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Model Validation, Predictive Ability and Model Risk Paris, France 9th November 2007

Program

Conference papers



The Banque de France and the CREST (chair AXA: Large Risks in Insurance) are organizing a workshop on "Model Validation, Predictive Ability and Model Risk" on November 9, 2007, in Paris.

The aim of this conference is to discuss recent methodologies introduced in the academic literature to compare and validate prediction models. In macroeconomics, these methods propose new computation and updating of interval forecasts, and are used for instance for detecting regime switching in real time. In Finance, they are applied to risk prediction and determination of required capital in the spirit of Basel II. They lead to discuss the relevance of different risk measures, but also to extend the notion of Value-at-Risk to dependent budget lines.

The Conference will take place at Salon Paris Bourse, Salle Sully 1, 113, rue Réaumur, 75002 Paris. To register for the Workshop, send an email to workshop@banque-france.fr

The registration is free.

Organisers :
Sanvi Avouyi-Dovi (Banque de France)
Christian Gourieroux (University of Toronto and CREST)
Fulvio Pegoraro (Banque de France and CREST)

Updated on: 10/18/2017 11:22