Tenth Annual Risk Management Conference: Scientific Program Proceedings
Date:
26 AND 27 JULY 2016
Venue: 26 July – Conrad Centennial Singapore
27 July – NUSS Kent Ridge Guild House
Tenth Annual Risk Management Conference: Scientific Program Proceedings
Scientific Program Proceedings
RMC 2016 Scientific Program Co-Chairs: Prof. Stan Hurn (Queensland University of Technology) and Prof. Raymond Kan (University of Toronto)
| Plenary Talks | |
|---|---|
| Session 1 Track A – Asset Pricing Models | Session 1 Track B – Liquidity and Risk |
Plenary Talks
Jianqing Fan (Princeton University)
Robust Measures of Earnings Surprises
Jianqing Fan (Princeton University)
Track A Session 1 - Asset Pricing Models
On Reaching for Yield and the Coexistence of Bubbles and Negative Bubbles
Viral Acharya
Hassan Naqvi (Sungkyunkwan University)
Discussant: Robert Kimmel (National University of Singapore)
Jump Risk in Indian Financial Market
Mardi Dungey
Mohammad Abu Sayeed (University of Tasmania)
Wenying Yao
Discussant: Dietmar Leisen (University of Mainz)
Funding Shortfall Risk and Asset Prices in General Equilibrium
Majid Hassan (EDHEC Business School)
Discussant: Hassan Naqvi (Sungkyunkwan University)
Stochastic Volatility and the (Equilibrium) Discount Function
Dietmar Leisen (University of Mainz)
Discussant: Robert Kimmel (National University of Singapore)
Track B Session 1 – Liquidity and Risk
Does Stock Market Illiquidity Influence the Cost of Borrowing? Evidence from Syndicated Loans
Jiayuan Chen
Di Gong (University of International Business and Economics & EBC Tilburg University)
Cal Muckley
Discussant: Allaudeen Hameed (National University of Singapore)
Jie Cao
Yong Jin (Hong Kong Polytechnic University and University of Florida)
Neil D. Pearson
Dragon Yongjun Tang
Discussant: Ankit Kalda (Washington University in St Louis)
Systematic and Firm-specific Credit and Illiquidity Risks of CDS Spreads
Olga Kolokolova
Ming-Tsung Lin S
Ser Huang Poon (University of Manchester)
Discussant: Chuang Chienmin (National University of Singapore)
Time-Varying Crash Risk: The Role of Market Liquidity
Peter Christoffersen
Bruno Feunou
Yoontae Jeon (University of Toronto)
Chayawat Ornthanalai
Discussant: Chu Liya (Singapore Management University)
Plenary Talks
David Hirshleifer (University of California-Irvine)
Do People Manage Risk, or Does Risk Manage People?
David Hirshleifer (University of California-Irvine)
Track A Session 2 – Portfolio Selection
Optimal Portfolio Selection With and Without Risk-Free Asset
Raymond Kan (University of Torontoe)
Xiaolu Wang
Guofu Zhou
Discussant: Steven Kou (National University of Singapore)
Alpha Signals, Smart Beta and Factor Model Alignment
Terry Marsh (Quantal International and UC Berkeley) Paul Pfleiderer)
Discussant: Yong Jin (Hong Kong Polytechnic University and University of Florida)
George P. Gao
Xiaomeng Lu (Shanghai Advanced Institute of Finance)
Zhaogang Song
Hongjun Yan
Discussant: Jun Tu (Singapore Management University)
Geometrically Consistent Covariance Dynamics and Its Application to Portfolio Management
Chulwoo Han (University of Durham)
Discussant: Raymond Kan (University of Toronto)
Track B Session 2 – Credit Risk – Sovereign and Financial Sector
How Much of Bank Credit Risk Is Sovereign Risk? Evidence from the Eurozone
Junye Li (ESSEC Business School)
Gabriele Zinna
Discussant: Weina Zhang (National University of Singapore)
Global Systemically Important Financial Institutions: A Structural VAR Approach
Changhao Zhang (National University of Singapore)
Discussant: Yoshio Nozawa (Federal Reserve Board of Governors)
Huong Dang (University of Canterbury)
Discussant:Ashay Kadam (National University of Singapore)
Measuring Systemic Risk and Identifying SIFIs in Chinese Financial Sector
Xiangpeng Chen (Tsinghua University)
Hao Zhou
Discussant: Sun Wei (National University of Singapore)
Track A Session 3 – Empirical Asset Pricing
Investor Sentiment Purged: A Powerful Predictor in the CrossSection of Stock Returns
Liya Chu
Qianqian Du
Jun Tu (Singapore Management University)
Discussant: Neil Pearson (University of Illinois at UrbanaChampaign)
Manager Sentiment and Stock Returns
Fuwei Jiang (Central University of Finance and Economics)
Joshua Lee
Xiumin Martin
Guofu Zhou
Discussant: Xiaomeng Lu (Shanghai Advanced Institute of Finance)
Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options
Dmitriy Muravyeva
Neil Pearson (University of Illinois at UrbanaChampaign)
Joshua Polletc
Discussant: Ekkehart Boehmer (Singapore Management University)
Track B Session 3 – Credit Risk – Modelling and Management
Debt Maturity and Cost of Bank Loans
Wan-Chien Chiu (University of Glasgow)
Tao-Hsien Dolly King
Chih-Wei Wang
Discussant: Zou Qiqi (National University of Singapore)
Christoph Basten (Swiss Financial Market Supervisory Authority (FINMA))
Benjamin Guin
Cathérine Koch
Discussant: Xuyuan Liu (National University of Singapore)
What Drives the Cross-Section of Credit Spreads: A Variance Decomposition Approach?
Yoshio Nozawa (Federal Reserve Board of Governors)
Discussant: Changhao Zhang (National University of Singapore)
Track A Session 4 – Corporate Finance
Trade Credit: Elusive Insurance of Firm Growth
Dennis Bams
Jaap Bos
Magdalena Pisa (WHU - Otto Beisheim School of Management)
Discussant: Zou Xin (National University of Singaporen)
Do Innovative Firms Hold More Cash? The International Evidence
Po-Hsuan Hsu
Fengfei Li (University of Hong Kong)
Tse-Chun Lin
Discussant: Xiaodan Gao (National University of Singapore)
Executive Compensation-Implied Risk Aversion of American CEOs
Nathan Dong (Columbia University)
Discussant: Craig Brown (National University of Singapore)
Track B Session 4 – Liquidity and Price Discovery
Spillover Effects of Options Listing
Ankit Kalda (Washington University in St Louis)
Discussant: Yoontae Jeon (University of Toronto)
Estimating Order Imbalance Using Low Frequency Data
JinGi Ha (Singapore Management University)
Jianfeng Hu
Discussant: Christine Wang (National University of Singapore)
A Theory of High Frequency Market Making in Fragmented Markets
Soomin Lee (University of Toronto)
Discussant: Jussi Keppo (National University of Singapore)
For other enquiries, please contact:
Pre-conference Workshop
Ms. Jasline Chong at rmicsh@nus.edu.sg or 6516 8497
Tenth Annual Risk Management Conference
Ms. Shivani Nakhare at rminsr@nus.edu.sg or 6601 1065