Session: WE-P-DA
Systemic Risk

Chair

Svetlana Borovkova

Time

14:30 - 16:30 on Wednesday, 18th of July 2018

Venue

Davis

14:30

Measuring systemic risk: The Indirect Contagion Index

Eric Schaanning (ETH Zurich), Rama Cont (Imperial College and CFM)
15:00

Is more data always better? Optimal data usage in non-stationary systems

Jakob Krause (Martin-Luther University Halle-Wittenberg)
15:30

News Sentiment Indices for Sectors and Industries

Svetlana Borovkova (Vrije Universiteit Amsterdam)
16:00

Dynamic Initial Margin Estimation based on Quantiles of Johnson Distributions

Thomas McWalter (University of Cape Town), Joerg Kienitz (University of Cape Town), Nikolai Nowaczyk (Quaternion Risk Management), Ralph Rudd (University of Cape Town), Sarp Acar (Quaternion Risk Management)