Workshop: Dependence modeling tools for risk management

October 2-5, 2017

Program
 

Monday, October 2, 2017
08:30 - 08:50
Registration and Coffee & Croissants


Meeting room(s) : 6254

08:50 - 09:00
Welcoming Address: Johanna Nešlehová (McGill University)

Session - Statistical inference for copula models
Meeting room(s) : 6254

09:00 - 10:00
Christian Genest
(McGill University)
Rank-Based Inference Tools for Copula Regression, with Insurance Applications
Abstract
10:00 - 10:30
Coffee break
10:30 - 11:15
Axel Bücher
(Ruhr-Universität Bochum)
On a Pseudo-Maximum Likelihood Estimator for the Extremal Index
Abstract
11:15 - 12:00
Stanislav Volgushev
(University of Toronto)
Copula Based Spectral Analysis
Abstract

12:00 - 14:00
Lunch break

Session - Dependence modeling and quantification
Meeting room(s) : 6254

14:00 - 15:00
Harry Joe
(University of British Columbia)
Tail-Weighted Dependence Measures and Estimation of Joint Tail Probabilities
Abstract
15:00 - 15:30
Coffee break
15:30 - 16:15
Claudia Czado (Technische Universität München)
Thomas Nagler (Technische Universität München)
D-vine Quantile Regression
Abstract
16:15 - 17:00
Andrew D. Smith
(University College Dublin)
Polynomial Correlations: New Tools for Dependency Calibration
Abstract
17:00 - 18:00
Poster Introductions - 1: (S. Chatelain, E. Hoque, B. Jasiulis-Goldyn, S. Perreault, E. Perrone, A. Prasad, T. Vatter)

18:00 - 19:30
Poster Session - 1 and Welcome Reception

 

Tuesday, October 3, 2017
08:30 - 09:00
Coffee & Croissants

Session - Network / Graphical models - Dependence modeling in econometrics
Meeting room(s) : 6254

09:00 - 10:00
Steven Weber
(Leibniz Universität Hannover)
Models and Measures of Systemic Risk
Abstract
10:00 - 10:30
Coffee break
10:30 - 11:15
Luitgard Veraart
(London School of Economics)
Adjustable Network Reconstruction with Applications to CDS Exposures
Abstract
11:15 - 12:00
Paola Cerchiello
(University of Pavia)
Addressing Systemic Risk with Financial and Textual Data via a Gaussian Graphical Model
Abstract

12:00 - 14:00
Lunch break

Session - Dependence modeling in insurance
Meeting room(s) : 6254

14:00 - 15:00
Étienne Marceau
(Université Laval)
On Recent Construction Approaches of Hierarchical Archimedean Copulas
Abstract
15:00 - 15:30
Coffee break
15:30 - 16:15
Stéphane Loisel
(Université Claude Bernard Lyon 1)
On Discrete Schur-Constant Vectors, with Applications
Abstract
16:15 - 17:15
Poster Introductions - 2: (K. Abduraimova, M.A. Alba Acosta, J. Engel, A. Hüttner, H. Lennon, E. Levi, P. Li)
17:15 - 18:45
Poster Session - 2

19:00
Banquet at Le Cercle (HEC Montréal)

 

Wednesday, October 4, 2017
08:15 - 08:45
Coffee & Croissants

Session - Spatio-temporal dependence models
Meeting room(s) : 6254

08:45 - 09:45
Philippe Naveau
(CEA-Orme des Merisiers)
An Entropy-based Test for Multivariate Extreme Value Models
Abstract
09:45 - 10:15
Coffee break
10:15 - 11:00
Gianfausto Salvadori
(Università del Salento)
(Multivariate) Anatomy of a Climate-Hydrology Model: How Well Does it Perform?
Abstract
11:00 - 11:45
András Bárdossy
(Universität Stuttgart)
Dependence of Extremes in Space and Time
Abstract
11:45 - 12:30
Benedikt Gräler
(52 North Initiative for Geospatial Open Source Software GmbH)
Modelling Extremes with Local Spatial and Spatio-Temporal Vine Copulas
Abstract

Afternoon: Joint social activity and informal scientific exchange

 

Thursday, October 5, 2017
08:00 - 08:30
Coffee & Croissants

Session - Dependence modeling in econometrics
Meeting room(s) : 6254

08:30 - 09:30
Andrew Patton
(Duke University)
Estimation and Inference for Large Panel Copula Models
Abstract
09:30 - 10:00
Coffee break
10:00 - 10:45
Bruno Rémillard
(HEC Montréal)
Testing Hypotheses for the Copula of Dynamic Models
Abstract
10:45 - 11:30
Marc Paolella
(University of Zürich)
Robust Normal Mixtures for Financial Portfolio Allocation
Abstract

11:30 - 13:00
Lunch break

Session - Computational issues and inferential challenges
Meeting room(s) : 6254

13:00 - 14:00
Marius Hofert
(University of Waterloo)
Aspects of Copula Modeling in R: Selected Examples from Computational Risk Management
Abstract
14:00 - 14:45
Ivan Kojadinovic
(Université de Pau et des Pays de l’Adour)
Adapting Some Copula Inference Procedures to the Presence of Ties
Abstract
14:45 - 15:00
Closing remarks

15:00 - 15:30
Coffee & good-bye

Last modified : Tuesday, September 19, 2017 09:43