RISKS 2018 Program
This conference run through all 2 days from 26 - 27 March 2018Work in progress, please come back soon to check the program
Day 1
Monday March 26, 2018
Day 2
Tuesday March 27, 2018
13:00 - 13:15
Registration
13:15 - 13:30
SALLE DES FÊTES
Welcome Address
Welcome Address by Jean-Michel BEACCO, Chairman, Institut Louis Bachelier (ILB), Marie BRIERE, Chairwoman of the Scientific Committee & Didier KLING, Chairman, Chambre de Commerce et d’Industrie de Région Paris Ile-de-France
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13:30 - 15:00
SALLE DES FÊTES
Plenary Session I – LONGEVITy RISK
Chairman: Stéphane LOISEL, Professor of Applied Mathematics, Lyon 1 University.
Guest speaker: David BLAKE, Professor of Finance, Cass Business School. Slides
“Longevity: A New Asset Class”
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Marine HABART, Head of Life Internal Model, Head of Retirement & PensionFunds, AXA Group.
Julien CHARTIER, Business Developer in Global Financial Solutions, Reinsure Group of America.
Guest speaker: David BLAKE, Professor of Finance, Cass Business School. Slides
“Longevity: A New Asset Class”
Panel session 1:
Marine HABART, Head of Life Internal Model, Head of Retirement & PensionFunds, AXA Group.Julien CHARTIER, Business Developer in Global Financial Solutions, Reinsure Group of America.
15:00 - 17:00
SALLE DES FÊTES
Parallel Sessions
Parallel session 1: Systemic Risk / Financial Stability
Chairman: Olivier DE BANDT, ACPR.
“Global Liquidity, Market Sentiment and Financial Stability Indices”, Natalia OSINA, Alliance Manchester Business School. Slides Paper
“Disastrous Defaults”, Jean-Paul RENNE, HEC Lausanne, Christian GOURIEROUX, University of Toronto and Toulouse School of Economics, Alain MONFORT, Crest and Banque de France, and Sarah MOUABBI, Banque de France. Slides Paper
Discussant: Jean-Cyprien HEAM, INSEE Slides
“Suppliers as Liquidity Providers: Concentration Risk in Trade Credit”, Joël PETEY, LARGE, Strasbourg University and EM Strasbourg, Michel DIETSCH, LARGE, Strasbourg University and ACPR, Anne-France DELANNAY. Slides Paper
“Who Supplies Liquidity, and When?”, Xin WANG , University of Illinois, Urbana-Champaign and Mao YE, University of Illinois, Urbana-Champaign and NBER. Slides Paper
Discussant: Sylvain BENOIT, Paris-Dauphine University. Slides
“Global Liquidity, Market Sentiment and Financial Stability Indices”, Natalia OSINA, Alliance Manchester Business School. Slides Paper
“Disastrous Defaults”, Jean-Paul RENNE, HEC Lausanne, Christian GOURIEROUX, University of Toronto and Toulouse School of Economics, Alain MONFORT, Crest and Banque de France, and Sarah MOUABBI, Banque de France. Slides Paper
Discussant: Jean-Cyprien HEAM, INSEE Slides
“Suppliers as Liquidity Providers: Concentration Risk in Trade Credit”, Joël PETEY, LARGE, Strasbourg University and EM Strasbourg, Michel DIETSCH, LARGE, Strasbourg University and ACPR, Anne-France DELANNAY. Slides Paper
“Who Supplies Liquidity, and When?”, Xin WANG , University of Illinois, Urbana-Champaign and Mao YE, University of Illinois, Urbana-Champaign and NBER. Slides Paper
Discussant: Sylvain BENOIT, Paris-Dauphine University. Slides
SALLE DES SEANCES
Parallel session 2: Techniques for Finance
Chairwoman: Monique JEANBLANC, Université d’Evry.
“Implied Volatility Phenomena as Market's Aversion to Risk”, Sergei SIYANKO, University College London, and Monique PONTIER, Institut Mathématiques de Toulouse. Slides Paper
“Hamiltonian Flow Simulation of Rare Events”, Shohruh MIRYUSUPOV, Paris 1 University Panthéon Sorbonne, Labex RéFi, and Raphaël DOUADY, Stony Brook University, CNRS, Paris 1 University Panthéon Sorbonne. Slides Paper
Discussant: Jocelyne BION-NADAL, Ecole Polytechnique.
“A Multi-Curve Random Field LIBOR Market Model”, Tao WU , Illinois Institute of Technology. Slides Paper
Discussant: Claudio FONTANA, Paris Diderot University. Slides
“Implied Volatility Phenomena as Market's Aversion to Risk”, Sergei SIYANKO, University College London, and Monique PONTIER, Institut Mathématiques de Toulouse. Slides Paper
“Hamiltonian Flow Simulation of Rare Events”, Shohruh MIRYUSUPOV, Paris 1 University Panthéon Sorbonne, Labex RéFi, and Raphaël DOUADY, Stony Brook University, CNRS, Paris 1 University Panthéon Sorbonne. Slides Paper
Discussant: Jocelyne BION-NADAL, Ecole Polytechnique.
“A Multi-Curve Random Field LIBOR Market Model”, Tao WU , Illinois Institute of Technology. Slides Paper
Discussant: Claudio FONTANA, Paris Diderot University. Slides
AUDITORIUM MERCURE
Parallel session 3: Longevity and Generation Effect
Chairman: Jean-Paul LAURENT, Paris I University Panthéon Sorbonne.
“Asset-Liability Management in Life Insurance: Evidence from France”, Victor LYONNET, HEC Paris and Ecole Polytechnique. Slides Paper
“Valuing Life as an Asset, as a Statistic, and at Gunpoint”, Florian PELGRIN, EDHEC Business School and CIRANO, Julien HUGONNIER, Ecole Polytechnique Fédérale de Lausanne, Swiss Finance Institute and CEPR, and Pascal SAINT-AMOUR, University of Lausanne, Swiss Finance Institute and CIRANO. Slides Paper
Discussant: Caroline HILLAIRET, CREST. Slides
“Geographical Diversification in Annuity Portfolios”, Elisa LUCIANO, University of Torino, Luca REGIS, University of Sienna, and Clemente DE ROSA, Scuola Normale Superiore Pisa. Slides Paper
Discussant: Victor LYONNET, HEC Paris and Ecole Polytechnique. Slides
“Asset-Liability Management in Life Insurance: Evidence from France”, Victor LYONNET, HEC Paris and Ecole Polytechnique. Slides Paper
“Valuing Life as an Asset, as a Statistic, and at Gunpoint”, Florian PELGRIN, EDHEC Business School and CIRANO, Julien HUGONNIER, Ecole Polytechnique Fédérale de Lausanne, Swiss Finance Institute and CEPR, and Pascal SAINT-AMOUR, University of Lausanne, Swiss Finance Institute and CIRANO. Slides Paper
Discussant: Caroline HILLAIRET, CREST. Slides
“Geographical Diversification in Annuity Portfolios”, Elisa LUCIANO, University of Torino, Luca REGIS, University of Sienna, and Clemente DE ROSA, Scuola Normale Superiore Pisa. Slides Paper
Discussant: Victor LYONNET, HEC Paris and Ecole Polytechnique. Slides
17:00 - 17:30
grande SALLE à manger
POSTER SESSION 1: Coffee Break
Chairman: Anmar AL WAKIL, Paris-Dauphine University.
“Predictive Distribution of Anticipative Alpha-Stable Markov Processes"
Sébastien FRIES, CREST.
“Market Risk and Volatility Weighted Historical Simulation After Basel III"
Jakob THOMAE, Conservatoire National des Arts et Métiers 2o Investing Inititiative.
"When Do Regulatory Hurdles Work?"
Susan THOMAS, IGIDR Bombay.
"Cybermapping Germany's Financial System"
Jan-Philipp BRAUCHLE, Deutsche Bundesbank.
"Testing the Japanese Listed Equity Market Alignment with the Paris Agreement - Energy Technology Diversification Assessment Relative to the IEA 2oC Scenario"
Hugues CHENET, 2Degrees Investing Initiative.
“Predictive Distribution of Anticipative Alpha-Stable Markov Processes"
Sébastien FRIES, CREST.
“Market Risk and Volatility Weighted Historical Simulation After Basel III"
Jakob THOMAE, Conservatoire National des Arts et Métiers 2o Investing Inititiative.
"When Do Regulatory Hurdles Work?"
Susan THOMAS, IGIDR Bombay.
"Cybermapping Germany's Financial System"
Jan-Philipp BRAUCHLE, Deutsche Bundesbank.
"Testing the Japanese Listed Equity Market Alignment with the Paris Agreement - Energy Technology Diversification Assessment Relative to the IEA 2oC Scenario"
Hugues CHENET, 2Degrees Investing Initiative.
17:30 - 18:30
SALLE DES FÊTES
Plenary Session II – Climate Risk
Chairman: Christian GOURIEROUX, Professor of Economics, University of Toronto and Toulouse School of Economics..
Guest speaker: Lars Peter HANSEN, University of Chicago, 2013 Nobel Prize in Economics. Slides
Guest speaker: Lars Peter HANSEN, University of Chicago, 2013 Nobel Prize in Economics. Slides
18:30
End of the day
08:00 - 08:30
Registration and Welcome Coffee
08:30 - 09:45
SALLE DES FÊTES
Plenary Session III – Cyber Risk and cyber security
Chairman: Michel CROUHY, Head of Research and Development, Natixis.
Guest Speaker: Ross ANDERSON, Professor of Security Engineering, Cambridge University
“Measuring the Cost of Cybercrime” Slides
Tom WILSON, Chief Risk Officer, Allianz Group. Slides
Gérôme BILLOIS, Partner in the Cybersecurity and Digital Trust practice, Wavestone. Slides
Guest Speaker: Ross ANDERSON, Professor of Security Engineering, Cambridge University
“Measuring the Cost of Cybercrime” Slides
Panel session 2:
Nicolas BOUROT, Chief Information Security Officer, Natixis. SlidesTom WILSON, Chief Risk Officer, Allianz Group. Slides
Gérôme BILLOIS, Partner in the Cybersecurity and Digital Trust practice, Wavestone. Slides
09:45 - 10:00
Grande salle à manger
Coffee BreaK
10:00 - 12:00
SALLE DES FÊTES
Parallel Sessions
Parallel session 4: Corporate Finance
Chairman: Jocelyn MARTEL, ESSEC.
“Financial Contracting as Behavior Towards Risk: The Corporate Finance of Business Cycles”, Robert KRAINER, University of Wisconsin-Madison. Slides
“Entry in Banking Markets”, Guillaume VUILLEMEY, HEC Paris and CEPR, and Marina TRAVERSA, HEC Paris. Slides Paper
Discussant: Aurélien VIOLON, ACPR. Slides
“The Impact of External Market Conditions on R&D Valuation”, Marie LAMBERT, HEC Liège, University of Liège, Manuel MORENO, University of Castilla La Mancha, and Frederico PLATANIA, Pôle Universitaire Leonard de Vinci. Slides Paper
“Can a Mimicking Synthetic Equity Structure Dominate the Risk Return Profile of Corporate Bonds?”, Edouard NOUVELLON and Hugues PIROTTE, Free University of Brussels. Slides Paper
Discussant: Diego RONCHETTI, Paris-Dauphine University. Slides
“Financial Contracting as Behavior Towards Risk: The Corporate Finance of Business Cycles”, Robert KRAINER, University of Wisconsin-Madison. Slides
“Entry in Banking Markets”, Guillaume VUILLEMEY, HEC Paris and CEPR, and Marina TRAVERSA, HEC Paris. Slides Paper
Discussant: Aurélien VIOLON, ACPR. Slides
“The Impact of External Market Conditions on R&D Valuation”, Marie LAMBERT, HEC Liège, University of Liège, Manuel MORENO, University of Castilla La Mancha, and Frederico PLATANIA, Pôle Universitaire Leonard de Vinci. Slides Paper
“Can a Mimicking Synthetic Equity Structure Dominate the Risk Return Profile of Corporate Bonds?”, Edouard NOUVELLON and Hugues PIROTTE, Free University of Brussels. Slides Paper
Discussant: Diego RONCHETTI, Paris-Dauphine University. Slides
SALLE DES SEANCES
Parallel session 5: Socially Responsible Investment
Chairwoman: Marie BRIERE, Amundi, Paris-Dauphine University and Free University of Brussels.
“BlackRock vs Norway Fund at Shareholder Meetings: Institutional Investors’ Votes on Corporate Externalities”, Sébastien POUGET, Toulouse School of Economics, Marie BRIERE, Amundi, Paris-Dauphine University and Free University of Brussels, and Loredana URECHE-RANGAU, CRIISEA and University of Picardie. Slides Paper
“Corporate Governance as a Key Driver of Corporate Sustainability in France: The Role of Board Members and Investor Relations”, Patricia CRIFO, Paris-Nanterre University, Ecole Polytechnique and CIRANO, Nicolas Mottis, Ecole Polytechnique, and Elena ESCRIG OLMEDO, University JaumeI. Paper
Discussant: Bert SCHOLTENS, University of Groningen.
“Does Ceo Inside Debt Mitigate Corporate Social Irresponsibility?”, Guanming HE, University of Durham and University of Warwick, and Long CHEN, George Mason University. Slides Paper
“A CSR Asset Pricing Model", Souad LAJILI JARJIR, Paris-Est University, Aya NASREDDINE, EBS University, and Marc DESBAN, Paris-Est University. Slides Paper
Discussant: Gunther CAPELLE-BLANCARD, Paris I University Panthéon Sorbonne.
“BlackRock vs Norway Fund at Shareholder Meetings: Institutional Investors’ Votes on Corporate Externalities”, Sébastien POUGET, Toulouse School of Economics, Marie BRIERE, Amundi, Paris-Dauphine University and Free University of Brussels, and Loredana URECHE-RANGAU, CRIISEA and University of Picardie. Slides Paper
“Corporate Governance as a Key Driver of Corporate Sustainability in France: The Role of Board Members and Investor Relations”, Patricia CRIFO, Paris-Nanterre University, Ecole Polytechnique and CIRANO, Nicolas Mottis, Ecole Polytechnique, and Elena ESCRIG OLMEDO, University JaumeI. Paper
Discussant: Bert SCHOLTENS, University of Groningen.
“Does Ceo Inside Debt Mitigate Corporate Social Irresponsibility?”, Guanming HE, University of Durham and University of Warwick, and Long CHEN, George Mason University. Slides Paper
“A CSR Asset Pricing Model", Souad LAJILI JARJIR, Paris-Est University, Aya NASREDDINE, EBS University, and Marc DESBAN, Paris-Est University. Slides Paper
Discussant: Gunther CAPELLE-BLANCARD, Paris I University Panthéon Sorbonne.
AUDITORIUM MERCURE
Parallel session 6: Insuring Extreme Risks
Chairman: Christian ROBERT, ISFA.
“Does Frugality Influence Firm Behavior? Evidence from Natural Disasters”, Matthew WYNTER, University of Chicago. Slides Paper
"The Influence of Sponsor Characteristics and (non-)Events on the Risk Premia of CAT Bonds", Tobias GÖTZE, and Marc GÜRTLER, Braunschweig Institute of Technology. Slides Paper
Discussant: Nicolas BARADEL, CREST. Slides
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“Does Frugality Influence Firm Behavior? Evidence from Natural Disasters”, Matthew WYNTER, University of Chicago. Slides Paper
"The Influence of Sponsor Characteristics and (non-)Events on the Risk Premia of CAT Bonds", Tobias GÖTZE, and Marc GÜRTLER, Braunschweig Institute of Technology. Slides Paper
Discussant: Nicolas BARADEL, CREST. Slides
"Reevaluation of the Capital Charge in Insurance After a Large Shock: Empirical and Theoretical Views", Fabrice BOREL-MATHURIN, ACPR Banque de France, Stéphane LOISEL, ISFA, and Johan SEGERS, Université Catholique de Louvain. Slides Paper
"Market Manipulation and Suspicious Stock Recommendations on Social Media", Thomas RENAULT, IESEG School of Management. Slides Paper
Discussant: Olivier David ZERBIB, Tilburg University, ISFA Lyon and I Care. Slides(1) Slides (2)
13:00 - 14:15
Buffet Lunch – GRANDE SALLE A MANGER
14:15 - 15:45
SALLE DES FÊTES
Parallel Sessions
Parallel session 7 - Training Session: Satellite Data and Applications to Finance
Chairman: Charles-Albert LEHALLE, Capital Fund Management (CFM). Slides
"Hands on Satellite Data to Monitor Biomass", Olivier TOURNAIRE, Capital Fund Management (CFM). Slides
"Using Satellite Imagery to Monitor Crude Oil Supply Chain and Anticipate Market Movements", Antoine ROSTAND, Kayrros. Slides
"Perspectives in High Resolution Satellite Image Processing and 3D Surface Modelling", Gabriele FACCIOLO, CMLA, ENS Paris Saclay. Slides
"Hands on Satellite Data to Monitor Biomass", Olivier TOURNAIRE, Capital Fund Management (CFM). Slides
"Using Satellite Imagery to Monitor Crude Oil Supply Chain and Anticipate Market Movements", Antoine ROSTAND, Kayrros. Slides
"Perspectives in High Resolution Satellite Image Processing and 3D Surface Modelling", Gabriele FACCIOLO, CMLA, ENS Paris Saclay. Slides
SALLE DES SEANCES
Parallel session 8 - Training Session: Textmining and Pattern Recognition for Asset Management
Chairman: Romuald ELIE, Université Paris Est. Slides
"Textmining Using Social Media Data for Asset Pricing", Thomas RENAULT, IESEG & LabEx ReFi. Slides
"Supervised and Online Learning on Extra-Financial Massive Data for Asset Management", Christophe GEISSLER, Advestis. Slides
"Textmining Using Social Media Data for Asset Pricing", Thomas RENAULT, IESEG & LabEx ReFi. Slides
"Supervised and Online Learning on Extra-Financial Massive Data for Asset Management", Christophe GEISSLER, Advestis. Slides
AUDITORIUM MERCURE
Parallel session 9 - Training Session: Green DataLab : using innovative data tools to drive green finance
Chairmen: Peter TANKOV, ENSAE and Stéphane VOISIN, Institut Louis Bachelier. Slides"Using AI and Geo-Referencing to Drive Climate Change in France", Grégory LABROUSSE, CEO, nam.R.
"Net Environmental Contribution (NEC) Rating to Assess Energy and Ecological Transition of Company’s Activities", Jean-Guillaume PELADAN, Head of Environmental Research and Management, Sycomore AM. Slides
“Open Data and Sustainability Data Sets to Build ESG Integration Frameworks", Lise MORET, Head of ESG Quantitative Research, AXA IM. Slides
Q&A Session with Louis BOULANGER, Head of ILB DataLab.
15:45 - 16:15
GRANDE SALLE A MANGER
POSTER SESSION 2: Coffee Break
Chairman: Franscesco VIOLANTE, CREST.“Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries"
Mikhail STOLBOV, MGIMO-University.
“Cross-Border M&As and Credit Risk: Evidence from the CDS Market"
Burcin COL, Pace University.
“Changing Colors: Adaptive Capacity of Companies in the Context of a Transition to a Low Carbon Economy"
Laura RAMIREZ, 2° Investing Initiative.
“Political Influence on Bank Performance and Lending in African Countries"
Imen KOUKI, Institut Supérieur de Gestion de Tunis
“Financial Constraints and Future Stock Price Crash Risk"
Guanming HE, University of Durham and University of Warwick.
16:15 - 18:15
SALLE DES FÊTES
Parallel Sessions
Parallel session 10: Climate Risk
Chairman: Jean BOISSINOT, General Directorate of the Treasury.
"Dead on Arrival? Implicit Stranded Assets in Leading IAM Scenarios", Alexander PFEIFFER, University of Oxford, Adrien VOGT-SCHILB, Inter-American Development Bank, Daniel J. TULLOCH and Cameron HEPBURN, University of Oxford. Slides Paper
"Scenarios for Wind-Solar Energy Mix in Italy from Regional Climate Simulations", Anna CRETI, Ecole Polytechnique and Paris-Dauphine University, Silvia CONCETTINI, Université de Tours and Ecole Polytechnique, Marc STEFANON, Philippe DROBINSKI and Jordi BADOSA, Ecole Polytechnique and Paris-Saclay University, Claudia D'AMBROSIO, Ecole Polytechnique and Paris-Saclay University, Dimitri THOMOPULOS and Peter TANKOV, CREST and Ecole Polytechnique. Slides Paper
Discussant: René AÏD, Paris-Dauphine University Slides
"Managing Risks and Opportunities of Weather Variability", Jean-Louis BERTRAND, ESSCA School of Management and Xavier BRUSSET, UCA, Skema Business School. Slides
Discussant: Stéphanie MONJON, Paris-Dauphine University. Slides
"Dead on Arrival? Implicit Stranded Assets in Leading IAM Scenarios", Alexander PFEIFFER, University of Oxford, Adrien VOGT-SCHILB, Inter-American Development Bank, Daniel J. TULLOCH and Cameron HEPBURN, University of Oxford. Slides Paper
"Scenarios for Wind-Solar Energy Mix in Italy from Regional Climate Simulations", Anna CRETI, Ecole Polytechnique and Paris-Dauphine University, Silvia CONCETTINI, Université de Tours and Ecole Polytechnique, Marc STEFANON, Philippe DROBINSKI and Jordi BADOSA, Ecole Polytechnique and Paris-Saclay University, Claudia D'AMBROSIO, Ecole Polytechnique and Paris-Saclay University, Dimitri THOMOPULOS and Peter TANKOV, CREST and Ecole Polytechnique. Slides Paper
Discussant: René AÏD, Paris-Dauphine University Slides
"Managing Risks and Opportunities of Weather Variability", Jean-Louis BERTRAND, ESSCA School of Management and Xavier BRUSSET, UCA, Skema Business School. Slides
Discussant: Stéphanie MONJON, Paris-Dauphine University. Slides
SALLE DES SEANCES
Parallel session 11: Equity Factors and Momentum
Chairwoman: Gaelle LE FOL, Paris-Dauphine University.
"Cross-Sectional Dispersion and Expected Returns", Thanos VEROUSIS, Newcastle University and Nikolaos VOUKELATOS, University of Kent. Slides Paper
"Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies", Paul JUSSELIN, Ecole Polytechnique, Thierry RONCALLI, Hassan MALONGO, Edmond LEZMI, Come MASSELIN, Amundi Asset Management, and Tung-Lam DAO, Independent Researcher Paris. Slides Paper
Discussant: Guillaume SIMON, Capital Fund Management (CFM). Slides
"Partial Moment Momentum", Stephen SATCHELL, University of Sydney Business School and University of Cambridge, Yang GAO and Henry LEUNG, University of Sydney Business School. Slides Paper
"Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies", Terri VAN DER ZWAN, Patrick TUIJP and Erik HENNINK, ORTEC Finance. Slides Paper
Discussant: Sofia RAMOS, Essec Business School. Slides(1) Slides(2)
"Cross-Sectional Dispersion and Expected Returns", Thanos VEROUSIS, Newcastle University and Nikolaos VOUKELATOS, University of Kent. Slides Paper
"Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies", Paul JUSSELIN, Ecole Polytechnique, Thierry RONCALLI, Hassan MALONGO, Edmond LEZMI, Come MASSELIN, Amundi Asset Management, and Tung-Lam DAO, Independent Researcher Paris. Slides Paper
Discussant: Guillaume SIMON, Capital Fund Management (CFM). Slides
"Partial Moment Momentum", Stephen SATCHELL, University of Sydney Business School and University of Cambridge, Yang GAO and Henry LEUNG, University of Sydney Business School. Slides Paper
"Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies", Terri VAN DER ZWAN, Patrick TUIJP and Erik HENNINK, ORTEC Finance. Slides Paper
Discussant: Sofia RAMOS, Essec Business School. Slides(1) Slides(2)
AUDITORIUM MERCURE
Parallel session 12: Robustness of Risk Measures
Chairman: Jean-Michel ZAKOIAN, CREST.“Is More Data Always Better? Optimal Data Usage in Non-Stationary Systems”, Jakob KRAUSE, Martin Luther University. Slides Paper
“The Dispersion Bias”, Alexander SHKOLNIK, Lisa GOLDBERG and Alex PAPANICOLAOU, University of California. Slides Paper
Discussant: Jeroen ROMBOUTS, Essec Business School. Slides
"Estimation Risk for the VaR of Portfolios Driven by Semi-Parametric Multivariate Models", Jean-Michel ZAKOIAN, and Christian FRANCQ, Lille University and CREST. Slides Paper
Discussant: Serge DAROLLES, Paris-Dauphine University. Slides
18:15