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FINANCIAL MARKETS AND REAL ACTIVITY

Thursday, November 20, 2008

SESSION 1 (8:30 - 10:00): INTEREST RATE TERM PREMIA

"Term premiums and the predictability of recessions" , A. Estrella (Rensselaer Polytechnic Institute)

"No-arbitrage near-cointegrated VAR (p) term structure models, term premia and GDP growth" , C. Jardet (Banque de France)

SESSION 2 - (10:30 - 12:00): FACTOR TERM STRUCTURE MODELS

"Correlation risk and term structure of interest rates" , F. Trojani (University Lugano and University of St. Gallen)

"Information in (and not in) the term structure" , G. Duffee (Haas School of Business, University of California - Berkeley)

SESSION 3 (14:30 - 16:00): LONG-RUN RISKS

"Longevity risk and retirement savings" , J. Cocco (LBS)

"What's vol got to do with it" , A. Yaron (The Wharton School, University of Pennsylvania

SESSION 4 (14:30 - 16:00): LONG-RUN RISKS

"Demography, technology and fluctuations in the US dividend yields" , C. Favero (Bocconi University)

"Cyclical properties of US asset returns" , D. Backus (Stern Business School, NYU)

Friday, November 21, 2008

SESSION 5 (8:30 - 10:00): RISK AND LIQUIDITY PREMIA

"A DSGE model of term structure with regime shifts" , O. Tristani (ECB)

"Bond liquidity premia" , R. Garcia (EDHEC Business School)

SESSION 6 (10:30 - 12:00): PORTFOLIO ALLOCATION

"Optimal life-cycle asset allocation with housing as a collateral" , H. Zhang (School of Management, University of Texas at Dallas)

"Fight or Flight: Portfolio Rebalancing by Individual Investors" , L. Calvet (HEC Paris)

SESSION 7 - (14:30 - 16:00): MORTALITY AND LONGEVITY RISK

"Quadratic stochastic intensity and prospective mortality tables" , A. Monfort (CREST-CNAM-Banque de France)

"Longevity risk in annuity portfolios: the effect of product design and portfolio composition" , B. Melenberg (Tilburg University)

SESSION 8 (16:30 - 18:00): VOLATILITY, JUMPS AND SPANNING

"Risk premium accounting in Gaussian macro-dynamic term structure models" , S. Joslin (MIT Boston)

"Bond risk premia and realized jump risks" , H. Zhou (Federal Reserve Board)

Updated on: 10/04/2017 17:08