Programme

TimeTable

9:00-9:45 Registration
9:45-10:00 Welcome session
10:00-11:00 Plenary Session
11:00-11:30 Coffee Break
11:30-13:00 Morning Session
13:00-14:30 Lunch
14:30-16:30 Afternoon Session
16:30-17:00 Coffee Break
17:00-18:00 Plenary Session

20:00-22:00 Dinner

Scientific Program

Plenary Session (Morning)

Torben Andersen, The Granular Origin of Tail Dispersion Risk, Northwestern University, USA

Morning Session

Susana Martins, Novel global and regional geopolitical risk factors, Universidade Católica Portuguesa, Católica Lisbon, Business & Economics, Portugal

José Carlos Dias, Unpuzzling Volatility Risk Premiums through the Joint SPX/VIX Smile Calibration, ISCTE - Instituto Universitário de Lisboa, Business Research Unit (BRU-IUL), Lisbon, Portugal

António Alberto Santos, Hamiltonian Monte Carlo simulations to estimate extended stochastic volatility models within a time-deformed intraday framework, CeBER, Faculdade de Economia, Universidade de Coimbra, Portugal

Afternoon Session

Pedro Júdice, Interpretable Simulation-Optimization for Dynamic Balance Sheet Management, ISCTE - Instituto Universitário de Lisboa, Business Research Unit (BRU-IUL), Lisbon, Portugal

Nuno Silva, Are International Diversification Benefits Still Achievable: Turn on Machine Learning, CeBER, Faculdade de Economia, Universidade de Coimbra, Portugal

Hélder Sebastião, Portfolio Optimization: Leveraging Big Data to Uncover Key Characteristics, CeBER, Faculdade de Economia, Universidade de Coimbra, Portugal

Rui Pascoal, Calibration of Default Intensities using CDS data, CeBER, Faculdade de Economia, Universidade de Coimbra, Portugal

Plenary Session (Afternoon )

Marc Steinbach, Surprises in multiperiod portfolio optimization: an early case report, Leibniz Universität Hannover, Germany