Archives for LFIN
November 17, 2017
UCLouvain Finance Seminar
Laura Ballotta, Cass Business School
Integrated Structural Approach to Counterparty Credit Risk with Dependent Jumps
Laura Ballotta, Cass Business School
This paper proposes an integrated pricing framework for CVA of equity and commoditiy products. The given framework, in fact, generates dependence endogenously, allows for...
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November 15, 2017
Conference and Workshops
IMMAQ-LSM Talk: Paul de Grauwe
IMMAQ, together with LSM, is organizing a talk with Paul de Grauwe (LSE) where he will present his latest book, The Limits of the Market: The Pendulum between Government and Market. The event will be held at UCL (Place de l'Université 1, 1348 Louvain-la-Neuve) on Wednesday, November 15,...
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November 03, 2017
UCLouvain Finance Seminar
Enrico Biffis, Imperial College London
Health Insurance, Portfolio Choice, and Retirement Incentives
Enrico Biffis, Imperial College London
We study portfolio choice and labor market participation in a continuous time setting when agents face health shocks, medical expenses, and an uncertain lifetime. We consider different...
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UCLouvain Finance Seminar
Andrea Buraschi, Imperial College London
Expected Term Structures
Andrea Buraschi, Imperial College London
This paper studies the properties of bond risk premia in the cross-section of subjective expectations. We exploit an extensive dataset of yield curve forecasts from financial institutions and document a number of novel...
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June 29, 2017
Joint Financial Research Seminar
Seminar with Kenneth J. Singleton
Learning, Dispersion of Beliefs, and Risk Premiums in an Arbitrage-free Term Structure Model
LFIN, jointly with the National Bank of Belgium and the Belgian universities (KU Leuven, UA, UCL, UGent, ULB, ULg, UMons, UNamur, USaint‑Louis, Vlerick and VUB), is organizing a Joint Financial...
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