Archive of past events of the site Louvain Finance
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LFIN Seminar02 JunBeibei Yan (Shanghai University) will give a presentation on Value-relevance of crowdfunding risk factors topology: A topic modeling approachEn savoir plusLFIN Seminar02 JunBeibei Yan (Shanghai University) will give a presentation on Value-relevance of crowdfunding risk factors topology: A topic modeling approach
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LFIN Seminar26 MaySophie Moinas will give a presentation on Intermittent power generation and risk premia on electricity futures markets Abstract: We investigate the hidden financial costs of the increase in the share of intermittent renewable power generation in the electricity production mix.En savoir plusLFIN Seminar26 MaySophie Moinas will give a presentation on Intermittent power generation and risk premia on electricity futures markets Abstract: We investigate the hidden financial costs of the increase in the share of intermittent renewable power generation in the electricity production mix.
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LFIN Seminar19 MayArturo Leccadito (University of Calabria) will give a presentation on Predictive identification robust confidence sets with application to tail risk measures Abstract: This work proposes a novel method for constructing confidence sets for predictions in parametric or semi-parametric models, that are valid for out-of-sample inference and are identification-robust.En savoir plusLFIN Seminar19 MayArturo Leccadito (University of Calabria) will give a presentation on Predictive identification robust confidence sets with application to tail risk measures Abstract: This work proposes a novel method for constructing confidence sets for predictions in parametric or semi-parametric models, that are valid for out-of-sample inference and are identification-robust.
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Louvain Finance Day 202317 MayLouvain Finance Day – May 17th, 2023 The 2023 edition of the Louvain Finance Day will be dedicated to the role finance in view of the forthcoming climate and energy challenges. Please find here the detailed programme or download the programme (PDF). Jean Boissinot Banque de France Marie Cavitte FNRS & UCLouvainEn savoir plusLouvain Finance Day 202317 MayLouvain Finance Day – May 17th, 2023 The 2023 edition of the Louvain Finance Day will be dedicated to the role finance in view of the forthcoming climate and energy challenges. Please find here the detailed programme or download the programme (PDF). Jean Boissinot Banque de France Marie Cavitte FNRS & UCLouvain
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JOINT ISBA-LFIN SEMINAR12 MayTiziano Bellini (Prometeia) Model Risk Quantification in Commercial Banking: A Statistical Framework Abstract : A framework for quantifying model risks in commercial banking is proposed. Model Uncertainty is investigated from different angles with the aim to capture risks stemming from the model itself as well as its interaction with wider frameworks.En savoir plusJOINT ISBA-LFIN SEMINAR12 MayTiziano Bellini (Prometeia) Model Risk Quantification in Commercial Banking: A Statistical Framework Abstract : A framework for quantifying model risks in commercial banking is proposed. Model Uncertainty is investigated from different angles with the aim to capture risks stemming from the model itself as well as its interaction with wider frameworks.
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LFIN Seminar05 MayWolfgang Lemke (European Central Bank) will give a presentation on Natural rate chimera and bond pricing reality Abstract : We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics.En savoir plusLFIN Seminar05 MayWolfgang Lemke (European Central Bank) will give a presentation on Natural rate chimera and bond pricing reality Abstract : We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics.
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Belgian Financial Research Forum 202320 Apr21 AprThe 17th meeting of the Belgian Financial Research Forum (BFRF) will take place at the National Bank of Belgium in Brussels (Belgium) on April 20-21, 2023.En savoir plusBelgian Financial Research Forum 202320 Apr21 AprThe 17th meeting of the Belgian Financial Research Forum (BFRF) will take place at the National Bank of Belgium in Brussels (Belgium) on April 20-21, 2023.
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LFIN Seminar14 AprSicong (Allen) Li, London Business School will give a presentation on Asset-Pricing Factors with Economic Targets Abstract: We propose a method to estimate latent asset-pricing factors that incorporates economically motivated targets for both cross-sectional and time-series properties of the factors.En savoir plusLFIN Seminar14 AprSicong (Allen) Li, London Business School will give a presentation on Asset-Pricing Factors with Economic Targets Abstract: We propose a method to estimate latent asset-pricing factors that incorporates economically motivated targets for both cross-sectional and time-series properties of the factors.
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LFIN Seminar07 AprFarah Mugrabi (UCLouvain) will give a presentation on Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets Abstract: This paper aims to identify and date contagion by accounting for possibly distinct structural breaks among the covariance structure of financial assets.En savoir plusLFIN Seminar07 AprFarah Mugrabi (UCLouvain) will give a presentation on Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets Abstract: This paper aims to identify and date contagion by accounting for possibly distinct structural breaks among the covariance structure of financial assets.
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LFIN Seminar24 MarNestor Parolya, Delft University will give a presentation on Two is better than one: Regularized shrinkage of large minimum variance portfolios Abstract: In this paper we construct a shrinkage estimator of the global minimum variance (GMV) portfolio by a combination of two techniques: Tikhonov regularization and direct shrinkage of portfolio weights.En savoir plusLFIN Seminar24 MarNestor Parolya, Delft University will give a presentation on Two is better than one: Regularized shrinkage of large minimum variance portfolios Abstract: In this paper we construct a shrinkage estimator of the global minimum variance (GMV) portfolio by a combination of two techniques: Tikhonov regularization and direct shrinkage of portfolio weights.