Speaker: Prof. Marta Malecka, Dept. of Statistical Methods, Univ. of Lodz, Lodz, Poland Abstract: The reformed Basel framework has left value at risk (VaR) as a basic tool of validating […]

Speaker: Dr. Alejandro Rodriguez Dominguez, Director of Quantitative Analysis and Artificial Intelligence, Miralta Finance Bank, Madrid. Abstract: We introduce a novel framework for portfolio construction, covering both selection and optimization, […]

Speaker: Prof. Lorenzo Mercuri, Dept of Economics, Management and Quantitative Methods, Univ. of Milan Abstract: A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, […]

Speaker: Prof. Josep Vives, Department of Economical, Financial and Actuarial Mathematics, University of Barcelona Abstract: Let the log returns of an asset X(t) = log(S(t)) be defined on a risk […]