Note: Authors can update the version of their paper(s) on this webpage by sending it directly to: Ravi Chandra Ragampeta
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PARTICIPANTS
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PAPERS
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PPT Slides
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Bedendo .M , Bruno .B
Email: mascia.bedendo@unibocconi.it
Credit Risk Transfer Practices in US Commercial Banks
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Bryce Cormac, Webb Robert and Adams Jennifer
Email: cormac.bryce@gcal.ac.uk
Internal loss data collection implementation: Evidence
from a large UK financial institution
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Casassus Jaime, Aldunate Felipe
Email: jcasassus@uc.cl
Consumption and hedging in oil-importing
developing countries
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Chernobai Anna, Jorion Philippe and Yu Fan
Email: annac@syr.edu
The Determinants of Operational Losses
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Coggins Frank, Chretien Stephane Jerry
Email: Frank.Coggins@usherbrooke.ca
Performance and Conservatism of Monthly FHS VAR: An International Investigation
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Copeland Laurence, Wong K Woon
Jerry
Email: copelandL@cf.ac.uk
Risk Measurement and Management in a Crisis-Prone
World
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Cumming Douglas
Email: douglas.cumming@gmail.com
Hedge Fund Regulation and Misreported Returns
World
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Dalla Pellegrina Lucia
Email: lucia.dallapellegrina@unibocconi.it
Capital Adequacy Ratios, Efficiency and
Governance: a Comparison Between Islamic and
Western Banks
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Dionne Georges, Dahen Hela
Email: georges.dionne@hec.ca
What about Underevaluating Operational Value at Risk in the Banking Sector?
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Drobetz Wolfgang, Bessler Wolfgang, Erdmann Thomas and Zimmermann Heinz
Email: wolfgang.drobetz@wiso.uni-hamburg.de
Predictability in the cross-section
of European bank stock returns
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Fabozzi Frank, Chen Ye, Rachev Svetlozar and Sun Wei
Email: frank.fabozzi@yale.edu
Measuring Intra-Daily Market Risk: A Neural Network Approach
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Hutchinson Mark, Gallagher Liam
Email: m.hutchinson@ucc.ie
Regime Change and Convertible Arbitrage Risk
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Jaiswal-Dale Ameeta, Consolandi Costanza
Email: a9jaiswal@stthomas.edu
US Financial Institutions: Reputational Risk and Senior Management Sell Decisions
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Le Courtois Olivier, Quittard-Pinon Francois and Bernard Carole
Email: lecourtois@em-lyon.com
Protection of Life Insurance Companies
in a Market-Based Framework
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Madaleno Mara, Pinho Carlos
Email: maramadaleno@ua.pt
The hedging e¤ectiveness of electricity futures
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Masulis Ronald, Randall S. Thomas
Email:ronald.masulis@owen.vanderbilt.edu
Does Private Equity Create Wealth?
The Effects of Private Equity and Derivatives on Corporate Governance
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Moles Peter, Clunie James and Gao Yuan
Email:Peter.Moles@ed.ac.uk
CAVEAT VENDITOR – CROWDED EXITS!
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Perignon Christophe, Smith Daniel
Email: perignon@hec.fr
The Level and Quality of Value-at-Risk
Disclosure by Commercial Banks
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Petitjean Mikael, Laurent Sebastien and Giot Pierre
Email: mikael.petitjean@fucam.ac.be
Trading activity, realized volatility and jumps
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PLUNUS Séverine, PETERS Jean-Philippe and HÜBNER Georges
Email: splunus@ulg.ac.be
Measuring operational risk in financial institutions: Contribution of credit risk modelling
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Pop Adrian, Hamalainen Paul, Hall Max
Email: adrian.pop@univ-nantes.fr
Did the Market Signal Impending Problems at
Northern Rock? An Analysis of Four Financial
Instruments
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Racicot François-Éric, Théoret Raymond
Email: francoiseric.racicot@uqo.ca
Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with
an application to Hedge Fund Returns
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Ruenzi Stefan, Ciccotello Conrad
Email: stefan.ruenzi@mccombs.utexas.edu
Does Team Management Reduce Operational Risk?
Evidence from the Financial Services Industry
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Silipo Damiano, Drago Danilo and Agostino Mariarosaria
Email: silipo@unical.it
The Value Relevance of IFRS
in the European Banking Industry
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Six Pierre, Attaoui Sami
Email: pierre.six@univ-paris1.fr
Commodity derivatives pricing with an endogenous
convenience yield market price of risk
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Strom R.Oystein, Roy Mersland
Email: reidar.o.strom@hiof.no
Microfinance mission drift?
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Sy Malick, Nguyen Lan, Ming Yu Cheng
Email: Malick.sy@rmit.edu.au
Performance Persistence of Monthly
Returns Across Strategies:
A Study on Asian Hedge Funds
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Tabak Benjamin, Souto Marcos and Barnhill Theodore
Email: benjamin@ucb.br
Offsite Bank Supervision Analysis of Bank Profitability, Risk, and Capital
Adequacy: A Portfolio Simulation Approach Applied to a Set of Brazilian Banks
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Terraza Virginie, Toque Carole
Email: carole.toque@uni.lu
Funds Rating: The predictive power
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Weiss Gregor
Email: weiss@ikf.ruhr-uni-bochum.de
Analysing Contagion and Bailout E ects with
Copulae - The Case of Germany's IKB
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Wilhelmsson Anders, Nyberg Peter
Email: anders.vilhelmsson@nek.lu.se
Measuring Event Risk
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Wu Zhenyu, Li Yuanshun, Ding Shujun and Jia Chunxin
Email: wu@edwards.usask.ca
Enterprise Risk Management and Financial Stability
in Dual-Board Corporate Governance System
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Xie Yan Alice, Qi Howard, Liu Sheen and Wu Chunchi
Email:yanxie@umd.umich.edu
Inferring Default Correlation from Equity Return Correlation
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Yanou Ghislain
Email:ghislain.yanou@malix.univ-paris1.fr
Extension of Random Matrix Theory to the
L-moments for Robust Portfolio Allocation
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