Chairman: Bertrand VILLENEUVE, CREST - University Paris-Dauphine

Pricing and Hedging Basis Risk Under No Good Deal Assumption
Emmanuel TEMAM and Laurence CARASSUS, Paris VII University

Wild Bootstrap Inference on Long-Run Linkages between The CDS and Credit Spreads
Silika PROHL and Rajna GIBSON, Swiss Banking Institute, University of Geneva

Global Housing Market Contagion
Olfa KAABIA and Catherine BRUNEAU, Paris X University, Robert VERMULEN, University of Luxembourg and Maastricht University

Is There a Correlation Between Sovereign Rating Dynamic and Financial Markets? An Event Study Analysis at the Level of The CEE Countries
Petre BREZEANU and Cristina MARIA, National Bank of Roumania

Correlation under Stress in Normal Variance Mixture Models
Natalie PACKMAN, Frankfurt School of Finance & Management, Michael KALKBRENER, Deutsche Bank AG

The Black-Litterman Model: Wrong Views versus Opportunity Cost
Ghislain YANOU, Paris I University

A Centile Regression Approach for Crisis Analysis
Benjamin HAMIDI, Eric JONDEAU, HEC Lausanne, Bertrand MAILLET, Paris I University

Asymmetric CAPM Dependence for Large Dimensions: The Canonical Vine Autoregressive Model
Andreas HEINEN, Carlos III University, Alfonso VALDESOGO, University of Luxembourg

Expected Returns Across Time Scales
Christophe BOUCHER and Bertrand MAILLET, ABN AMRO and Paris I University

A Representation of The Credit Dependency Using Marginal Probability of Defaults
Cyril PAPADACCI and Olivier TOUTAIN, Moody’s

Risk Asymptotics of Large Portfolios
Mesrop JANUNTS, Cass Business School, University of Neuchatel, Eric JONDEAU, HEC Lausanne and Swiss Finance Institute

Chairman: Frédéric ABERGEL, Ecole Centrale Paris

Multi-Factor Econometric Nelson-Siegel Model for Interest Rates
Julien TURC, Sandrine UNGARI, Société Générale, Changyin HUANG, Ecole Polytechnique

Information Flow between Stock Return and Trading Volume: The Tunisian Stock Market,
Kais TISSAOUI and Chaker ALOUI, International Finance Group and University of Tunis

Bank Runs and Costly Information Signals
Maria SEMENOVA, Higher School of Economics, Moscow

Computing VaR and CVaR using Stochastic Approximation and Adaptive Unconstrained Importance Sampling
Noufel FRIKHA, Gilles PAGES and Olivier BARDOU, University Pierre and Marie Curie, GDF SUEZ

A Spot Stochastic Recovery Extension of the Gaussian Copula
Jérôme MAETZ, Norddine BENNANI, Barclays Capital

The Extreme Value-at-Risk and the Time Horizon
Denis DUPRE, Gilles SANFILIPPO and Lanciné KOUROUMA, University Pierre Mendes-France

Copula Structural Shift Identification
Henry PENIKAS and Boris BRODSKY, State University, Moscow

Correlations
Christian HEYERDAHL-LARSEN, SIFR - Institute for Financial Research, Paul EHLING, BI Norwegian School of Management,

Foreign Banks, Corporate Strategy and Financial Stability: Lessons from The River Plate
Michael BREI, University Evry Val d’Essonne, Carlos WINOGRAD, Paris School of Economics and University Evry Val d’Essonne

Are Banking Systems Increasingly Fragile? Investigating Financial Institution’ CDS Returns Extreme Co-Movements
Dima RAHMAN, ECONOMIX – CNRS

Modeling Dependence Using Skew t-Copulas: Bayesian Inference and Application
Quan GAN, University of Sydney, Michael SMITH, University of Melbourne, Robert KOHN, University of New South-Wales

On Break-Even Correlation: The Way to Price Structured Credit Derivatives by Replication
Jean-David FERMANIAN, BNP-Paribas & CREST, Olivier VIGNERON, JP-Morgan

(**) Poster sessions are effective means of conveying information. Poster’s visual aspects and the presenter’s verbal explanations work together to get the material across quickly