BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CREST - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:CREST
X-ORIGINAL-URL:https://crest.science
X-WR-CALDESC:Events for CREST
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20220327T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20221030T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20221020T103000
DTEND;TZID=Europe/Helsinki:20221020T233000
DTSTAMP:20260711T133041
CREATED:20221014T052855Z
LAST-MODIFIED:20221014T052949Z
UID:14151-1666261800-1666308600@crest.science
SUMMARY:Thomas GIROUX (CREST & MIROVA)  "TAIL RISK SYSTEMIC FACTORS"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 10:30 pm\nDate: 20th of October 2022\nRoom 3001 + Zoom \nThomas GIROUX (CREST & MIROVA) “TAIL RISK SYSTEMIC FACTORS” \nAbstract :We develop a two-step econometric procedure\, based on hidden factor estimation\, to identify common factors driving the tail risk of asset returns. Applied to more than 1500 US stocks\, using quarterly returns ranging from 2000 to 2020\, we find that the equicorrelation and the market volatility are two signifiant drivers of assets’ tail risks\, explaining up to 50% of the total variance. Drawing on a parsimonious model supporting the estimations\, we show that investors accept a thinner tail when the market correlation increases and require a heavier tail when market volatility increases.\n\n \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/thomas-giroux-crest-mirova-tail-risk-systemic-factors/
CATEGORIES:Finance-Insurance,Financial Econometrics
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR