I Workshop
May 23, 2016 | "Identification and prediction of systemic shocks. Analysis of the macroeconomic determinants of financial risks and its cross-sectional implications."
- Organized by: the Research group on "Identification and prediction of systemic shocks. Analysis of the macroeconomic determinants of financial risks and its cross-sectional implications."
- Sponsored by: Bank of Spain, FAE II and ICAE
- Date: May 23, 2016
- Venue: Instituto Complutense de Análisis Económico (ICAE) - Universidad Complutense de Madrid
- 9.30-11.30: SESSION 1.
- Presenter: Alfonso Novales
- Presentation 1. "Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility", Simón Sosvilla (UCM), Fernando Fernández-Rodríguez (ULPGC) y Marta Gómez-Puig UB).
- Presentation 2 . "Dissecting interbank risk”, J. A. Lafuente (UJI), Pedro Serrano (UC3M) Nuria Petit (UCM) y Jesús Ruiz (UCM e ICAE).
- 12:00-14:00: SESIÓN 2.
- Presenter: Gonzalo Rubio
- Presentation 3 “An Application of the Extreme Value Theory in the Estimating of Liquidity Risk”, Sonia Benito (UNED)
- Presentation 4 . "Don,t stand so close to Sharpe”, Belén Nieto (UA), Angel León (UA), Lluís Navarro.
- 14:00-15:30: Lunch
- 15:30-17:30: SESSION.
- Presenter: Jesús Ruiz
- Presentation 5. "Intra-industry Transfer Effects of Credit Risk News”, R. Ferreras (UCM y Santa Lucia), Pilar Abad (URJC) y M.D. Robles (UCM). Presenta Rodrigo Ferreras
- Round Table. "To be or Not to be ... International: Possible research groups and contacts"