Sessions Were Renumbered as of May 19.
Legend:
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
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
