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X-WR-CALDESC:Events for CREST
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DTSTART:20250330T010000
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DTSTART;TZID=Europe/Helsinki:20250424T100000
DTEND;TZID=Europe/Helsinki:20250424T110000
DTSTAMP:20260710T194416
CREATED:20250321T105022Z
LAST-MODIFIED:20250418T122005Z
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SUMMARY:Bonsoo KOO (Monash University)  "Disentangling Structural Breaks in Factor Models"
DESCRIPTION:Finance-Insurance\nTime: 10.00 am\nDate: 24th of April 2025\nRoom 3001 \nBonsoo KOO (Monash University) “Disentangling Structural Breaks in Factor Models” \nAbstract : Through a routine normalization of the factor variance\, standard methods for estimating factor models in macroeconomics do not distinguish between breaks of the factor variance and factor loadings. We argue that it is important to distinguish between structural breaks in the factor variance and loadings within factor models commonly employed in macroeconomics as both can lead to markedly different interpretations when viewed via the lens of the underlying dynamic factor model. We then develop a projection-based decomposition that leads to two standard and easy-to-implement Wald tests to disentangle structural breaks in the factor variance and factor loadings. Applying our procedure to U.S. macroeconomic data\, we find evidence of both types of breaks associated with the Great Moderation and the Great Recession. Through our projection-based decomposition\, we estimate that the Great Moderation is associated with an over 60% reduction in the total factor variance\, highlighting the relevance of disentangling breaks in the factor structure. \n  \nOrganizers:  Zakoian Jean-Michel \n  \n
URL:https://crest.science/event/bonsoo-koo-monash-university-t-b-a/
CATEGORIES:Finance-Insurance,Seminars
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DTSTART;TZID=Europe/Helsinki:20250424T110000
DTEND;TZID=Europe/Helsinki:20250424T120000
DTSTAMP:20260710T194416
CREATED:20250321T104719Z
LAST-MODIFIED:20250422T070943Z
UID:17987-1745492400-1745496000@crest.science
SUMMARY:Andreas HEINEN (Universite de Cergy-Pontoise.)  "Give and Take: Measuring Systemic Risk with Non-Exchangeable Dependence"
DESCRIPTION:Finance-Insurance\nTime: 11.00 am\nDate: 24th of April 2025\nRoom 3001 \nAndreas HEINEN (Universite de Cergy-Pontoise.) “Give and Take: Measuring Systemic Risk with Non-Exchangeable Dependence” \nAbstract : Non-exchangeable dependence breaks the symmetry between the response of an individual firm to market distress and the reaction of the market to individual firm distress. We use a non-exchangeable bivariate copula to model the joint distribution of the daily returns of a set of major U.S. financial institutions and of the market index for the 2001-2021 period. Based on this model\, we compute systemic risk measures such as CoVaR\, Exposure-CoVaR\, and MES. We derive closed-form expressions for CoVaR and MES\, that allow us to relate the shape parameters of the non-exchangeable Clayton copula\, to the notions of systemicness and vulnerability. We further backtest the systemic risk measures\, both in- and out-of-sample. We find that measuring systemic risk with a non-exchangeable copula outperforms its exchangeable counterpart. \nJoint Work : Sangwon Lee\, UCLY\, ESDES \nOrganizers:  Jean-David FERMANIAN \n  \n
URL:https://crest.science/event/andreas-heinen-universite-de-cergy-pontoise-t-b-a/
CATEGORIES:Finance-Insurance,Seminars
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DTSTART;TZID=Europe/Helsinki:20250424T150000
DTEND;TZID=Europe/Helsinki:20250424T160000
DTSTAMP:20260710T194416
CREATED:20250415T082137Z
LAST-MODIFIED:20250415T082137Z
UID:18036-1745506800-1745510400@crest.science
SUMMARY:Nicolas BARADEL (Ecole Polytechnique & INRIA)  "Deep learning for pricing and hedging European options in incomplete markets.”"
DESCRIPTION:Finance-Insurance\nTime: 15.00 am\nDate: 24th of April 2025\nRoom 3001 \nNicolas BARADEL (Ecole Polytechnique & INRIA) “Deep learning for pricing and hedging European options in incomplete markets.” \nAbstract : We propose a deep learning framework for pricing and hedging European options in incomplete financial markets characterized by stochastic volatility and correlation. We introduce a single deep neural network that simultaneously estimates the option price and its hedging strategy\, leveraging the self-financing condition. The network’s output provides the price\, while its gradient with respect to the underlying assets yields the hedging strategy. This direct approach delivers results comparable to applying Black-Scholes hedging. We propose an approach with a control variable on the terminal condition\, making it endogenous. Numerical experiments demonstrate that our method outperforms the Black-Scholes hedging strategy\, achieving more concentrated profit and loss distributions. While inspired by finance\, these methods can be applied to asset-liability management for life insurers\, particularly for valuing their guarantees. \n  \nOrganizers:  Jean-David FERMANIAN \n  \n
URL:https://crest.science/event/nicolas-baradel-ecole-polytechnique-inria-deep-learning-for-pricing-and-hedging-european-options-in-incomplete-markets/
CATEGORIES:Finance-Insurance,Seminars
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