Welcome to the Finance-Insurance Group. We are a group of driven researchers specialized in the quantitative analysis of finance and insurance problems. The group has accompanied the growth of CREST since its creation, and is now composed of 7 permanent researchers, 2 emeritus professors and 10 PhD students, plus several affiliates from Parisian Universities and Business Schools.
We publish in the top international journals in our field (Econometrica, Management Science, Journal of Econometrics, Mathematical Finance, Finance & Stochastics, J. of Financial Econometrics, Insurance: Mathematics & Economics, etc), regularly participate in major international conferences and organize specialized conferences and seminars.
Our research encompasses a wide spectrum of fields in finance and actuarial science : financial econometrics, mathematical finance, risk management, green finance, etc. Historical topics of the Group include among others: i) the study of GARCH-type models, ii) Portfolio optimization, iii) the Econometrics of conditional risks, iv) Regulation, systemic risks and contagion, v) Dependence modeling and copulas.
We also aim at developing new areas of research, like those related to emerging risks (cyber-risks, environmental risks, longevity risks), new markets (in particular, in the energy sector), new models (e.g., for environmental economics), new types of data (e.g., high-frequency data and integer-valued financial time series), or new statistical approaches (e.g., machine learning techniques, or the use of noncausal models for bubble prediction).
Additionally, we aim at creating a stimulating learning and research environment for students in Finance and Actuarial Science, in particular at the Master and PhD levels. Beyond the academic research, we are also motivated by applications to real problems and have developed links with the finance and insurance industry, in particular through research Chaires.
- MarFinance, Financial Econometrics, Seminars>
07Davide LA VECCHIA (University of Geneva) “GLAMLE: INFERENCE FOR MULTIVIEW NETWORK DATA IN THE PRESENCE OF LATENT VARIABLES, WITH APPLICATION TO COMMODITIES TRADING”
10:00 AM - 11:00 PM - MarFinance, Financial Econometrics, Seminars>
07Jeroen ROMBOUTS (ESSEC)
“Modeling Higher Moments and Risk Premiums for S&P 500 Returns”
11:00 AM - 12:00 PM - MarFinance, Quantitative Sustainable Economics and Finance, Quantitative Sustainable Economics and Finance, Seminars>
21Julien Daubanes, Technical University of Denmark (DTU Management) “Do Markets Price the Sensitivity of Economic Oil Reserves?”
10:30 AM - 11:30 AM - MarFinance, Quantitative Sustainable Economics and Finance, Quantitative Sustainable Economics and Finance, Seminars>
21Andra Anoica (BNP), “GHG footprint model and validation”
11:30 AM - 12:30 PM - MarFinance, Financial Econometrics, Seminars>
28Benjamin POIGNARD (Osaka University)
“Factor multivariate stochastic volatility models”
11:00 AM - 12:00 PM - AprFinance, Financial Econometrics, Seminars>
04Andre LUCAS (VU Amsterdam) “Consistency, distributional convergence, and optimality of score-driven filters
10:00 AM - 11:00 PM - AprFinance, Financial Econometrics, Seminars>
04Leopoldo CATANIA (Aarhus University) ” A new way to Regime Switching Autoregressions
11:00 AM - 12:00 PM - AprFinance, Quantitative Sustainable Economics and Finance, Seminars>
25Frederick VAN DER PLOEG (University of Oxford) “Battle of the Markups : Conflict Inflation and the Aspirational Channel of Monetary Policy Transmission”
11:30 AM - 12:30 PM - MayFinance, Financial Econometrics, Seminars>
16Stefan VOIGT (Univ. of Copenhagen) “t.b.a.”
10:00 AM - 11:00 PM - MayFinance, Financial Econometrics, Seminars>
16Jose OLMO (Univ. of Zarragoza) “t.b.a.”
11:00 AM - 12:00 PM - MayFinance, Financial Econometrics, Seminars>
23Susana CAMPOS-MARTIN (Oxford University) “t.b.a.”
10:00 AM - 11:00 PM - MayFinance, Financial Econometrics, Seminars>
23Siem Jan KOOPMAN (VU Amsterdam) “t.b.a.”
11:00 AM - 12:00 PM