Center, ISEG, Technical University of Lisbon; ISP Instituto de Seguros de Portugal

Portugal

An efficient Peak-over-Threshold implementation for operational risk capital computation

Dominique GUEGAN Bertrand K. HASSANI

Cedric NAUD

Paris School of Economics, CES-MSE, Universit Paris 1 Panthon-Sorbonne; BPCE and CES-MSE, Universit Paris 1 Panthon-Sorbonne; AON

France

Adaptive Reduced Bias Invariant Estimation of a Heavy Right Tail: an Application to Financial Log-Returns

M. Ivette Gomes

L.Henriques-Rodrigues

Universidade de Lisboa, FCUL, DEIO, and CEAUL; CEAUL, and Instituto Politecnico de Tomar

Portugal

Sojourn times above a high threshold function

Michael Falk

Martin Hofmann

University of Wurzburg

Germany

Robust Tools for Operational Risk

Nataliya Horbenko Peter Ruckdeschel

Technical University of Kaiserslautern, Fraunhofer Intitute for Industrial Mathematics, Kaiserslautern

Germany

Aggregation of Market Risks using Pair-Copulas

Dominique Guegan Fatima Jouad

CES - University Paris 1; AXA GRM - University Paris 1

France

Conditional Analysis for Multivariate Extreme Risk

Ye Liu

Jonathan Tawn

Lancaster University

United Kingdom

Modelling Mortality Risk with Extreme Value Theory

Enrico Lovasz

Technische Universität Dresden Department of Quantitative Methods, esp. Econometrics,
Faculty of Business and Economics, Dresden

Germany

Conditional extreme-value index for high-frequency econometrics

A. Malinowski

Martin Schlather Zhengjun Zhang

Institute for Mathematical Stochastics, Georg-August-Universitat Gottinge; Department of Statistics, University of Wisconsin at Madisonn

Germany

Risk Functionals using Discontinuous Distortion Functions

Miguel Mendes

F.E.U.P.

Portugal

A Heuristic Data-driven Choice of Tuning Parameters in PORT-MVRB Estimation

M. Ivette Gomes

L Henriques-Rodrigues

Cristina Miranda

Universidade de Lisboa, FCUL, DEIO, and CEAUL; Instituto Politecnico de Tomar, and CEAUL; ISCA, Universidade de Aveiro, and CEAUL,

Portugal

The Cross-Section of Tail Risks in Stock Returns

Kyle Moore

Pengfei Sun

Casper G. de Vries

Chen Zhou

Tinbergen Institute; Erasmus University of Rotterdam; De Nederlandsche Bank

Netherlands

Extremal index estimation through an adaptive resampling approach

Dora Prata Gomes

M. Manuela Neves

CMA and FCT/UNL; CEAUL and ISA/UTL

Portugal

Within-cluster behaviour of the extremes of stock market indices

Alexandra Ramos Anthony Ledford

Faculdade de Economia and CMUP - Universidade do Porto; AHL Research, Man Research Laboratory

Portugal

Populations with periodic reclassification: Application to the financial sector

C. Roçadas

 T.A. Oliveira

 J.T. Mexia

CMA, Faculty of Sciences and Technology, New University of Lisbon
Universidade Aberta, Department of Sciences and Technology
CEAUL University of Lisbon

Portugal

Estimating the upcrossings index for financial time series

Joao R. Sebastiao Ana Paula Martins

Luisa Pereira

Instituto Politecnico de Castelo Branco; Universidade da Beira Interior

Portugal

Hill Bias of Student and Stable Alternatives

Casper G. de Vries Pengfei Sun

Department of Economics, Erasmus University Rotterdam; Tinbergen Institute, Erasmus University Rotterdam

Netherlands

Alternative Modeling for Long Term Risk

Dominique Guegan

Xin Zhao

Universite Paris 1 Pantheon-Sorbonne

France

This page was last updated on 10/06/2011