Workshop

Anna Watson (Faculty of Economics) Title : Financial Frictions, the Great Trade Collapse and International Trade over the Business Cycle This paper investigates the impact of financial frictions on the dynamics of trade over the business cycle and their role in the great trade collapse of 2008-2009. The study introduces a...

Prof Claudio Albanese (King's College, London) presenting. Title : Coherent global market simulations for counterparty credit portfolios Abstract : Valuing, hedging and securitizing counterparty credit risk involves analyzing large portfolios of netting sets over time horizons spanning decades. Theory dictates that the...

Jimmy Hong (Faculty of Economics) presenting. Title : Analytical CoVaR Abstract : Conditional Value at Risk (CoVaR) is a newly proposed macro prudential risk measure to capture systemic risk and it is claimed to overcome some problems of traditional VaR. Accordingly, the objective of this paper is to propose an analytical...

** Please note the start time ** Dr Bang Dang Nguyen (CJBS) Title : What Death Can Tell: Are Executives Paid for Their Contributions to Firm Value? Abstract : An efficient managerial labor market should compensate executives according to their contribution to shareholder value. We provide novel empirical evidence about the...

** Please note the start time ** Speaker TBC.

Prof Chris Rogers (Statistical Laboratory) presenting. Title: Trading to stops

Prof Giancarlo Corsetti (Faculty of Economics) presenting. Title : What determines government spending multipliers? Abstract : Theory predicts that the effect of fiscal expansion varies with the economic environment, notably the monetary and exchange rate regime, the state of public finances, and the health of the...

Prof John Crosby (UBS and Glasgow University) presenting. Title : Optimal hedging of variance derivatives Abstract : We examine the optimal hedging of variance derivatives, focussing principally on variance swaps (but, en route, also considering skewness swaps), when the underlying stock price has discontinuous sample...

Weiwei Yin (Faculty of Economics) presenting. Title : On the Forecasting Performance of Macroeconomic Fundamentals on Exchange Rate Movements Abstract : This paper investigates the forecasting performance of macroeconomic fundamentals on exchange rate returns using a macro-finance approach. Exchange rate movements are...

Duncan Needham (Faculty of History) presenting. Title : From Keynesian consensus to 'sado-monetarism': UK monetary policy from devaluation to Mrs Thatcher Abstract : This presentation will chart the course of UK monetary policy from the Keynesian consensus of the 1960s to the 'sado-monetarism' of the first Thatcher...