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

Friday, November 18 (Room G-313)

Public Lecture

Macroeconomics with Financial Frictions: Endogenous Risk, Instability and Nonlinearities

Presenter: Yuliy Sannikov, Princeton University

Video; Abstract 

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

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

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

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

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 

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)

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