Saturday 25th

Session 6: Risk Management (Chair, Zinovyi Landsman).

 Time

Subject

08:30 – 09:10

Invited Lecture: Jie Yen Fan

Implied Volatility, Option Models and mimicking

09:10 – 09:30

V. Asimit, A. Badescu, C. Ziwei, B. Ichim, L. Peng, R. Tunary, F. Zhou

Estimation and Risk Modelling under Parity Principles

09:30 – 09:50

F. Yang, Chen Zhou

Systemic Risk Shift

09:50 – 10:10

A. Dias, J. Han, A. J. McNeil

On the Distribution of VAR Exceedances in a Vt-s-vine Model

10:20 – 11:00

Closing Ceremony