10:30 am
Timo DIMITRIADIS (Heidelberg University) “Dynamic CoVaR Modeling”
Finance & Financial Econometrics : Time: 10.30 am Date: 24th of October 2024 Room 3001 Timo DIMITRIADIS (Heidelberg University) "Dynamic CoVaR ModelingDynamic CoVaR Modeling" Abstract : The popular systemic risk measure CoVaR (conditional Value-at-Risk) is widely used in economics and finance. Formally, it is defined as a large quantile of one variable (e.g., losses in […]
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Léonard THELOT (HSBC-CREST) ” Latent Factor Models with Functional Single-Index Loadings”
Finance & Financial Econometrics : Time: 11.30 am Date: 24th of October 2024 Room 3001 Léonard THELOT (CREST) "Latent Factor Models with Functional Single-Index Loadings" Abstract : We extend static linear factor models in a semiparametric framework, by assuming the loadings are unknown functions that depend on some exogeneous covariates. Since the latter covariates may […]
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