November - 2017
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Program

Speakers

Organizing committee

Venue

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Sponsors

Keynote speaker

Andrew Karolyi, Cornell University, S.C. Johnson Graduate School of Management

Andrew Karolyi: The Home Bias Phenomenon Redux

Invited speakers

Jonathan A. Batten, Monash University

Jonathan A. Batten, Harald Kinateder, Peter G. Szilagyi, and Niklas F. Wagner: Liquidity, Surprise Volume and Return Premia in the Oil Market

András Bohák, MSCI

András Bohák: Liquidity Risk Management – A case study of the US Municipal Bond market

Thorsten Hens,  University of Zurich; Norwegian School of Economics and Business Administration (NHH); Swiss Finance Institute (Zurich Center)

Thorsten Hens, Terje Lensberg, Klaus Reiner Schenk-Hoppé: Front-Running and Market Quality: An Evolutionary Perspective on High Frequency Trading

Christoph Kaserer, Technische Universität München

Christoph Kaserer: How do Mutual Funds vs. ETFs Impact Stock Market Liquidity? Evidence form the German Market

 

Imre Kondor, Parmenides Foundation; Corvinus University of Budapest; London Mathematical Laboratory and the Complexity Science Hub, Vienna

Imre Kondor: Analytic approach to portfolio optimization under an l1 constraint

Gábor Víg, Morgan Stanley

Dora Bagyinszki, Gabor Vigh, Norbert Hari: The impact of stochastic LIBOR-OIS basis on counterparty risk

Niklas Wagner, Passau University

Patrizia Perras, Niklas Wagner: Is there a Trading Break Equity Premium?

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Speakers

Aida Barkauskaitė, Kaunas University of Technology

Ausrine Lakstutiene, Aida Barkauskaite, Justyna Witkowska: Is it Necessary to Measure Systemic Risk in Risk-Based Common European Union Deposit Insurance System?

Barbara Będowska-Sójka, Poznań University of Economics

Barbara Będowska-Sójka, Krzysztof Echaust: Commonality in Liquidity and the Dynamics of a Liquidity Index

Edina Berlinger, Corvinus University of Budapest

Edina Berlinger, Barbara Dömötör, Ferenc Illés: Anti-cyclical versus Risk-sensitive Margin Strategies in Central Clearing
Edina Berlinger, Zsolt Bihary, Tamás Vadász: The emergence of core-periphery structures from bilateral partner limits

Zsolt Bihary, Corvinus University of Budapest

Zsolt Bihary, Péter Csóka, Dávid Zoltán Szabó: How Risky is it to Hold Stocks in the Long Run? Spectral Measures of Risk over Time
Edina Berlinger, Zsolt Bihary, Tamás Vadász: The emergence of core-periphery structures from bilateral partner limits
Zsolt Bihary, Barbara Dömötör: How do manager incentives influence corporate hedging?

Péter Csóka, Corvinus University of Budapest and Hungarian Academy of Sciences

Péter Csóka, P. Jean-Jacques Herings: Liability games
Zsolt Bihary, Péter Csóka, Dávid Zoltán Szabó: How Risky is it to Hold Stocks in the Long Run? Spectral Measures of Risk over Time

Barbara Dömötör, Corvinus University of Budapest

Edina Berlinger, Barbara Dömötör, Ferenc Illés: Anti-cyclical versus Risk-sensitive Margin Strategies in Central Clearing
Zsolt Bihary, Barbara Dömötör: How do manager incentives influence corporate hedging?

Sjur Didrik Flåm, University of Bergen

Sjur Didrik Flåm: On Measures, Pricing and Sharing of Risk

Krzysztof Echaust, Poznań University of Economics

Barbara Będowska-Sójka, Krzysztof Echaust: Commonality in Liquidity and the Dynamics of a Liquidity Index

Pekka Honkanen, HEC Paris

Pekka Honkanen, Daniel Schmidt: Price and Liquidity Spillovers during Fire Sale Episodes

Edgars Rihards Indārs, SEB bank Latvia

Edgars Rihards Indārs, Ágnes Lublóy, Alexei Savin: Herding Behaviour in an emerging market: Evidence from Moscow Exchange

Thomas Johann, University of Mannheim

Thomas Johann, Erik Theissen: The Best in Town: A Comparative Analysis of Low-Frequency Liquidity Estimators

Hubert János Kiss, Eötvös Lóránt University and Hungarian Academy of Sciences

László Á. Kóczy, Ágnes Pintér, Balázs Sziklai, Hubert János Kiss: Does Risk Sorting Lead to Bubbles?

László Á. Kóczy, Óbuda University and Hungarian Academy of Sciences

László Á. Kóczy, Ágnes Pintér, Balázs Sziklai, Hubert János Kiss: Does Risk Sorting Lead to Bubbles?

Gábor Kőrösi, KRTK Institute of Economics, Hungarian Academy of Sciences

Gábor Kőrösi: Predicting the unpredictable

Gaurav Kumar, Quinn School of Business, University College Dublin

Gaurav Kumar: Commonality in Liquidity- New Evidence from National Stock Exchange, India

Zhen Lei, Hong Kong Polytechnic University

Zhen Lei: Liquidity effects of institutional investment horizons

Dmitry Levando, National Research University Higher School of Economics, Moscow

Jan Libich, Department of Economics and Finance, La Trobe University, Melbourne & VŠB-TU Ostrava

Jan Libich, Dat Thanh Nguyen: Running Out of Bank Runs

Ágnes Lublóy, Stockholm School of Economics

Edgars Rihards Indārs, Ágnes Lublóy, Alexei Savin: Herding Behaviour in an emerging market: Evidence from Moscow Exchange

Gábor Neszveda, Corvinus University of Budapest

Gábor Neszveda: Aspiration Level Theory and Stock Returns: An Empirical Test

Patrizia Perras, Finance and Financial Control Research Group, University of Passau

Patrizia Perras, Niklas Wagner: Is there a Trading Break Equity Premium?
Patrizia Perras, Niklas Wagner: The Interaction of Equity and Bond Premia

Jean-David Sigaux, European Central Bank, Financial Research Division

Jean-David Sigaux: Trading Ahead of Treasury Auctions

Zorka Simon, Research Center SAFE of Goethe University Frankfurt

Zsuzsa R. Huszár and Zorka Simon: The Liquidity and Welfare Implications of the Securities Lending Market for European Treasuries

Takeharu Sogo, Osaka University of Economics

Takeharu Sogo: Planned Opaqueness in Securitization

Peter Norman Sørensen, University of Copenhagen

Peter Norman Sørensen: The Financial Transactions Tax in Markets with Adverse Selection

Balázs Sziklai, Corvinus University of Budapest and Hungarian Academy of Sciences

László Á. Kóczy, Ágnes Pintér, Balázs Sziklai, Hubert János Kiss: Does Risk Sorting Lead to Bubbles?

Tamás Vadász, Warwick Business School

Edina Berlinger, Zsolt Bihary, Tamás Vadász: The emergence of core-periphery structures from bilateral partner limits
Tamás Vadász, Kebin Ma: Bank Signalling, Risk of Runs, and the Informational Impacts of Regulations

György Varga, FCE Consultoria

György Varga: Liquidity Premium and Buyback Auctions in Domestic Brazilian Government Bonds

György Walter, Corvinus University of Budapest

György Walter: Are project loan prices properly risk adjusted?

Jan Henrik Wosnitza, Deutsche Bundesbank

Jan Henrik Wosnitza, Elena Vakhtina: Alarm Index for Institutional Bank Runs

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Poster presenters

Edina Berlinger, Corvinus University of Budapest

Edina Berlinger, Barbara Dömötör, Zoltán Pollák: Intermediary profit and coreness in the Hungarian interbank unsecured deposit market

Zsolt Bihary, Corvinus University of Budapest

Attila András Víg, Zsolt Bihary: Portfolio allocation under threat of a crash with limited liability

Ondřej Černík, The University of Economics,Prague

Jan Cervenka, Ondřej Černík: Cooperative games and analysis of financial markets and their liquidity

Jan Cervenka, University of Finance and Administration Prague

Jan Cervenka, Ondřej Černík: Cooperative games and analysis of financial markets and their liquidity

Barbara Dömötör, Corvinus University of Budapest

Edina Berlinger, Barbara Dömötör, Zoltán Pollák: Intermediary profit and coreness in the Hungarian interbank unsecured deposit market

Harun Ercan, Corvinus University of Budapest

Harun Ercan, Saysi Sayaseng: A Wavelet Coherence Analysis Contagion in Emerging Countries Stock Markets

Judit Lilla Keresztúri, Corvinus University of Budapest

Judit Lilla Keresztúri, Zsuzsanna Tamásné Vőneki: Forecasting Operation Losses – The Usability of Political Risk Ratings

Gábor Kondor, Corvinus University of Budapest

Gábor Kondor: The effects of modeling assumptions on the guarantees on Target Volatility Funds

Szabolcs Majoros, Eötvös Loránd University

Szabolcs Majoros, András Zempléni: Applying Bivariate Stable Distributions to Daily Logreturns of Stocks

Zoriana Matsuk, Ivano-Frankivsk National Technical University of Oil and Gas

Zoriana Matsuk: Christian Ethics and the Problems of Moral in Modern Financial Assets Trading

Zoltán Pollák, Corvinus University of Budapest

Edina Berlinger, Barbara Dömötör, Zoltán Pollák: Intermediary profit and coreness in the Hungarian interbank unsecured deposit market

Saysi Sayaseng, Corvinus University of Budapest

Saysi Sayaseng, Harun Ercan: The Vulnerability Analysis of the Asian Pacific Banking Sector

Rafał Sieradzki, Cracow University of Economics (Poland)

Rafał Sieradzki, Michał Thlon: Negotiating position of companies in relations with commercial banks– survey results

Attila András Víg, Corvinus University of Budapest

Attila András Víg, Zsolt Bihary: Portfolio allocation under threat of a crash with limited liability

Zsuzsanna Tamásné Vőneki, OTP Bank and Corvinus University of Budapest

Judit Lilla Keresztúri, Zsuzsanna Tamásné Vőneki: Forecasting Operation Losses – The Usability of Political Risk Ratings

András Zempléni, Eötvös Loránd University

Szabolcs Majoros, András Zempléni: Applying Bivariate Stable Distributions to Daily Logreturns of Stocks

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Last modified: 2017.11.19.