+ Ajouter à ma sélection Appel à projets : Stress test et prévisions en finance 13 Nov. 2014 Actualités #gestion des risques Sur quels scénarios et prévisions appuyer les décisions d’investissement ? Tel sera le thème de la 8eme édition du Financial Risks International Forum, organisé par l’Institut Louis Bachelier les 30 et 31 mars 2015. Les candidatures sont ouvertes. CALL FOR PAPERS The Financial Risks International Forum on “Scenarios, Stress and Forecasts in Finance” is an International Research Forum for academics and professionals organized by The Louis Bachelier “Finance and Sustainable Growth” Laboratory. We invite academics, professionals and regulators to submit papers for this meeting which will take place in Paris on March 30 & 31, 2015. The aim of this conference is to highlight the methodological and regulatory challenges posed by the question of making scenarios, stress tests and forecasts in finance. Stress testing is becoming a widely used tool, not only for risk management, but also to assess global vulnerabilities in a financial system. Regulatory guidelines on stress testing require financial institutions to build models and make scenarios for macro and micro stress testing. Accurately forecasting and making an optimal use of these forecasts for investment decisions pose renewed challenges to the investment management industry. A non limitative list of topics of interest is given below: Economic scenario generation, deterministic versus stochastic scenarios, energetic, climatic, longevity scenarios Scenarios of interconnections, stress on networks, exogenous shocks versus contagion Systemic stress testing, bank stress tests, regulation and scenarios, solvency tests Stress scenarios for large scale risk models, coherent stresses of historical and risk neutral probabilities Intensive simulations for risk evaluation, sampling importance resampling Integration of stress test results with probabilistic risk measures Forecasting cycles, speculative bubbles, switching regimes, multivariate stochastic volatility Forecasting with mixed frequencies, MIDAS, Nowcasting Forecasting of extreme events, long horizon forecasts, term structure of predictions Evaluation of forecast accuracy, risk of forecasting model, model at risk, backtesting Performance persistence of investors, dynamic portfolio choice under return predictability PAPER SUBMISSION A complete paper in PDF format must be submitted electronically by December 1, 2014 using the submission form. [Click here to submit your paper] The results of the selection procedure will be set by mid-January 2015. For any inquiry: email@example.com EXPENSES The Institut Louis Bachelier may cover part of travel and accommodation expenses for the authors of selected papers (upon request and only for speakers).