SCOR CHAIR "Market Risk and Value Creation"


  1. Objectives
  2. The aim of the chair is to support the theoretical and applied research on Risk sharing mechanisms with the willingness to combine methodologies from financial economics, industrial organization and econometrics.

  3. Topics
  4. The following topics have been initiated during the year 2008
    • Longevity risk, long term care and (social) insurance:
      Researchers involved in this new topic (created in 2011) are H.Cremer, P.De Donder, J.M.Lozachmeur, P.Pestieau and E.Thibault.
      See the papers
    • Risk management of large environmental risks
      This research topic aims to study the optimal risk prevention of large but quite infrequent environmental risks within the dynamic agency framework. The researchers involved in this topic are B. Biais, C. Gollier, T. Mariotti, J.C. Rochet and S. Villeneuve.
      See the papers
    • Methodology of credit risk models
      This research topic aims to specify the structural models of credit risk in order to understand the role of debt maturity. The researchers involved in this topic are J.P. Décamps and S. Villeneuve.
      See the papers
    • Regulation, liquidity and solvency risks
      This research topic aims to understand the consequences of regulatory solvency requirement when market imperfections are taken into account. The researchers involved in this topic are C. Gollier, JC Rochet, F. Salanié , N. Treich and S. Villeneuve.
      See the papers
    • Risk attitude
      This research topic aims to understand the risk attitude towards ambiguous risks occurring when the probability distribution of losses are imperfectly known. During the year 2008, this research topic has been tackled within the framework of experimental economics. The researchers involved in this topic are C. Bisière, J.P. Décamps, C. Gollier, F. Salanié and N. Treich.
      See the papers
    • Econometrics
      This research topic aims to study original econometrics methods for quantifying the risk. This topic is at a launching stage and will be developed in 2009 after the workshop in Zurich (see below). The researchers involved in this topic are C.Bontemps, S. van Bellegem, J.P. Florens and N. Meddahi.
      See the papers
  5. Conferences in 2008
  6. Conferences in 2009
  7. In 2009, two conferences that have benefited from the financial support of the chair have been scheduled.
      Two workshops have been scheduled in 2009 in order to establish connections between researchers from Toulouse and practitioners from SCOR.
    1. The first workshop has taken place in Zurich and it was be hosted by the team of Michel Dacorogna at the Financial Analysis and Risk Modelling department on march 12 2009.
    2. The second workshop has taken place in Paris and it was be hosted by the team of Bruno Latourrette. The objective of this workshop is to better understand the valuation method of variable annuities.
  8. Conferences in 2010
  9. Conferences in 2011
  10. Conferences in 2012
  11. Conferences in 2013
    • May, 24th 2013: "SCOR session on dependency in the workshop of the European Health Economics" Lyon, France
    • July, 7th 2013: "SCOR session on dependency in the annual meeting of the Association for Public Economic Theory", Lisboa, Spain
    • May 16th 2013: "Worskop on Behavorial Finance Scor Kléber", Paris, France
  12. Annual Reports

Members:

Andrea Attar (IDEI Researcher, TSE), Christophe Bisière (Professor of Finance TSE), Christian Bontemps (Professor of Economy, TSE), Helmuth Cremer (Professor of Economics TSE), Philippe De Donder (Research Director CNRS), Jean-Paul Décamps (Professor of Mathematics TSE), Louis Eeckhoudt (University of Louvain), Christian Gollier (Professor of Economics TSE), Elyès Jouini (University Paris Dauphine), Augustin Landier (Professor of Economics TSE), Jean-Marie Lozachmeur (CNRS Researcher), Thomas Mariotti (Research Director CNRS), Nour Meddahi (Senior Researcher TSE), Harold Ollivier (Fondation du risque), Pierre Pestieau (Professor of Economys, Liège), Sébastien Pouget (Professor of Finance, TSE), Patrick Rey (IDEI), François Salanié (Research Director INRA), Emmanuel Thibault (Professor of Economics, Perpignan University), Jean Tirole (Scientific Director TSE), Philippe Trainar (SCOR), Nicolas Treich (Research Director INRA), Sébastien Van Bellegem (Professor of Mathematics TSE) and Stéphane Villeneuve (Professor of Mathematics TSE)