Workshop on


 The Economics & Finance of Extremes

December 12 & 13, 2005

EURANDOM, Eindhoven, The Netherlands

Programme & Abstracts| Speakers  & Participants |Registration | Practical information

Note The access road to the TU/e campus from the Kennedylaan will be be closed to all traffic. This closure will be indicated on the main roads around the campus, and traffic will be diverted to the nearest open access road.

pictures


SUMMARY

The probabilistic and statistical theory of extreme values and heavy tails has developed vigorously in the last decades. Various types of economic and financial data have been found to exhibit heavy tail features and extreme value theory has been successfully applied to economic problems. For example, Pareto’s work initiated the statistical work on the heavy tail nature of income and firm size distributions; more recently, elegant use was made in finance of statistics of extreme values in Value-at-Risk estimation and lately multivariate EVT has been instrumental for the estimation of systemic risk. While many economic data apparently are heavy tailed and do exhibit stronger interdependencies than the multivariate normal model would suggest, the financial and economics literature that explains these data features is scarce. Recently researchers from various fields such as probability theory, mathematical physics, and financial economics have produced interesting novel explanations.

It is the aim of this workshop to bring together a small group of high profile researchers who work on the (probabilistic) explanations of extremes-related phenomena in economics and finance, like heavy tailed distributions, or the tail behaviour of economic data in general. Apart from the question concerning the typical univariate tail behaviour of financial data, the workshop focuses on multivariate tail properties and their economic foundations. This analysis might explain why specific (tail) copulas should occur or why boundaries of the support of a distribution have certain features. We hope that this workshop will increase the understanding of the probabilistic properties of extremes of economic and financial datasets and will lead to improved statistical models.

SPEAKERS

1 hour Presentations
1. X. Gabaix (MIT)
2. E.V. Khmaladze (Victoria University)
3. S. Resnick (Cornell)
½ hour Presentations
1. J. Einmahl  (Tilburg)
2. L. De Haan (EUR)
3. S. Huang Poon (Manchester)
4. N. Hyung (University of Seoul/Tinbergen Institute)
5. Deyuan Li (Bern)
6. Y. Malevergne (University of Lyon-ISFA)
7. C. van Marrewijk (EUR)
8. T. Mikosch (Copenhagen)
9. J. Perry (FED, Boston)
10. C. de Vries (EUR)

(Tentative PROGRAMME

Monday December 12, 2005

09.45-10.00 O. Boxma,Scientific Director EURANDOM Opening
10.00-11.00 S. Resnick Multivariate heavy tails: Truth in Advertising
11.00-11.30 Break  
11.30-12.00 Y. Malevergne

Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?

12.00-12.30 C. van Marrewijk Comparative advantage, the Rank-Size Rule, and Zipf's Law
12.30-14.00 Lunch
14.00-15.00 X. Gabaix A theory of large movements in stock market activity
15.00-16.00 E. Khmaladze On subordinated "brush" of a large number of rare events
16.00-16.30 Break  
16.30-18.00 Round table
18.00 Conference dinner Restaurant de 4-Azen, Willemstraat 65, Eindhoven

Tuesday December 13, 2005

09.30-10.00 J. Perry The Application of Extreme Value Theory to Operational Loss Data
10.00-10.30 S. Huang Poon A Dynamic and Multivariate Model for Risk Management and Prediction
10.30-11.00 Break
11.00-11.30 J. Einmahl Statistics of extremes: testing the multivariate EVT condition
11.30-12.00 L. de Haan Joint exceedances of the ARCH process
12.00-14.00 Lunch
14.00-14.30 N. Hyung Portfolio Selection with Heavy Tails
14.30-15.00 D. Li On one Probability Problem in Game Theory
15.00-15.30 Break  
15.30-16.00 C. de Vries Weak & Strong Financial Fragility
16.00-16.30 T. Mikosch Dependence and ......

REGISTRATION

There is no registration fee.

PLEASE REGISTER BY FILLING IN THE FORM
(The workshop is open, but the number of participants is limited)

PRACTICAL INFORMATION

Conference Location

the workshop location is EURANDOM,  Den Dolech 2, 5612 AZ Eindhoven, Laplace Building, 1st floor, LG 1.105.

EURANDOM is located on the campus of Eindhoven University of Technology, in the 'Laplacegebouw' building' (LG on the map).  The university is located at 10 minutes walking distance from Eindhoven railway station (take the exit north side and walk towards the tall building on the right with the sign TU/e).

Travel

For those arriving by plane, there is a convenient train connection between Amsterdam Schiphol airport and Eindhoven, with only one change at Duivendrecht. This trip will take about two hours. For more detailed information, please consult the NS travel information pages or see EURANDOM web page location. 

Many low cost carriers also fly to Eindhoven Airport. There is a bus connection to the Eindhoven central railway station from the airport. (Bus route number 401) For details on departure times consult http://www.9292ov.nl 

The University  can be reached easily by car from the highways leading to Eindhoven (for details, see our route descriptions or consult our map with highway connections

Hotel

EURANDOM made preliminary group reservations in

hotel Hampshire Inn, Stratumsedijk 23d/f, Eindhoven. Special price single room  80* euro, double room 90* euro(breakfast included)

Queen hotel, Markt 7, Eindhoven. Special price single room 77,50* euro, double room 95* euro (breakfast included)

 * excl. tourist tax

If you want EURANDOM to make a reservation, indicate the requested nights in the registration page.

For privat bookings we suggest to consult the web pages of the Tourist Information Eindhoven, Postbus 7, 5600 AA Eindhoven.

Lunches/dinner

December 12 and 13 lunches are being organised; free of costs for all participants, if ordered on the registration form.

On Monday evening, December 12 there will be a workshop dinner. For non-invitees an amount of 30 euro is requested, to be paid at arrival in cash (preferably exact amount in euros)

Contact

For more information please contact Mrs. Lucienne Coolen, workshop officer of  EURANDOM, at coolen@eurandom.tue.nl

ORGANISERS:

Prof.dr. J.H.J. Einmahl, Universiteit van Tilburg
Prof.dr. C.G. de Vries, Erasmus Universiteit Rotterdam

This workshops is sponsored by

           KNAW     


Last up-dated 24-02-09

This page is maintained by Lucienne Coolen