Home People Institutions Chairs Agenda Job market  Login Updated: 10/12/2008 09:56  Risk management Related institutions Centre for Financial Research (CFR) ISMA Centre Department ofEconomics, Finance and International Buisiness Centre for Analysis of Risk and Regulation (CARR) Financial Markets Group (FMG) Related working papers and articles   Modeling term structure dynamics: an infinite dimensional approach Empirical properties of asset returns: stylized facts and statistical issues. Dynamics of implied volatility surfaces. Stochastic models of implied volatility surfaces. Contrôle des activités bancaires et risques financiers Contrôle des activités bancaires et risque financiers · Improving the prevention of environmental risks with convertible bonds, en révision pour publication au Journal of Environmental Economics and Management (2003) Vector-valued measures of risk The credit risk in SME loans portfolios: modeling issues, pricing, and capital requirements Should SME exposures be treated as retail or corporate exposures ? A comparative analysis of default probabilities and asset correlations in French and German SMEs Mesure et gestion du risque de crédit dans les institutions financières Financial modelling with jump processes Model uncertainty and its impact on the pricing of derivative instruments LES PRODUITS DÉRIVÉS DE CRÉDIT Bayesian Methods for Measuring Operational Risk The Present and Future of Financial Risk Management Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices Liquidity and Risk Management Application of multi-agent games to the prediction of financial time-series Time Varying Sensitivities On A Grid Architecture A Comparison Of Some Univariate Models For Value-At-Risk And Expected Shortfall A note on the risk management of CDOs Using copulae to bound the Value-at-Risk for functions of dependent risks Fitting vast dimensional time-varying covariance models Variation, jumps, market frictions and high frequency data in financial econometrics Volatility transmission and volatility impulse response functions in European electricity forward markets Integrated Risk Management for Mega Events Analyse économique du Risk Management Program (section 112- du « Clean Air Act ») Communication des risques industriels au public - Les expériences aux États-Unis et en France Arbitrage free cointegrated models in gas and oil future markets Financial Innovation, Market Participation and Asset Prices Optimal Hedging Strategies and Interactions between Firms A Multivariate Commodity Analysis and Applications to Risk Management Sending the Herd off the Cliff Edge Bank behaviour with access to credit risk transfer markets Bank behavior with access to credit risk transfer markets Business and Default Cycles for Credit Risk Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation Taking stock of risk management techniques for sovereigns Volatility forecasting for risk management Risk management in the UK insurance industry: the changing state of practice Non-stationarity and meta-distribution An Empirical Investigation in Credit Spread Indices Global and local stationary modelling in finance : theory and empirical evidence Multi-period conditional distribution functions for heteroscedastic models with applications to VaR Decision-Making under Scientific Uncertainty: The Economics of the Precautionary Principle Choice of Corporate Risk Management Tools under Moral Hazard Asset Price Dynamics with Value-at-Risk Constrained Traders The Froot and Stein Model Revisited Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations Hot And Cold Housing Markets: International Evidence Credit risk management in banks: Hard information, soft Information and manipulation Implied correlation from VaR A Stochastic Approach for the Quantification of Default Risk of OTC-Financial Derivatives Hedging crude oil imports in developing countries Hedging commodity price risks in Papua New Guinea Actuarial versus Financial Pricing of Insurance Robustness and sensitivity analysis of risk measurement procedures Is Corporate Bond Market Performance Driven by Stock Market Performance? Capital Asset Pricing model (CAPM) (book) See also   Assets pricing, risks, risks management Chaire Marché des Risques et Création de Valeur 2nd Forum International de la Recherche en Finance: "Risk Management and Financial Crisis" Asia-Pacific Financial Market PRisMa 2009: One-Day Workshop on Portfolio Risk Management Credit Default Swap Spreads and U.S. Financial Market: Investigating Some Dependence Structure ACCEPTED FOR PUBLICATION AS "INVESTIGATING THE DEPENDENCE STRUCTURE BETWEEN CREDIT DEFAULT SWAP SPREADS AND THE U.S. FINANCIAL MARKET" FRONTIERES EN FINANCE - PETIT DEJEUNER DE LA FINANCE - Static and dynamic properties of stochastic volatility models : a structural connection Chaire Dérivés du Futur Chaire Risques Financiers Chaire Assurance et Risques Majeurs Petit Déjeuner de la Finance Petit Déjeuner de la Finance 8th INTERNATIONAL PARIS FINANCE MEETING** Paris, December 16-17th 2010* LA REGULATION FINANCIERE EN EUROPE, état des lieux, projets et conséquences pour le financement des entreprises CALL FOR PAPERS - 4th Financial Risks International Forum (2011 session) - Deadline: November 28, 2010 Support and feedback: info@e-fern.org