FERM 2010 in Taiwan

Program

International Symposium on Financial Engineering and
Risk Management 2010, Taipei, Taiwan
Program Information


Day 1: June 10th, Thursday

8:00-9:00

Registration

 

Venue: FERM Check-in Counter, GIS Convention Center

 

 

9:00-10:30

Session 1(A) : Financial Econometrics (I) (invited)

 

Venue: Plato Chamber

 

Organizer: Yacine Ait-Sahalia (Princeton University)

 

Chair: Zongwu Cai (University of North Carolina at Charlotte and Xiamen University)

 

 

 

(1)   U.S. Liquidity Risk and Stock Returns in Japan

Ji-Chai Lin ( Louisiana State University )

 

(2)   Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model

Joon Park (Indiana University)

 

(3)   Option Value of Cash

Jialin Yu (Columbia University)

 

 

Session 1(B): Empirical Finance (I) (Invited)

 

Venue: Archimedes Chamber

 

Organizer: Gilbert Bassett (University of Illinois at Chicago)

 

Chair: Hefei Wang (University of Illinois at Chicago)

 

 

 

(1)   Cash Dividend, Corporate Control, and Cash Flow Empirical Evidence From China

 

Chunrong Ai (Shanghai University of Finance and Economics)

 

 

 

(2)   Optimal Consumption and Portfolio Choice for Long-Horizon Investors

 

with Nontradable Labor Income When Asset Returns Are Predictable

 

Yangru Wu (Rutgers University)

 

 

 

(3)   Performance Metrics for Algorithmic Traders

 

Dale W. R. Rosenthal (University of Illinois at Chicago)

 

 

 

Session 1(C): Stock Volatility and Covariance (Contributed)

 

Venue: Alexander Chamber

 

Chair: Bin Chen (University of Rochester)

 

 

 

(1)   Stochastic Covariance Models

 

Manabu Asai (Soka University)

 

 

 

(2)   Empirical Evidence of Leverage Effect in a Stochastic Volatility Model: a Realized Volatility Approach

 

Dinghai Xu (University of Waterloo)

 

 

 

(3)   On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes

 

Xinghua Zheng (HKUST)

 

 

10:30-10:50

Coffee Break

 

Venue: GIS Convention Center Hallway

 

 

10:50-11:10

Welcome

 

Venue: International Conference Hall

 

 

11:10-12:00

Keynote Speech: Volatility, Risk Premia, and Fears

 

Speaker: Tim Bollerslev (Duke University)

 

Chair: Chungming Kuan (National Taiwan University)

 

Venue: International Conference Hall

 

 

12:00-13:20

Lunch

 

Venue: Plato Chamber

 

 

13:20-14:50

Session 2(A): Statistics and Financial Engineering (Invited)

 

Venue: Archimedes Chamber

 

Organizer: Min Chen (Chinese Academy of Science)

 

Chair: Jianqing Fan (Princeton University)

 

 

 

(1)   TEI @ I Methodology and an Application to Energy Market Risk Management

 

Shouyang Wang (Chinese Academy of Science)

 

 

 

(2)   The Applications of Computational Experiment and Financial Engineering in Chinese Financial Market (in Chinese)

 

Xindan Li (Nanjing University)

 

 

 

(3)   Financial Applications of Functional Time Series Driven by Dynamic Systems

 

Rong Chen (Rutgers University)

 

 

 

Session 2(B): Market Microdynamics and Electronic Trading (Invited)

 

Venue: Plato Chamber

 

Organizer: Robert Ferstenberg (Morgan Stanley)

 

Chair: Mark Higgins (JP Morgan)

 

 

 

(1)   The Economic Benefits of Crossing for VWAP Orders

 

Robert Ferstenberg (Morgan Stanley)

 

 

 

(2)   An Overview of AHL's Model Based Systematic Trading

 

Anthony Ledford (Man Group/AHL)

 

 

 

(3)   Analytical Problems in FX High Frequency Market Making

 

Xingguo Pan (Morgan Stanley)

 

 

 

Session 2(C): Market and Operational Risk (Contributed)

 

Venue: Alexander Chamber

 

Chair: Yaw-Huei Wang (National Taiwan University)

 

 

 

(1)   An Analysis of Extreme Price Shocks and Illiquidity Among Systematic Trend Followers

 

Bernard Lee (Singapore Management University)

 

Shih-fen Cheng (Singapore Management University)

 

 

 

(2)   Transaction Taxes in a Simple Price Maker/Taker Market

 

Nordia D. Thomas (University of Illinois at Chicago)

 

 

 

(3)   Quantitative Approaches to Modelling Operational Risk

 

Ming-Heng Zhang (Shanghai University of Finance and Economics)

 

 

14:50-15:00

Small Break

 

 

15:00-16:30

Session 3(A): Credit Risk Modeling (Invited)

 

Venue: Archimedes Chamber

 

Organizer: Jin-Chaun Duan (National University of Singapore)

 

Chair: Yangru Wu (Rutgers University)

 

 

 

(1)   Credit Gap Risk in First Passage Time Models

 

Wolfgang Schmidt (Frankfurt School of Finance & Management)

 

 

 

(2)   Clustered Defaults

 

Jin-Chuan Duan (National University of Singapore)

 

 

 

(3)   Default Prediction with Sector and Macroeconomic Frailties

 

Chunchi Wu (University of Missouri)

 

 

 

Session 3 (B): Financial Econometrics (II) (Invited)

 

Venue: Plato Chamber

 

Organizer: Per Mykland (University of Chicago)

 

Chair: Dale Rosenthal (University of Illinois at Chicago)

 

 

 

(1)   The HYBRID GARCH Class of Models

 

Eric Ghysels (University of North Carolina)

 

 

 

(2)    Simulation Analysis for Impact of Financial Crisis on Financial Institutions and Government Bailout Effect

 

Xiaoguang Yang (Chinese Academy of Science)

 

 

 

(3)   Studying the Leverage Effect Based on High-Frequency Data

 

Yingying Li (Hong Kong University of Science and Technology)

 

 

 

Session 3(C): Liquidity and Related Issues (Contributed)

 

Venue: Alexander Chamber

 

Chair: San-Lin Chung (National Taiwan University)

 

 

 

(1)   The Valuation of American Barrier Options: The Static Hedging Approach

 

Pai-Ta Shih (National Taiwan University)

 

 

 

(2)   Timing of Irregular Price-Drop Events: An Application of ACD Model

 

Hui-Chih Chai (Chung Yuan Christian University)

 

 

 

(3)   Linking the Belief Base Quoting Strategy to Volatility

 

Pei Lin Hsieh (Cornell University)

 

 

16:30-16:45

Coffee Break

 

Venue: GIS Convention Center Hallway

 

 

16:45-18:15

Session 4(A): Financial Econometrics (III) (Invited)

 

Venue: Plato Chambe

 

Organizer: Yongmiao Hong (Cornell University)

 

Chair: Yingying Li (HKUST)

 

 

 

(1)   On Estimation of Risk Premia in Linear Factor Models

 

Robert Kimmel (Ohio State University)

 

 

 

(2)   Testing Whether the Underlying Continuous Time Process Follows a Diffusion: an Infinitesimal Operator Based Approach

 

Bin Chen (University of Rochester)

 

 

 

(3)   Vast Portfolio Selection using High Frequency Data

 

Jianqing Fan (Princeton University)

 

 

 

Session 4(B): Risk and Other Issues (Invited)

 

Venue: Archimedes Chamber

 

Organizer: Rong Chen (Rutgers University)

 

Chair: Rong Chen (Rutgers University)

 

 

 

(1)   Leverage Management in a Bull - Bear Switching Market

 

Hefei Wang (University of Illinois at Chicago)

 

 

 

(2)   Does Mortality Improvement Increase Equity Risk Premiums? A Risk Perception Perspective

 

Larry Tzeng (National Taiwan University)

 

 

 

(3)   Continuous-time mean-variance model with only risky assets

 

Zhongfei Li (Sun Yat-Sen University)

 

 

 

Session 4(C): Financial Statistics (Contributed)

 

Venue: Alexander Chamber

 

Chair: Ren-Raw Chen (Fordham University)

 

 

 

(1)    Improved Generalized Gram-Charlier Expansions based on Multivariate Skew Distributions

 

Wei-han Liu (Tamkang University)

 

 

 

(2)    Incorporate Higher Conditional Moments into Stock Return Modeling: Evidence from 5 country stock indexes

 

Jiandong Li ( Central University of Finance and Economics)

 

 

 

(3)   A Reexamination of Fama-French Regressions Using High Frequency Panels

 

Yoosoon Chang (Indiana University)

 

 

19:00-21:30

Conference Banquet

 

Venue: 33F, Ballroom, World Trade Center Club, Taipei

            No. 1, Hsin-Yi Rd., Sec. 5, Taipei

 

 


Day 2: June 11st, Friday

9:00-10:30

Session 5 (A) : Volatility and Its Dynamics (Invited)

 

Venue: Archimedes Chamber

 

Organizer: Ruey Tsay (University of Chicago)

 

Chair: Haitao Li (University of Michigan)

 

 

 

(1)    A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

 

Drew D. Creal (University of Chicago)

 

 

 

(2)    Multivariate Stochastic Volatility Models with Dynamic Correlations: A Monte Carlo Particle Filtering

 

Hajime Wago (Kyoto Sangyo University)

 

 

 

(3)    Synchronizing Asynchronously Traded Financial Assets for Noise-Robust Realized Covariance

 

Jin-Huei Yeh (National Central University)

 

 

 

Session 5(B): Financial Econometrics (IV) (Invited)

 

Venue: Rock Chamber

 

Organizer: Zongwu Cai (University of North Carolina at Charlotte and Xiamen University)

 

Chair: Jin-Chaun Duan (National University of Singapore)

 

 

 

(1)   The Realized Laplace Transform of Volatility

 

George Tauchen (Duke University)

 

 

 

(2)   Is There Evidence for the High Frequency Data Being Purely Discontinuous?

 

Bingyi Jing (Hong Kong University of Science and Technology)

 

 

 

(3)   A New Model for Conditional Capital Asset Pricing Model

 

Zongwu Cai (University of North Carolina at Charlotte and Xiamen University)

 

 

 

Session5 (C): Stock Volatility and Related Issues (Contributed)

 

Venue: Alexander Chamber

 

Chair: Keng-Yu Ho ( National Taiwan University)

 

 

 

(1)   Inference on Integrated Volatility under Noisy Observations with Jumps

 

Zhi Liu (Hong Kong University of Science & Technology)

 

 

 

(2)   Volatility Forecasting by Asymmetrical Quadratic Effect with Diminishing Marginal Impact

 

Alex Yi Hou Huang ( Yuan Ze University)

 

 

 

(3)    An Alternative Regression-Based Test of Price Jumps and Cojumps in Financial Markets

 

Mu-Shu Yun ( National Central University)

 

 

10:30-10:50

Coffee Break

 

Venue: GIS Convention Center Hallway

 

 

10:50-11:40

Keynpte Speech: The Disagreement Approach to Financial Economics

 

Speaker: Harrison Hong (Princeton University)

 

Chair: Jianqing Fan (Princeton University)

 

Venue: International Conference Hall

 

 

11:40-13:20

Lunch

 

Venue: Ponderosa (2F, No.85, Sec. 4, Roosevelt Rd., Taipei)

 

 

13:20-14:50

Session 6(A): Math Finance and Related Topics (Invited)

 

Venue: Archimedes Chamber

 

Organizer: Steve Kou (Columbia University)

 

Chair: Pai-Ta Shih (National Taiwan University)

 

 

 

(1)   No-Arbitrage Taylor Rule with Regime

 

Haitao Li (University of Michigan)

 

 

 

(2)   Valuation of Asian Options with Jump Risk

 

Ning Cai (Hong Kong University of Science and Technology)

 

 

 

(3)   Evidence of the Asymmetric Effects from Chinas Monetary Policy

 

Jinquan Liu (Jilin University)

 

 

 

Session 6 (B): Portfolio Analytics and System (Invited)

 

Venue: Rock Chamber

 

Organizer: Mark Higgins (JP Morgan)

 

Chair: Yi Tang (Morgan Stanley)

 

 

 

(1)   Execution Risk

 

Robert Ferstenberg (Morgan Stanley)

 

 

 

(2)   FX Barrier Derivative Pricing and Skew Dynamics

 

Mark Higgins (JP Morgan)

 

 

 

(3)   A Transformed Gaussian Copula Approach To Credit Portfolio Modeling

 

David X. Li (China International Capital Corporation)

 

 

 

Session 6(C): Volatility, Risk and Related Issues (Contributed)

 

Venue: Michelangelo Chamber

 

Chair: Jin-Huei Yeh (National Central University)

 

 

 

(1)   Predicting Defaults with Regime Switching Intensity: Model and Empirical Evidence

 

Hui-Ching Chuang (National Taiwan University)

 

 

 

(2)    Time-Varying Trend of Financial Volatilities and Its Correlations with Macroeconomic Variables

 

Ray Y Chou (Institute of Economics, Academia Sinica)

 

 

 

(3)   Population Growth and Asset Pricing

 

Tzuling Lin (National Taiwan University)

 

 

14:50-15:00

Small Break

 

 

15:00-16:30

Session 7(A): Credit Risk and Derivatives (Invited)

 

Venue: Archimedes Chamber

 

Organizer: San-Lin Chung (National Taiwan University)

 

Chair: San-Lin Chung (National Taiwan University)

 

 

 

(1)   Anatomy of a Financial Crisis: Endogenous Modeling of Financial

 

Ren-Raw Chen (Fordham University)

 

 

 

(2)   Mean-Variance Portfolio Selection of Co-Integrated Assets

 

Hoi Ying Wong (Chinese University of Hong Kong)

 

 

 

(3)   Valuation of constant maturity credit default swaps

 

Meng-Lan Yueh (National Central University)

 

 

 

Session 7 (B): Market Behavior and Related Issues (Invited)

 

Venue: Rock Chamber

 

Organizer: Shing-Yang Hu (National Taiwan University)

 

Chair: Jialin Yu  (Columbia University)

 

 

 

(1)   The Price Impact of Large Hedging Trades

 

Neil D. Pearson (University of Illinois at Urbana-Champaign)

 

 

 

(2)    Asymmetry in Ask and Bid Quotes? Responses to Information in the Foreign Exchange Market

 

Yu-Lun Chen ( National Central University)

 

 

 

(3)    Equity Liquidity and Funding Liquidity in Subprime Crisis Period: Evidence from the Financial ETFs Market

 

Huimin Chung (National Chiao-Tung University)

 

 

 

Session 7(C): Futures and Options (Contributed)

 

Venue: Michelangelo Chamber

 

Chair: Chunrong Ai (Shanghai University of Finance and Economics)

 

 

 

(1)   The Application of Stress Testing to CDO Credit Rating

 

Xiang Yuan (Shanghai Maritime University)

 

 

 

(2)   Timing Entry of One-way Essential Complements: The Real Options Approach

 

Piin-hueih Chiang (University of Texas at Austin)

 

 

 

(3)   Intraday Stock Option Market Activity in Taiwan

 

Chia-Ying Chan (Yuan Ze University)

 

 

16:30-16:45

Coffee Break

 

Venue: GIS Convention Center Hallway

 

 

16:45-18:15

Session 8(A): Empirical Finance (II) (Invited)

 

Venue: Rock Chamber

 

Organizer: Chunrong Ai (Shanghai University of Finance and Economics)

 

Chair: Chunrong Ai (Shanghai University of Finance and Economics)

 

 

 

(1)   Investor Sentiment and Idiosyncratic Risk Puzzle

 

Xiaohui Gao (Hong Kong University)

 

 

 

(2)   Where Dream Comes True: Stock Trading and Lottery Buying

 

Tse-Chun Lin (Hong Kong University)

 

 

 

(3)   Can the Performance of Structural Corporate Bond Models Be Improved?

 

Zhongyan Zhu (Chinese University of Hong Kong)

 

 

 

Session 8(B): Financial Risks and Management (Contributed)

 

Venue: Archimedes Chamber

 

Chair: Ning Cai (HKUST)

 

 

 

(1)   Decomposing Long Run Risk with Macroeconomic Fundamentals

 

Tai-Shiang Huang (National Central University)

 

 

 

(2)    The Impact of Financial Crisis on the Value Relevance of Financial Instruments Fair Value Information -- The Case of High-and Low-Technology Industries

 

Ssu-Yung Fang (National Yunlin University of Science and Technology)

 

 

 

Session 8(C): Portfolio Management (Contributed)

 

Venue: Michelangelo Chamber

 

Chair: Joon Park (Indiana University)

 

 

 

(1)   A Diversified Portfolio Model by Using Multiple Objective Programming

 

Wen-Yi Lee (National Chi Nan University)

 

 

 

(2)   Strategic Asset Allocation under Narrow Framing / Loss Aversion

 

Chung-Ying Yeh (Tunghai University)

 

 

 

(3)   The Diversification Effects of Volatility-Related Assets

 

Keng-Yu Ho ( National Taiwan University)

 

 

19:00-20:00

Conference Dinner

 

Venue: B1 East Gate (ɪF), Shangri-La's Far Eastern Plaza Hotel

 

            Tun Hwa South Road, Section 2, Taipei

 


Day 3: June 12nd, Saturday

9:00-10:30

Session 9(A) : Options, Bonds and Others (Invited)

 

Venue: Rock Chamber

 

Organizer: Rong Chen (Rutgers University)

 

Chair: Hefei Wang (University of Illinois at Chicago)

 

 

 

(1)    A Model for Deriving Default Probabilities and Recovery Rates via Corporate Bond Prices

 

Takeaki Kariya (Kyoto University)

 

 

 

(2)   Combining Least-Squares and Quantile Regressions

 

Yong Zhou (Chinese Academy of Sciences)

 

 

 

(3)   The Impact of Liquidity on Option Prices

 

Yaw-Huei Jeffrey Wang (National Taiwan University)

 

 

 

Session 9(B): Portfolio and Model Risks (Invited)

 

Venue: Plato Chamber

 

Organizer: Yi Tang (Morgan Stanley)

 

Chair: Robert Ferstenberg (Morgan Stanley)

 

 

 

(1)   Financial Engineering at Hedge Funds

 

Fei Zhou (Moore Capital)

 

 

 

(2)    Introduction to Enterprise-Level Derivatives Modeling and Pricing
Completing the Picture of the Economics of OTC Derivatives Trading Business

 

Yi Tang (Morgan Stanley)

 

 

 

Session 9 (C): Statistical and Econometical Approaches in Finance (Contributed)

 

Venue: Alexander Chamber

 

Chair: Bingyi Jing (Hong Kong University of Science and Technology)

 

 

 

(1)    An Economic Evaluation of Stock-Bond Return Comovements with Copula-based GARCH Models

 

Zih-Ying Lin (Yuan Ze University)

 

 

 

(2)   Testing the Predictive Power of the Term Structure without Data Snooping Bias

 

Yi-Cheng Kao (Chung Yuan Christian University)

 

 

 

(3)    Is More Always Better? Using Stock and Options Data to Estimate the GARCH Options Pricing Model

 

Charles Chang (Chinese University of Hong Kong)

 

 

10:30-10:50

Coffee Break

 

Venue: GIS Convention Center Hallway

 

 

10:50-11:40

Keynote Speech: The Role of Data and Analytics in Monitoring and
                             Controlling Systemic Risk

 

Speaker: Jay Dweck (Morgan Stanley)

 

Chair: Eric Xingguo Pan (Morgan Stanley)

 

Venue: International Conference Hall

 

 

11:40-12:00

Closing Remarks

 

Venue: International Conference Hall