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European Financial Management Symposium 2009
Risk Management in Financial Institutions
April 23-25, 2009
Audencia School of Management-Nantes, France


Accepted Papers & Participants List

A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Participants

Paper


B


Belendo .M , Bruno .B
Email: mascia.bedendo@unibocconi.it
Credit Risk Transfer Practices in US Commercial Banks


Bryce Cormac, Webb Robert and Adams Jennifer
Email: cormac.bryce@gcal.ac.uk
Internal loss data collection implementation: Evidence from a large UK financial institution


C


Casassus Jaime, Aldunate Felipe
Email: jcasassus@uc.cl
Consumption and hedging in oil-importing developing countries


Chernobai Anna, Jorion Philippe and Yu Fan
Email: annac@syr.edu
The Determinants of Operational Losses


Coggins Frank, Chretien Stephane Jerry
Email: Frank.Coggins@usherbrooke.ca
PERFORMANCE AND CONSERVATISM OF MONTHLY FHS VAR: AN INTERNATIONAL INVESTIGATION


Copeland Laurence, Wong K Woon Jerry
Email: copelandL@cf.ac.uk
Risk Measurement and Management in a Crisis-Prone World


Cumming Douglas
Email: douglas.cumming@gmail.com
Hedge Fund Regulation and Misreported Returns World


D


Dalla Pellegrina Lucia
Email: lucia.dallapellegrina@unibocconi.it
Capital Adequacy Ratios, Efficiency and Governance: a Comparison Between Islamic and Western Banks


Dionne Georges, Dahen Hela
Email: georges.dionne@hec.ca
What about Underevaluating Operational Value at Risk in the Banking Sector?


Drobetz Wolfgang, Bessler Wolfgang, Erdmann Thomas and Zimmermann Heinz
Email: wolfgang.drobetz@wiso.uni-hamburg.de
Predictability in the cross-section of European bank stock returns


F


Fabozzi Frank, Chen Ye, Rachev Svetlozar and Sun Wei
Email: frank.fabozzi@yale.edu
Measuring Intra-Daily Market Risk: A Neural Network Approach


H


Hutchinson Mark, Gallagher Liam
Email: m.hutchinson@ucc.ie
Regime Change and Convertible Arbitrage Risk


J


JAISWAL-DALE AMEETA, CONSOLANDI COSTANZA
Email: a9jaiswal@stthomas.edu
US Financial Institutions: Reputational Risk and Senior Management Sell Decisions


L


Le Courtois Olivier, Quittard-Pinon Francois and Bernard Carole
Email: lecourtois@em-lyon.com
Protection of Life Insurance Companies in a Market-Based Framework


M


Madaleno Mara, Pinho Carlos
Email: maramadaleno@ua.pt
The hedging e¤ectiveness of electricity futures


Masulis Ronald, Randall S. Thomas
Email:ronald.masulis@owen.vanderbilt.edu
Does Private Equity Create Wealth? The Effects of Private Equity and Derivatives on Corporate Governance


Moles Peter, Clunie James and Gao Yuan
Email:Peter.Moles@ed.ac.uk
CAVEAT VENDITOR – CROWDED EXITS!


P


PÉRIGNON Christophe, SMITH Daniel
Email: perignon@hec.fr
The Level and Quality of Value-at-Risk Disclosure by Commercial Banks


Petitjean Mikael, Laurent Sebastien and Giot Pierre
Email: mikael.petitjean@fucam.ac.be
Trading activity, realized volatility and jumps


PLUNUS Séverine, PETERS Jean-Philippe and HÜBNER Georges
Email: splunus@ulg.ac.be
Measuring operational risk in financial institutions: Contribution of credit risk modelling


Pop Adrian, Hamalainen Paul, Hall Max
Email: adrian.pop@univ-nantes.fr
Did the Market Signal Impending Problems at Northern Rock? An Analysis of Four Financial Instruments


R


Racicot François-Éric, Théoret Raymond
Email: francoiseric.racicot@uqo.ca
Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an application to Hedge Fund Returns


Ruenzi Stefan, Ciccotello Conrad
Email: stefan.ruenzi@mccombs.utexas.edu
Does Team Management Reduce Operational Risk? Evidence from the Financial Services Industry


S


Silipo Damiano, Drago Danilo and Agostino Mariarosaria
Email: silipo@unical.it
THE VALUE RELEVANCE OF IFRS IN THE EUROPEAN BANKING INDUSTRY


Six Pierre, Attaoui Sami
Email: pierre.six@univ-paris1.fr
Commodity derivatives pricing with an endogenous convenience yield market price of risk


Strom Reidar
Email: reidar.o.strom@hiof.no
Microfnance mission drift?


Sy Malick, Nguyen Lan, Ming Yu Cheng
Email: Malick.sy@rmit.edu.au
PERFORMANCE PERSISTENCE OF MONTHLY RETURNS ACROSS STRATEGIES: A STUDY ON ASIAN HEDGE FUNDS


T


Tabak Benjamin, Souto Marcos and Barnhill Theodore
Email: benjamin@ucb.br
Offsite Bank Supervision Analysis of Bank Profitability, Risk, and Capital Adequacy: A Portfolio Simulation Approach Applied to a Set of Brazilian Banks


Terraza Virginie, Toque Carole
Email: carole.toque@uni.lu
Funds Rating: The predictive power


W


Weiss Gregor
Email: weiss@ikf.ruhr-uni-bochum.de
Analysing Contagion and Bailout E ects with Copulae - The Case of Germany's IKB


Wilhelmsson Anders, Nyberg Peter
Email: anders.vilhelmsson@nek.lu.se
Measuring Event Risk


Wu Zhenyu, Li Yuanshun, Ding Shujun and Jia Chunxin
Email: wu@edwards.usask.ca
Enterprise Risk Management and Financial Stability in Dual-Board Corporate Governance System


X


Xie Yan Alice, Qi Howard, Liu Sheen and Wu Chunchi
Email:yanxie@umd.umich.edu
Inferring Default Correlation from Equity Return Correlation


Y


Yanou Ghislain
Email:ghislain.yanou@malix.univ-paris1.fr
Extension of Random Matrix Theory to the L-moments for Robust Portfolio Allocation