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Sessions Were Renumbered as of May 19.

CC-W = McCormick Place Convention Center, West Building,   CC-N = McCormick Place Convention Center, North Building
H = Hilton Chicago,   UC= Conference Chicago at University Center
* = applied session       ! = JSM meeting theme

Activity Details

426 * Tue, 8/2/2016, 2:00 PM - 3:50 PM CC-W177
Financial Risk Analysis — Contributed Papers
Section on Risk Analysis
Chair(s): Mary Louie, Verisk Analytics
2:05 PM Alternative Methods to Estimate Major Banks' Residential and Commercial Mortgage Loan Delinquency Rates for CCAR (Stress Testing) 'Baseline' Scenario Vadim Melnitchouk, Metropolitan State University ; Andrey Vashurin, University of Telecommunications
2:20 PM Trading Strategy Using Stock Moves Prediction and Sentiment Analysis Brahim Brahim, Big Data Visualizations Inc. ; Sun Makosso-Kallyth, McMaster University
2:35 PM A Two-Dimensional Poisson Autoregression with Application to Association Study of Two Financial Markets Ke Wang ; Haipeng Xing, SUNY Stony Brook
2:50 PM Sparse Bayesian Graphical Vector Autoregression For Risk Analysis Daniel Felix Ahelegbey, Boston University ; Monica Billio, University of Venice ; Roberto Casarin, University of Venice
3:05 PM Strictly Archimedean Copula with Complete Association for Multivariate Dependence Based on the Clayton Family Kahadawala Cooray , Central Michigan University
3:20 PM Factors Associated with Systemic Risk: A CoVaR Approach Zhiruo Liu
3:35 PM Pricing Variance Swap by Estimating Risk Neutral Density Liyuan Jiang ; Keren Li, University of Illinois at Chicago ; Fangfang Wang, University of Illinois at Chicago ; Jie Yang, University of Illinois at Chicago
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