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The First International Moscow Finance Conference. November 18-19, 2011

hosted by the International Laboratory in Financial Economics (LFE) at the International College of Economics and Finance (ICEF) Higher School of Economics, Moscow (Pokrovski Boulevard, 11).

List of speakers and abstracts

Public lectures

Back to conference page

     

Conference program

Friday, November 18 (Room G-313)

      09.50     Opening ceremony
    10.00  

Public Lecture

Macroeconomics with Financial Frictions: Endogenous Risk, Instability and Nonlinearities

Presenter: Yuliy Sannikov, Princeton University

 

Video Abstract 

    11.20   Coffee Break
    11.50  

Session 1 “Asset Pricing 1”

Sources of Risk in Currency Returns

Presenter: Mikhail Chernov, London School of Economics (co-authors: J. Graveline and I. Zviadadze) 

Discussant: Vladimir Sokolov, ICEF and LFE, Higher School of Economics.

 

(Video Abstract;   Paper)


Sentiment During Recessions

Presenter: Diego Garcia, Kenan Flagler Business School, University of North Carolina

Discussant: Patrick Kelly, New Economic School 

 

Video Abstract Paper Presentation

 

Equilibrium Portfolios and Equity Premium with Wealth Heterogeneity and Uncertainty Aversion

Presenter: Dmitry Makarov, New Economic School (co-author A. Schornick)

Discussant: Stanimir Morfov, ICEF and LFE, Higher School of Economics

                    

Video Abstract Paper Presentation

    13.50   Lunch
    14.50  

Session 2 “Risk Management”

Optimal Capital Allocation: VaR, C-VaR, Spectral Measures and Beyond in Russian Markets

Presenter: Dean Fantazzini, Moscow School of Economics at Moscow State University and Higher School of Economics
Discussant: Branko Urošević, National Bank of Serbia and Faculty of Economics, University of Belgrade 

 

 Video; Abstract Paper Presentation

 

An efficient method for market risk management under multivariate extreme value theory approach

Presenter: Miloš Božović, Center for Investments and Finance, Belgrade and University of Novi Sad

Discussant: Dean Fantazzini, Moscow School of Economics at Moscow State University and Higher School of Economics

 

Video ;   Paper Presentation

 

An Infinite-Dimensional Interest Rates Term Structure Model: Arbitrage-Free, Realistic and Practical

Presenter: Victor Lapshin, Laboratory of Financial Engineering and Risk Management, Higher School of Economics
Discussant: Miloš Božović, Center for Investments and Finance, Belgrade and University of Novi Sad

 

Video;   Abstract Paper Presentation

 

    16.50   Coffee Break and walk to Cultural Center (follow the indications)
    17.30  

Public Lecture
Banking at the Cross Roads: How to deal with Marketability and Complexity?

Presenter: Arnoud Boot, University of Amsterdam


  Video Video (russian version);  Abstract

    19.00   Buffet
         
       

 Saturday, November 19 (Room G-313)

    10.00  

Session 3 “Corporate Finance”

Executive Pay and Outside Options


Presenter: Stanimir Morfov, ICEF and LFE, Higher School of Economics
Discussant: Yuliy Sannikov, Princeton University

 

 Abstract Paper

 

Investment and Financing Decisions of an Intrinsically Motivated Entrepreneur 

Presenter: Carsten Sprenger ICEF and LFE, Higher School of Economics (co-author: Branko Urošević)

Discussant: Arnoud Boot, University of Amsterdam

 

 Video;   Abstract Paper Presentation

 

Takeovers under Asymmetric Information: Block Trades and Tender Offers in Equilibrium

Presenter: Sergey Stepanov, New Economic School
Discussant: Carsten Sprenger, ICEF and LFE, Higher School of Economics.

 

 Video;  Abstract  Paper

    12.00   Coffee Break
    12.30  

Session 4 “Banking and Networks"

Social structure and propagation of depositors panic

Presenter: Roman Chuhay, ICEF, Dept. of Economics and LFE, Higher School of Economics (co-author: Huber Janos Kiss)

Discussant: Dimitrios Tsomocos, Said School of Business.

 

 Video Abstract Paper Presentation

 

Interbank Network, Liquidity Provision and Key Players

Presenter: Christian Julliard, London School of Economics (co-authors: Kathy Yuan and Edward Dembee)
Discussant: Alexey Belyanin, ICEF, Higher School of Economics

 

  Abstract 

    13.50  

Lunch

    14.40  

Session 5 “Asset Pricing 2”

Continuous time option pricing with scheduled jumps in the underlying asset

Presenter: Sergey Gelman, ICEF and LFE, Higher School of Economics (co-author: Dmitry Storcheus)

Discussant: Mikhail Chernov, London School of Economics

 

 Video;  Abstract Paper Presentation

 

The Impact of maturity Financing Choices made by Primary Bond Dealers on Repo market Rates

Presenter: Vladimir Sokolov, ICEF and LFE, Higher School of Economics

Discussant: Diego Garcia, Kenan Flagler Business School, University of North Carolina   

 

 Video;  Abstract Paper Presentation


European bond ETFs - tracking errors and sovereign debt crisis

Presenter: Branko Urošević, National Bank of Serbia and Faculty of Economics, University of Belgrade (co-authors Mikica Drenovac and Ranko Jelic)

Discussant: Sergey Gelman, ICEF and LFE, Higher School of Economics

 

 Video ;  Abstract Presentation (Presenter: B.Urosevic);  Presentation (Discussant: S.Gelman)

    16.40   Coffee Break
    17.00  

Session 6 “Liquidity and Market Micro Structure”

Robustness of equilibrium in Kyle model of informed speculation

Presenter: Alexey Boulatov, Higher School of Economics (co-author: Dan Bernhardt)

Discussant: Dmitry Makarov, New Economic School

 

 Video Abstract  Paper Presentation


Liquidity effects on asset prices, financial stability and economic resilience        

Presenter: Dimitrios Tsomocos, Said School of Business, Oxford University (co-author Juan Francisco Martinez)

Discussant: Maxim Nikitin, ICEF, Higher School of Economics

 

 Video ;  Abstract Paper Presentation

 

 

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