Institute for Advanced Studies (IAS)

Overview and programme

This thematic cycle aims at studying and deepening the statistical techniques used for the assessment and risk modelling in fields as diverse as finance, industry, health, ecology, and biology.
It is intended for PhD students, researchers ad professionals. It will provide a forum for exchange between economists, financiers, statisticians and probabilists.

The studied topics are grouped in two main themes:
- the study of non-stationary processes, and,
- the the study of extreme values and risk management.

In the case of non-stationary processes, they concern, for example:

  • abrupt changes of regime (breakpoints, hidden Markov chains);
  • other changes in regime (local stationarity, periodicity or isotonic regression);
  • general behaviour (methods from statistical learning, resampling, prediction, spatio-temporal models pertaining to global warming).

In the case of risk modelling, the main subjects of study will be:

  • extreme values and estimation of quantiles (range, copulas);
  • point processes and the influence of jumps (multifractal models);
  • microstructure of financial markets and risk management (credit risk, market and operational risks).

The workshop on prediction, organized by Matthieu Cornec, is a main partner of the cycle. It holds monthly in Paris.Details may be found on


- Conferences and workshops

10-11 février 2012 : PREDICTION OF TIME SERIES AND NON STATIONARY TIME SERIES? Maison des sciences économiques (Paris 13ème)

2-5 juillet 2012 : Conférences, ENGREF (Paris)

13-14 septembre 2012 (dates susceptibles de changer) : Atelier

14-19 janvier 2013 (dates susceptibles de changer) : Conférence

- Advanced courses

Beyond the regular seminars, advanced courses, lasting 6 to 10 hours each, will be offered to the attention of PhD students, researches and professionals.
They will be open to French and foreign doctoral students (a limited number of scholarships are reserved for this purpose).
In order to facilitate participation in these courses, they will be grouped into four sets:

1. Non-stationary processes and forecasting, 30 January - 8 February 2012
2. Non-stationary processes, in discrete and continuous time, 2-4 May 2012
3. High frequency, extremes and multifractals, 20-26 June 2012
4. Extremes and risk management, 3 - 12 September 2012.

- Seminars

Seminars on Thursdays at 10:30, UCP Les Chênes – department of economy – room C443.