02.12.2016
2nd Joint Seminar on Finance: Risk Management and Behavioral Finance
On December 1-2, 2016, the 2nd Joint Seminar on Finance: Risk Management and Behavioral Finance of the Department of Finance and Financial Services, TU Dresden and the Department of Financial Investments and Risk Management, Wroclaw University of Economics (WUE) was held in Dresden. After the 1st Seminar, which took place in Wroclaw in May 2016, the colleagues from WUE were invited to Dresden. The seminar consisted of several presentations from professors, post-docs, PhD-students, and Master-students regarding the topics of "Risk Management" and "Behavioral Finance". The Master-students were participants of the departments' seminar "Empirical & Corporate Finance" and presented the first drafts of their seminar papers in front of an international audience. The venue for the seminar was the assembly hall (Festsaal) of the Rektorat, Mommsenstraße 11.
Prof. Jajuga is giving the welcome address
Participants networked during the session breaks
Seminar Dinner at Gasthaus am Neumarkt
Program:
Thursday:
10:45 - 11:00 Welcome Address - Prof. Dr. Locarek-Junge/Prof. Dr. Jajuga
11:00 - 11:35 Does Sentiment really drive the Stock Market - Christoph Scharnagl
(TU Dresden); Discussant: Lapo Cuiffi (TU Dresden)
11:35 - 12:10 Sentiment in Commodity Markets - Leif Hansen (TU Dresden);
Discussant: Maria Danci (TU Dresden)
12:10 - 12:40 Asian Real Estate Market and Behavioral Finance - Nga Nguyen
(TU Dresden)
12:40 - 14:00 Lunch
14:00 - 14:30 The Use of Similarity Measures in the Valuation of Residential
Real Estate - Dr. Anita Makowska (UE Wrocław)
14:30 - 15:00 Predicting Stock Index Movement Using Text and Network Data
Features - Dr. Kai Heinrich (TU Dresden)
15:00 - 15:15 Coffee Break
15:15 - 15:45 Testing Skewness in the Presence of Fat Tailed Financial
Distributions - Prof. Dr. Krzysztof Piontek (UE Wrocław)
15:45 - 16:15 Measures of Risk for Household Financial Planning – Properties and
Postulates - Dr. Paweł Rokita (UE Wrocław), Dr. Radosław Pietrzyk
(UE Wrocław)
16:15 - 16:45 Does Shareholder Structure Influence Impression Management? The
Case of Polish Letters to Shareholders - Dr. Marek Pauka (UE
Wrocław), Dr. Dominika Fijałkowska (UE Wrocław)
16:45 - 16:50 Closing Remarks Day 1 - Prof. Dr. Jajuga/Prof. Dr. Locarek-Junge
18:00 - 19:15 Visit of the Striezelmarkt (Christmas Market)
19:15 - open Dinner
Friday:
08:55 - 09:00 Opening
09:00 - 09:30 From Floating to Floored Rate Notes – On Embedded Options
Jürgen Klaus (ESM), Martin Hillebrand (ESM), Tony Klein (TU Dresden)
09:30 - 10:00 Stability of the Polish banking system - An empirical study
Marta Karaś (UE Wrocław), Dr. Witold Szczepaniak (UE Wrocław)
10:30 - 10:35 Measuring and Management of Weather Risk - Johannes Heß (TU
Dresden); Discussant: Christoph Scharnagl (TU Dresden)
10:35 - 10:50 Coffee Break
10:50 - 11:25 Economic Drivers of Volatility - Lapo Cuiffi (TU Dresden);
Discussant: Leif Hansen (TU Dresden)
11:25 - 11:55 Identifying the Long-term Volatility Drivers of Commodity Markets -
Duc Khuong Nguyen (IPAG Paris), Thomas Walther (TU Dresden)
11:55 - 12:30 Measuring Systemic Risk - Maria Danci (TU Dresden);
Discussant: Johannes Heß (TU Dresden)
12:30 - 12:45 Coffee Break
12:45 - 13:15 Risk of the Systemic Risk Measurement Models -
Prof. Dr. Katarzyna Kuziak (UE Wrocław), Dr. Witold Szczepaniak
(UE Wrocław)
13:15 - 13:45 On the Likelihood of Government Support for TBTF Banks -
Evidence from CDS Spreads - Stefan Weik (ZEB),
Tony Klein (TU Dresden)
13:45 - 14:15 Liquid Alternative Mutual Funds: Liquidity Risk and Performance
Evaluation - Richard Van Horne (UE Wrocław)
14:15 - 14:20 Closing Remarks Day 2 - Prof. Dr. Locarek-Junge/Prof. Dr. Jajuga
14:20 - open Optional: Lunch & Sightseeing in Dresden