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Jordi LLORENS-TERRAZAS (University of SURREY) “Monitoring Joint Tail Risks: An Application to Growth and Inflation”
Finance-Insurance Time: 10.00 am Date:06th of November 2025 Room 3001 Jordi LLORENS-TERRAZAS (University of SURREY) "Monitoring Joint Tail Risks: An Application to Growth and Inflation" Abstract :This paper develops the concept of Growth and Inflation at Risk frontier (GIaR). This is a bivariate generalisation of the concepts of Growth-at-Risk (GaR) and Inflation-at-Risk (IaR). We propose […]
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Jérémy LEYMARIE (Clermont School of Business) “Multivariate Inference for Dynamic Systemic Risk Measures”
Finance-Insurance Time: 11.00 am Date:06th of November 2025 Room 3001 Jérémy LEYMARIE (Clermont School of Business) "Multivariate Inference for Dynamic Systemic Risk Measures" Abstract : This paper introduces a system perspective on inference for standard dynamic systemic risk measures. In particular, we provide a multivariate GARCH-type framework to analytically quantify confidence and prediction intervals of […]
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