Workshop on

Financial risks and related problems

As a networking platform, this seminar aims to promote academic exchange between Japanese and Swiss scholars through discussion over issues of common interest. The seminar is intended to lay a foundation for future academic cooperation between Kyoto and Zurich (ETH and University) in the area of advanced finance and risk management.

Keywords: finance, risk, uncertainty, asset prices, portfolio selection, capital adequacy, regulation, liquidity, information criterion

Date: November 21, 2013
Start: 09.55
End: 17.30
Location: KOL-G-217, University of Zurich, Map


09.55-10.00Opening and Welcome:
Prof. Dr. Walter Farkas and Prof. Dr. Chiaki Hara (Organizers)
10.00-10.30Asset demand and ambiguity aversion:
Prof. Dr. Chiaki Hara
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10.30-11.00Large scale multivariate non-elliptical asset return density prediction and fast portfolio construction:
Prof. Dr. Marc Paolella
11.00-11.30Coffee Break
11.30-12.00Some ideas on bubbles:
Prof. Dr. Martin Schweizer
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12.00-12.30A simple specification test for ergodic Markov processes:
Prof. Dr. Yoshihiko Nishiyama
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12.30-14.00Lunch Break
14.00-14.30When roll-overs do not qualify as numéraire: bond markets beyond short rate paradigms:
Prof. Dr. Josef Teichmann
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14.30-15.00A macroeconomic model of liquidity crisis:
Prof. Dr. Tomoyuki Nakajima
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15.00-15.30Risk measures with defaultable reference assets:
Prof. Dr. Walter Farkas
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15.30-16.00Coffee Break
16.00-16.30Hedging in markets with model ambiguity:
Prof. Dr. Mete Soner
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16.30-17.00Recursive segmentation procedure based on the Akaike information criterion test: an application to multivariate financial time series:
Prof. Dr. Aki-Hiro Sato
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17.00-17.30Financial markets: behavioral equilibrium and evolutionary dynamics:
Prof. Dr. Thorsten Hens
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19.00Joint dinner