UNC Charlotte – International Review of Finance
Conference on Model Risk
University of North Carolina at Charlotte – Center City Campus
The Belk College of Business of UNC-Charlotte with the International Review of Finance is pleased to host the UNCC-IRF Conference on Model Risk.
Friday, March 18, 2016
University of North Carolina at Charlotte – Center City Campus
320 9th St.
Charlotte, NC 28223
Click here for directions.
Charlotte Marriott Center City
100 West Trade Street
Charlotte, NC 28202
(704) 333-9000
Hyatt Place Charlotte Downtown
222 South Caldwell Street
Charlotte, NC 28202
(704) 227-0500
Friday, March 18, 2016
8:15 – 9:00 AM....................................................................... Lobby/Atrium..................................................... Registration and Continental Breakfast
9:00 - 9:10 AM....................................................................... Large Auditorium........................................................... Welcome – Steven Ott, Ph.D.
Dean - Belk College of Business, UNC Charlotte
9:10 am – 9:15 am................................................................................................................. Introduction to Keynote Speaker by Weidong Tian, Ph.D.
9:15 am – 10:15 am...................................................................................................... Keynote Speaker: Mark J. Nowakowski, Principal, KPMG LLP
Coffee Break: 10:15 am – 10:30 am
Paper Session One
10:30 am - 12:00 pm.................................................................................. Chair: Hong Yan, IRF and Shanghai Advanced Institute of Finance
1. The Failure of Supervisory Stress Testing: Fannie Mae, Freddie Mac, and OFHEO
W. Scott Frame (Federal Reserve Bank of Atlanta), Kristopher Gerardi (Federal Reserve Bank of Atlanta) and Paul S. Willen (Federal Reserve Bank of Boston and NBER)
Discussant: Nada Mora, Federal Reserve Bank of Richmond
2. Spurious Factors in Linear Asset Pricing Models
Svetlana Bryzgalova (Stanford University)
Discussant: Raymond Kan, University of Toronto
Lunch: 12:00 pm – 2:00 pm
Paper Session Two
2:00 pm – 3:30 pm......................................................................... Chair: Weidong Tian, IRF and University of North Carolina at Charlotte
1. Asset Pricing and Ambiguity: Empirical Evidence
Menachem Brenner (Stern School of Business, New York University) and Yehuda Izhakian (Stern School of Business, New York University; and Zicklin School of Business, Baruch College)
Discussant: David Dicks, University of North Carolina at Chapel Hill
2. Social Network, Herding and Competition
H. Henry Cao (Cheung Kong Graduate School of Business) and Dongyan Ye (Cheung Kong Graduate School of Business)
Discussant: Lixin Huang, George State University
Coffee Break: 3:30 pm – 4:00 pm
Paper Session Three
4:00 pm – 5:30 pm............................................................................. Chair: Henry Cao, IRF and Cheung Kong Graduate School of Business
1. Risk Aggregation and Diversification
Carole Bernard (Grenoble Ecole de Management, France) and Steven Vanduffel (Vrije University Brussel,Belgium)
Discussant: Tao Pang, North Carolina State University
2. Asset Pricing Model Comparison Incorporating Distributional Accuracy Preferences
Qing Zhou (University of Queensland, Australia) and Yin Liao (Queensland University of Technology, Australia)
Discussant: I-Hsuan Ethan Chiang (University of North Carolina at Charlotte)