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seminario Louis H. Y. Chen a Venezia il 24 Settembre
by Andrea COLLEVECCHIO 18 Sep '14

18 Sep '14

Cari Colleghi, vorrei segnalarvi il seguente seminario che si terrà Mercoledi 24 Settembre alle ore 11:45 Louis H. Y. Chen (National University of Singapore) On the error bound in a combinatorial central limit theorem Il seminario si terrà in aula Giuseppe Volpato . (Dipartimento di Management, Campus San Giobbe, Cannaregio 873, 30121 Venezia Venezia) Andrea Collevecchio ABSTRACT The notion of exchangeable pair is central to Stein's method. The use of concentration inequalities is an effective means for bounding the Kolmogorov distance in normal approximation. Let $\{X_{ij}: i, j = 1, \cdots, n\}$ be independent random variables with finite 3rd moments and let $\pi$ be a random permutation of $(1, \dots,n)$, independent of the $X_{ij}$. Let $U = \sum_{i=1}^n X_{i\pi(i)}$ and let $W = (U - \mathbb{E} U)/(\mathrm{Var}(U))^{\frac{1}{2}}$. In this talk we will use exchangeable pairs and the concentration inequality approach to obtain a 3rd-moment error bound on $|P(W \le x) - \Phi(x)|$, where $\Phi$ is the standard normal distribution function. This result includes the case where the $X_{ij}$ are constants and the case of sampling without replacement from independent random variables. This talk is based on joint work with Xiao Fang. -- Andrea Collevecchio, PhD Assistant Professor Department of Management Ca' Foscari University Venice - Italy webpage http://virgo.unive.it/collevec/home.html

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MiniWorkshop: Stochastic Processes, Orderings and Dependence. Contributions by Bruno Bassan and recent developments
by Nappo, Giovanna 18 Sep '14

18 Sep '14

Stochastic Processes, Orderings and Dependence Contributions by Bruno Bassan and recent developments October 8, 2014 Aula Picone, Department of Mathematics, University "La Sapienza", Rome ------------------------------------------------------------------------------------------------------------------------------- A Mini-Workshop on Stochastic Processes, Stochastic Orderings, Dependence among random variables and related topics will be held at the Department of Mathematics, Università di Roma "La Sapienza". The meeting will be devoted to discuss the scientific contributions of our colleague Bruno Bassan (1956-2004) and recent developments on these topics. The invited speakers are F. Durante (Libera Università di Bolzano), I.Meilijson (Tel Aviv University), E. Orsingher (Università di Roma "La Sapienza"), F. Pellerey (Politecnico di Torino), Y. Rinott (Hebrew University, Jerusalem), C. Sempi (Università di Lecce). The detailed program is given below. (see also http://www1.mat.uniroma1.it/ricerca/convegni/2014/BrunoBassanDay2014/progra…) Besides the talks by the invited speakers, some time will be devoted to short contributions by other collaborators and friends of Bruno's. This event could also be of interest to scholars from different fields, who have had personal and professional interactions with Bruno. All interested persons are invited to attend the Mini-Workshop. The participation is free. Attendants are, however, kindly requested to complete the Registration Form enclosed. Please send the registration form to nappo(a)mat.uniroma1.it (Please specify in the Subject: Participation Mini-Workshop) The Organizing Committee Marilena Barbieri (Università di Roma 3) Clelia Di Serio (Università San Raffaele, Milano) Giovanna Nappo (Università di Roma "La Sapienza" ) Julia Mortera (Università di Roma 3) Mauro Piccioni (Università di Roma "La Sapienza" ) Marco Scarsini (Libera Università di Studi Sociali "Guido Carli", Roma) Fabio Spizzichino (Università di Roma "La Sapienza" ) _________________________________________________________________ Scientific Program October 8, 2014 Aula Picone, Dipartimento di Matematica Università "La Sapienza", Piazzale A. Moro 2, Roma 10.00 - 10.15 Opening 10.15 - 10.55 Yosef Rinott (Hebrew University, Jerusalem) On model selection 11.00 - 11.40 Fabrizio Durante (Free University of Bolzano) and Carlo Sempi (University of Lecce) The origin of the development of semi-copulas and their applications 11.45 - 12.30 Time for short contributions 12.30 - 14.30 LUNCH BREAK 14.30- 15.10 Franco Pellerey (Politecnico di Torino) Stochastic orders: a brief introduction and Bruno's contributions 15.15 - 15.45 Time for short contributions 15.45 - 16.15 Break 16.15 - 16.55 Enzo Orsingher (University of Rome, "La Sapienza") Random fields and processes at finite velocity 17.00-17.40 Isaac Meilijson (Tel Aviv University) Granule membranes play dice. The quantal nature of secretion 17.45 Closing remarks webpage: http://www1.mat.uniroma1.it/ricerca/convegni/2014/BrunoBassanDay2014/BrunoB… Partially supported by Research Projects "Modelli e Algoritmi Stocastici: Convergenza e Ottimizzazione" and "Modelli Probabilistici, Analisi del Rischio e Confronti Stocastici", 2009 and 2013, at Università di Roma "La Sapienza". ____________________________________________________________ ABSTRACTS OF TALKS Fabrizio Durante, Libera Università di Bolzano, and Carlo Sempi, Università di Lecce The origin of the development of semi-copulas and their applications Abstract: The talk discusses the class of semi-copulas that originated from a seminal paper by Bassan and Spizzichino (2003) and, since then, have been applied in various fields of applied probability and fuzzy set theory. Isaac Meilijson, School of Mathematical Sciences, Tel Aviv University Granule membranes play dice. The quantal nature of secretion Abstract: Secretory cells contain small and large granules, but the functional significance of granule size is unclear. Attempts to understand the granule life cycle led us to establish a growth and elimination stochastic model that explains granule dynamics from the creation of unit granules, via aggregation of these unit granules into bigger ones, to their secretion out of the cell at some stage, by steady slow basal secretion or by occasional fast evoked secretion upon demand. Almost mimicking a Last-In-First-Out queue discipline, the unit granule is the most probable granule to be secreted under basal secretion, while larger granules, with longer shelf-life, function as inventory to be stored for emergency and secreted under evoked secretion. Granule fusion, either with each other to grow or with the cell membrane for secretion, is a fascinating drama played by SNARE proteins. The talk, a synopsis of this drama, will show evidence for granule aggregation and describe the information role it plays in the communication of the cell with its environment. Joint work with Ilan Hammel, Faculty of Medicine, Tel Aviv University. Enzo Orsingher , Università di Roma "La Sapienza". Random fields and processes at finite velocity Abstract: The distribution of maxima for some random fields will be analyzed in terms of Slepian's inequality. Some extensions of the telegraph process are also considered. Franco Pellerey, Politecnico di Torino Stochastic orders: a brief introduction and Bruno's contributions Abstract: The talk provides a short introduction to stochastic orders and their use in multivariate survival analysis, one of the scientific interest of Bruno Bassan. A description of his main results in this topic is also provided, together with an example of recent applications of his studies. Yosef Rinott, Hebrew University, Jerusalem On model selection Abstract: I will discuss the notion of a model in statistics and applied probability, and some models in Bruno's work. I will then briefly discuss criteria for model selection in statistics __________________________________________________________________________ __________________________________________________________________________ REGISTRATION FORM (http://www1.mat.uniroma1.it/ricerca/convegni/2014/BrunoBassanDay2014/regist…) I wish to participate in the Mini-Workshop Stochastic Processes, Orderings and Dependence, October 8, 2014 Aula Picone, Department of Mathematics, University "La Sapienza", Piazzale Aldo Moro 2, Rome, -------------------------------------------- October 8, 2014 Morning Yes [ ] No [ ] October 8, 2014 Afternoon Yes [ ] No [ ] First name Surname Affiliation e-mail address We are planning to have lunch all together at "The Game - Globus" (more information later) Are you potentially interested? Yes [ ] (you will be asked to confirm your intention later) No [ ] ------------------------------------------------------------------------------------------------------------------------------------- Please, send to nappo(a)mat.uniroma1.it specifying Participation Mini-Workshop in the Subject. Deadline: Wednesday, 1st October. This form can be downloaded here: http://www1.mat.uniroma1.it/ricerca/convegni/2014/BrunoBassanDay2014/regist…

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de Finetti risk seminar - settembre 2014
by emanuela.rosazza1＠unimib.it 18 Sep '14

18 Sep '14

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seminario Abdelhakim Necir
by Francesca Greselin 18 Sep '14

18 Sep '14

Il Dipartimento di Statistica e Metodi Quantitativi dell’Università di Milano Bicocca (Via Bicocca degli Arcimboldi, 8 MILANO) invita al seguente seminario. Venerdì 19 settembre, alle ore 11.30, nell'aula Consiglio della Scuola di Economia e Statistica 4° piano, Edificio U7, il Prof. Abdelhakim Necir terrà il seguente seminario: A Kaplan-Meier process for a heavy-tail distribution toward the tail index estimation under random censoring Abdelhakim Necir Laboratory of Applied Mathematics, University Mohamed Khider of Biskra, Algeria Abstract: In the case of complete data, weak approximations to tail empirical processes for heavy-tailed distributions have been established by many authors. In this paper, we consider the random censoring setting through a tail Kaplan-Meier process and define a new estimator of the extreme value index. Under mild conditions, we establish the consistency and asymptotic normality of the proposed estimator and, through an extensive simulation study, we investigate its performance and compare it to the adapted Hill estimator introduced by Einmahl et al. (2008). Our result will be of great interest to derive the limit distributions of many statistics based on extreme values for randomly censored data such as the estimators of tail indices, actuarial risk measures and goodness-of-fit functionals.

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Seminario Silvia Maggi, IIT (RGS & Matematica Applicata)
by Giacomo Aletti 16 Sep '14

16 Sep '14

Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli. Cordialmente, Giacomo Aletti -------------- Nell'ambito dei Reading Group Seminars e del Seminario di Matematica Applicata, il giorno lunedì 22 Settembre 2014, alle ore 14.30, nell'Aula C del Dipartimento di Matematica dell'Universita' degli Studi di Milano, Via C. Saldini, 50, Milano, Silvia MAGGI, IIT Genova terra' una conferenza dal titolo Integrative Analysis of Electrophysiological and Behavioral Data in the After-hour Circadian Mouse Model Abstract: Physiological and behavioural changes can occur across different timescales. Circadian rhythms include a series of oscillations with approximately 24 hours periodicity and influence different functions in different domains. We have investigated the sleep-wake cycle and cognitive timing in the After-hours (Afh) mice, which carry a single point mutation in the Fbxl3 gene resulting in a substantial lengthening of the circadian period. The analysis of electroencephalogram (EEG) and electromyogram (EMG) signals, recorded under light-dark (LD) and dark-dark (DD) schedule revealed several differences in the sleep structure and sleep homeostasis between mutants and wild-type mice. Then, we investigated whether the alteration of circadian clock and sleep affected the estimation of short intervals and timing uncertainty in decision-making behavioral tasks over 24 hours. Differences in the daily distribution of sleep between Afh mutants and controls correlate with a reduced performance in mutants, suggesting that the mutation augments the effects of sleep inertia. A Generalized Linear model of our data provided a prediction of how the circadian clock and sleep affect behavioral/cognitive measures, uncovering novel dynamics between these two processes. Reading Group Seminars: The Reading Group Seminars (RGS) are organized within an open community of researchers interested in applying mathematical approaches to the study of biological systems. Updates on our initiatives can be found at: https://sites.google.com/site/readinggroupseminar as well as by subscribing to our RGS group https://groups.google.com/forum/#!forum/neurocomp-rgs -- ------------------------------- Giacomo Aletti, Associate Professor ADAMSS Centre (ex MIRIAM) Advanced Applied Mathematical and Statistical Sciences Department of Mathematics (www.mat.unimi.it) Via Saldini, 50 20133 Milano, Italy Tel: +39-02-503.16158 Fax:+39-02-503.16090 Cell: +39-340-9739142

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Seminario di Nicolas Bousquet a Pavia
by Federico Bassetti 11 Sep '14

11 Sep '14

Venerdi' 19 settembre 2014, alle ore 11, presso l'aula Beltrami del Dipartimento di Matematica dell'Universita' degli Studi di Pavia (via Ferrata 1, Pavia) Nicolas Bousquet (EDF Research and Development, Dpt. of Industrial Risk Management, Chatou) terrà il seminario dal titolo *Some ideas about prior elicitation in Bayesian risk and reliability analysis* When dealing with small samples and large uncertainties in statistical risk and reliability analysis (typically when a highly reliable industrial component is studied, or when focusing on extreme events with the appropriate statistical theory), the help of Bayesian analysis, allowing to incorporate expert assessments based on technical knowledge, past ground experiments, meta-analyses.. , can be useful. Technically, it is needed to encode prior information into one or several statistical distributions. We review here some difficulties arising in practice, both technical and from the point of view of a control authority. Some methodological ideas about how eliciting a "good" prior are discussed, especially in the context where several sampling models can be compared (and their priors must be calibrated to do so). A major idea is speaking in terms of virtual data. Applications will deals with conjugate priors, some discrete models and Weibull, Gamma and extreme values models. Gli interessati sono invitati a partecipare. -- Federico Bassetti Dipartimento di Matematica, Universita' degli Studi di Pavia, Via Ferrata 1, 27100 Pavia, Italy E-mail federico.bassetti(a)unipv.it phone: +39 0382985633 // fax: +39 0382985602

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Taniguchi's seminar at Bergamo University
by Ilia Negri 09 Sep '14

09 Sep '14

We are glad to invite you to the following seminar When: September 16th, 2014, 11:00 am Where: epartment of Management, Economics and quantitative Methods, Via dei Caniana n. 2 – Room 15 Title: Unified View of Portmanteau Tests for General Statistical Models Speacker: Masanobu TANIGUCHI Department of Applied Mathematics School of Science and Engineering Waseda University of Tokyo, Japan Abstract: This talk consists of the two parts (I) and (II). (I) Systematic Approach for Portmanteau Tests in View of Whittle Likelihood Ratio: Box and Pierce (1970) proposed a test statistic TBP which is the squared sum of m sample autocorrelations of the estimated residual process of autoregressive moving average model of order (p,q). TBP is called the classical portmanteau test. Under the null hypothesis that the autoregressive-moving average model of order (p,q) is adequate, they suggested that the distribution of TBP is approximated by chi-square distribution with (m-p-q) degrees of freedom, ”if m is moderately large”. This paper shows that TBP is understood as a special form of Whittle likelihood ratio test TPW for autoregressive-moving average spectral density with m-dependent residual process. Then, it is shown that, for any finite m, TPW does not converge to chi-square distribution with (m-p-q) degrees of freedom in distribution, and that, if we assume Bloomfield’s exponential spectral density TPW is asymptotically chi-square distributed for any finite m. From this observation we propose a natural Whittle likelihood ratio test TWLR which is always asymptotically chi-square distributed. Its local power is also evaluated. Numerical studies illuminate interesting features of TWLR. Because many versions of the portmanteau test have been proposed, and been used in variety of fields, our systematic approach for portmanteau tests and proposal of TWLR will give a unified view and useful applications. (II) A Unified View of Portmanteau Test for Diagnostic Checking : Here we construct a portmanteau test statistic TP as a sort of the likelihood ratio test for general statistical models based on the procedure given in (I). Then we derive sufficient conditions that the statistic is asymptotically chi-square distributed. Furthermore, it is shown that if a time series model whose spectral density has a product structure satisfies appropriate conditions, TP is asymptotically chi-square distributed. We also introduce a useful application of the test for variable selection. (Joint work with Tomoyuki AMANO and Hiroaki Odashima) For further information please contact: ilia.negri(a)unibg.it or marida.bertocchi(a)unibg.it Ilia Negri http://www.unibg.it/pers/?ilia.negri

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Fwd: avviso seminari di Finanza Quantitativa prof. Xuezhong He (10.09.2014)
by Fabrizio Lillo 08 Sep '14

08 Sep '14

---------- Forwarded message ---------- From: <valeria.giuliani(a)sns.it> Date: 2014-09-08 9:57 GMT+02:00 Subject: avviso seminari di Finanza Quantitativa prof. Xuezhong He (10.09.2014) To: professori.sci(a)sns.it, professori.td.sci(a)sns.it, ricercatori.sci(a)sns.it, ricercatori.td.sci(a)sns.it, assegnisti.sci(a)sns.it, phd.sci(a)sns.it, allievi.sci(a)sns.it Cc: Classi <classi(a)sns.it>, Portineria Carovana <portineria.carovana(a)sns.it>, Sito SNS <sitosns(a)sns.it> NO FREE LUNCH SEMINAR seminari di finanza quantitativa Mercoledì 10 settembre 2014 ore 13.00 *Scuola Normale Superiore* Pisa Aula Mancini *Xuezhong He* *University of Technology, Sydney (Australia)* Terrà un seminario dal titolo: *“**OPTIMALITY OF MOMENTUM AND REVERSAL”* *Abstract:* We develop a continuous-time asset price model to capture short-run momentum and long-run reversal. By studying a dynamic asset allocation problem, we derive the optimal investment strategy in closed form and show that the combined momentum and reversal strategies are optimal. We then estimate the model to the S&P 500 and demonstrate that, by taking the timing opportunity with respect to trend in return and market volatility, the optimal strategies outperform not only pure momentum and pure mean reversion strategies, but also the market index and time series momentum strategy. Furthermore we show that the optimality also holds to the out-of-sample tests and short-sale constraints and the out performance is immune to market states, investor sentiment and market volatility. Tutti gli interessati sono invitati a partecipare. Classe di Scienze Valeria Giuliani Scuola Normale Superiore Servizio alla Didattica e Allievi Tel. 050-509260 Piazza dei Cavalieri, 7 56126 Pisa E-Mail: v.giuliani(a)sns.it E-Mail: classi(a)sns.it Le informazioni contenute nella presente e-mail e nei relativi allegati possono essere riservate e sono, comunque, destinate esclusivamente al destinatario in indirizzo. E’ vietata, pertanto, la diffusione, distribuzione e/o copiatura di tali informazioni da parte di qualsiasi soggetto diverso dal destinatario. Chiunque abbia ricevuto o letto questa e-mail per errore o senza esserne legittimato è invitato a darne immediatamente notizia al mittente tramite fax o e-mail e a distruggerla. Grazie. -- ---------------------------------------- Fabrizio Lillo Scuola Normale Superiore di Pisa, Dipartimento di Fisica, Universita' di Palermo & Santa Fe Institute, U.S.A. Piazza dei Cavalieri 7 56126 Pisa ITALY phone: +39 050509159

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Dependence in Risk Measurement and Risk Management
by giovanni.puccetti＠unifi.it 08 Sep '14

08 Sep '14

Workshop “Dependence in Risk Measurement and Risk Management” https://sites.google.com/site/dependencerisk/ When/where: December 18-19, 2014 at the Novoli campus of the University of Firenze Invited Speakers: FABIO BELLINI (Milano Bicocca) ELENA DI BERNARDINO (CNAM Paris) JEAN JACOD (Paris VI) FABRIZIO LILLO (SNS Pisa) MARK PODOLSKIJ (Aarhus University) Registration: completely free and early registrations also receive free materials Abstract submissions: not later than October 26, 2014 Hope to see you in Firenze!

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International Conference on "The New Financial Regulatory System: Challenges and Consequences for the Financial Sector" in Venice - Programme
by Monica Billio 07 Sep '14

07 Sep '14

13th INTERNATIONAL CONFERENCE C R E D I T 2014 *The New Financial Regulatory System: Challenges and Consequences for the Financial Sector *Venice, Italy 25 - 26 September 2014 The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference this year focuses on *The New Financial Regulatory System: Challenges and Consequences for the Financial Sector* and will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference is the *thirteenth* of a series dedicated to various aspects of credit risk. The *co-sponsors* of the Conference are *GRETA Associati* (Venice, Italy), *Research Center SAFE *at Goethe University Frankfurt (Frankfurt, Germany), *Intesa Sanpaolo *(Milan, Italy) and SYRTO - SYstemic Risk TOmography*-* a project funded by the European Union under the 7th Framework Programme (FP7-SSH/2007-2013) Grant Agreement n° 320270. The Conference is organised under the *auspices *of the *Department of Economics of the University Ca? Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank Institute.* The Scientific Committee for the Conference consists of: *Jan Krahnen*, Goethe University & SAFE,**Programme Chair, *Monica Billio*, Ca? Foscari University of Venice, *Steven Ongena*, University of Zurich, *Stephen Schaefer*, London Business School and *Kenneth Singleton*, Stanford University. PROGRAMME Thursday, September 25 2014 9.00 - 9.15_Opening Remarks _9.15 - 11.00_Session I: Bank risk taking, capital structure and credit risk_ Key-note talk: /Countering Systemic Risk through Banking Regulation and Other Means, /*Franklin Allen* (Wharton University of Pennsylvania, Philadelphia & Imperial College London) /Did CDS Make Banks Riskier? The Effects of Credit Default Swaps on Bank Capital and Lending, /Susan Chenyu Shan (Shanghai Jiao Tong University), Dragon Yongjun Tang (The University of Hong Kong) and Hong Yan (University of South Carolina, Columbia & Shanghai Jiao Tong University) - _Discussant:_ Stephen Schaefer**(London Business School) /Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks, /Matthias Efing (University of Geneva & Swiss Finance Institute), Harald Hau (University of Geneva & Swiss Finance Institute), Patrick Kampkötter (University of Cologne) and Johannes Steinbrecher (Ifo Institute Branch Dresden) - _Discussant:_ Marcella Lucchetta (Ca? Foscari University of Venice) 11.30 - 13.00_Session II: New development in the banking markets_ /Do LTV and DSTI Caps Make Banks More Resilient?, /Michel Dietsch (University of Strasbourg & Prudential Supervision and Resolution Authority - Banque de France) and Cécile Welter-Nicol (Prudential Supervision and Resolution Authority - Banque de France) - _Discussant:_ Paul Schempp**(University of Bonn & Max Planck Institute for Research on Collective Goods) /Credit Growth and Bank Capital Requirements: Binding or Not?, /Claire Labonne (Prudential Supervision and Resolution Authority - Banque de France) and Gildas Lamé (INSEE-CREST, Paris) - _Discussant:_ Andrea Giacomelli**(Ca? Foscari University of Venice & GRETA, Venice) /Conditional Accounting Conservatism and Bank Risk Taking, /Manuel Illueca (University Jaume I, Castellón de la Plana), Lars Norden (Erasmus University Rotterdam) and Gregory F. Udell (Indiana University, Bloomington) - _Discussant:_ Umberto Cherubini**(University of Bologna) 14.30 - 16.00_Session III: Capital regulation_ /A Dynamic Model of Banking with Uninsurable Risks and Regulatory Constraints/, Jochen Mankart (Deutche Bundesbank), Alexander Michaelides (Imperial College Business School, London, CEPR, London & NETSPAR, Tilburg) and Spyros Pagratis (Athens University of Economics and Business) - _Discussant:_ Arjen Siegmann**(Vrije Universiteit, Amsterdam) /Higher Bank Capital Requirements and Mortgage Pricing: Evidence from the Counter-Cyclical Capital Buffer, /Christoph Basten (ETH Zurich & Swiss Financial Market Supervisory Authority FINMA) and Catherine Koch (University of Zurich) - _Discussant:_ Jongsub Lee**(University of Florida, Gainesville) /The Limits of Model-Based Regulation, /Markus Behn (Bonn University & Deutsche Bundesbank), Rainer Haselmann (Bonn University) and Vikrant Vig (London Business School) - _Discussant:_ Steven**Ongena**(University of Zurich) 17.00 - 18.30_Session IV: Systemic risk_ /Fire-Sale Spillovers and Systemic Risk, /Fernando Duarte (Federal Reserve Bank of New York) and Thomas M. Eisenbach (Federal Reserve Bank of New York) - _Discussant:_ Harald Scheule**(University of Technology, Sydney) /The Removal of Credit Ratings from Capital Regulation: Implications for Systemic Risk, /Kathleen Weiss Hanley (University of Maryland, College Park) and Stanislava Nikolova (University of Nebraska, Lincoln) - _Discussant:_ Giovanni Zambruno**(Milano Bicocca University) /Systemic and Systematic Risk, /Monica Billio (Ca? Foscari University of Venice), Massimilano Caporin (University of Padua), Roberto Panzica (Goethe University Frankfurt) and Loriana Pelizzon (Ca? Foscari University of Venice & Goethe University Frankfurt) - _Discussant:_ Simonetta Iannotti**(Bank of International Settlements, Basel) Friday, September 26 2014 9.00 - 10.45_Session V: Financial markets regulation_ Key-note talk: /Equilibrium Fast Trading, /*Thierry Foucault* (HEC Paris) /Central Clearing and Collateral Demand, /Darrell Duffie (Stanford University & National Bureau of Economic Research), Martin Scheicher (European Systemic Risk Board) and Guillaume Vuillemey (Sciences-Po Paris & Banque de France) - _Discussant:_ Mario Bellia**(Ca? Foscari University of Venice & Goethe University Frankfurt) /Sand in the Chips? Evidence on Taxing Transactions in Modern Markets, /Jean-Edouard Colliard (European Central Bank) and Peter Hoffmann (European Central Bank) - _Discussant:_ Rémy Praz**(EPFL, Lausanne) 11.15 - 12.45_Session VI: Liquidity and credit_ /Did Liquidity Providers Become Liquidity Seekers? Evidence the CDS-Bond Basis During the 2008 Financial Crisis, /Jaewon Choi (University of Illinois at Urbana-Champaign) and Or Shachar (Federal Reserve Bank of New York) - _Discussant:_//Alessandro Fontana**(European Commission Joint Research Centre) /Credit and Liquidity in Interbank Rates: a Quadratic Approach, /Simon Dubecq (European Central Bank & CREST), Alain Monfort (CREST, Banque de France & Maastricht University), Jean-Paul Renne (Banque de France) and Guillaume Roussellet (Banque de France, CREST & CEREMADE, Paris) - _Discussant:_ Jens Dick-Nielsen**(Copenhagen Business School) /Liquidity Risk and Distressed Equity, /Mamdouh Medhat (Copenhagen Business School) - _Discussant:_ Jean-Cyprien Héam**(Prudential Supervision and Resolution Authority - Banque de France & CREST) 14.15 - 16.00_Session VII: Banking Union_ /Supervisory Incentives in a Banking Union, /Elena Carletti (Bocconi University, CEPR, London & IGIER, Milan), Giovanni Dell'Ariccia (International Monetary Fund & CEPR, London) and Robert Marquez (University of California, Davis) - _Discussant:_ Elisa Luciano**(University of Turin & Collegio Carlo Alberto, Turin) /The Political Economy of Bank Bailouts, /Markus Behn (Bonn University & Deutsche Bundesbank), Rainer Haselmann (Bonn University), Thomas Kick (Deutsche Bundesbank) and Vikrant Vig (London Business School) - _Discussant:_ Nadia Linciano**(CONSOB) Key-note talk: /Ethics in Finance: a Banking Supervisor's Perspective, /*Ignazio Angeloni* (European Central Bank) 17.00 - 18.30_PANEL Session _ REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website (http://www.greta.it/credit/credit2014/credit2014.htm <http://www.greta.it/credit/credit2014/credit2014.htm>). Registration fees are: Academics:300 Euro + VAT Practitioners:1000 Euro + VAT PhD Students*:130 Euro + VAT *VAT is currently 22% **Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on September 25, 2014, for which there is an extra charge of 80.00 Euro for each participant (conference attendees as well as accompanying persons). For more detailed information (registration, accommodation and Conference venue), please refer to the Conference website: http://www.greta.it/credit/credit2014/credit2014.htm <http://www.greta.it/credit/credit2014/credit2014.htm> GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: credit(a)greta.it <mailto:credit@greta.it> website: _www.greta.it_ <http://www.greta.it/>

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