JSM2024
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Contributed Papers

Risk Analysis, Management, and Investing

Thu, Aug 8, 10:30 AM - 12:20 PM
Antony SikorskiChair
Business and Economic Statistics Section

7 Presentations

A comprehensive examination for machine learning in corporate bankruptcy prediction
10:35 AM - 10:50 AM
Jiantong Wang (University of Cincinnati)
Co-authors: Yan Yu (University of Cincinnati)
Corporate Probability of Default: A Single-Index Model with Multiple-Link Approach
10:50 AM - 11:05 AM
Shun Dong
Co-authors: Shaobo Li (University of Kansas), Ben Sherwood (University of Kansas)
Estimating the Value at Risk of a bank's portfolio in sovereign bonds using a DCC-Copula model
11:05 AM - 11:20 AM
Luis Melo (Banco de la Republica)
Co-authors: Daniela Gualtero (Banco de la Republica (Central Banck of Colombia))
Fairness-aware Contextual Dynamic Pricing with Strategic Buyers
11:20 AM - 11:35 AM
Pangpang Liu
Co-authors: Will Wei Sun (Purdue University)
Machine Learning and Financial Risk Management
11:35 AM - 11:50 AM
Georges Tsafack (University of Rhode Island)
Co-authors: Nafise Aalipour
The use of big data in ESG monitoring and evaluation
11:50 AM - 12:05 PM
Malgorzata Tarczynska-Luniewska (University of Szczecin)
Uncovering the Reversal Phenomenon in Risk-Adjusted Returns: An Examination of the Sharpe Ratio
12:05 PM - 12:20 PM
Nafise Aalipour
Co-authors: Georges Tsafack (University of Rhode Island)
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