9:00 am Registration
9:20 am Opening address by G. LE FOL (Dauphine and Scientific Director of QMI)
9:30– 11:00 am Invited Session 1
– “Structural Dynamic Analysis of Systematic Risk”, L. Clavet, V. Czellar, and C. Gouriéroux(Univ. Toronto, CREST & QMI)
Discussant: Tba
– “Strategic Interaction between Hedge Funds and Prime Brokers”, N. Gerasimova, and E. Jondeau (HEC Lausanne)
Discussant: O. Toutain (Banque de France) 
11:30 – 12:30 pm Keynote session 1
– “Identifying Contagion”, M. Dungey (Univ. Of Tasmania) and E. Renault
12:30 – 2:00 pm Lunch break
2 : 00 – 3 : 30 pm Invited Session 2
– “Transparency Regime Initiatives and Liquidity in the CDS Market”, A. Fulop (ESSEC Business School) and L. Lescourret
Discussant: J. Dudek (Lutetia Capital and QMI)
– “Does Central Clearing affect Price Stability? Evidence from the Nordic Equity Markets”, A. Menkveld, E. Pagnotta , and M. Zoican (Univ. Paris – Dauphine and QMI)
Discussant: G. Mero (Univ. Cergy-Pontoise and QMI)
3:30 – 4:00pm Coffee break
4:00 – 5:00 pm Invited Session 3
– “Portfolio rho-presentativity”, T. Froidure (TOBAM)
– “Returns drives for CTAs : Is volatility beneficial for CTAs? “, R. Molinero (Molinero Capital)
5 : 00 – 6:00 pm Keynote Session 2
– “TBA”, R. Cont (Imperial College of London)
7 : 00 – 8 : 30 pm

Panel Session, co-organized by the Master 203 – Financial Markets, (in French) “Liquidity and Funding risks”, with the participation of :
– E. Brard, (Global Head of Fixed Income at Amundi)
– P. Guillot (Executive Director of the Markets Directorate at AMF)
– S. Giordano (Chairman of AMAFI)

Registration and informations 

Organisateur

  • QMI

Lieu

Université Paris Dauphine Place du Maréchal de Lattre de Tassigny, Paris, Paris 75016 France