PROGRAMME
16th FINANCIAL RISKS INTERNATIONAL FORUM
In construction
- March 20, 2023
- March 21, 2023
- Poster session
16th FINANCIAL RISKS INTERNATIONAL FORUM "Finance & Society"
8:30 - 9:00: REGISTRATION and Welcome Coffee - GRANDE SALLE A MANGER
9:00 - 10:15
Plenary Session II - SALLE DES LUSTRES
Chairman: Laurent CLERC, Director for Research and Risk Analysis at the Autorité de Contrôle Prudentiel et de Résolution.
Guest Speaker: Pierre MONNIN, Senior Fellow with the Council of Economic Policy,
“Supporting the Just Transition: a Roadmap for Central Banks and Financial Supervisors”
Roundtable II: CHALLENGES AND OPPORTUNITIES OF THE JUST TRANSITION - SALLE DES LUSTRES
Chairman: Laurent CLERC, Director for Research and Risk Analysis at the Autorité de Contrôle Prudentiel et de Résolution.
Patricia CRIFO, Professor at Ecole Polytechnique Economics Department and Researcher at CREST.
Marguerite CULOT, Director of Programmes and Partnerships.
Karen DEGOUVE, Head of Sustainable Finance Department, Federation Bancaire Française.
Pierre MONNIN, Senior Fellow with the Council of Economic Policy.
Stéphane VOISIN, Head of Green and Sustainable Finance Research, Institut Louis Bachelier.
9:00 - 10:15
Parallel Session Plenary P1 - VOLATILITY MODELS - SALLE DES SEANCES
Chairman: Jean-Michel ZAKOIAN, CREST.
- “The Rough Path-Dependent Volatility Model”
Léo PARENT, Paris 1 Panthéon-Sorbonne University.
- “Volatility of Volatility Estimation: Central Limit Theorems for the Fourier Transform Estimator and Empirical Study of the Daily Time Series Stylized Facts”
Giacomo TOSCANO, Maria Elvira MANCINO, University of Firenze, Giulia LIVIERI and Stefano MARMI, Scuola Normale Superiore.
Discussant: Eduardo ABI JABER, Ecole Polytechnique.
10:15 - 10:30: COFFEE BREAK - GRANDE SALLE A MANGER
10:30 - 12:30 PARALLEL SESSIONS
Parallel Session 7 - ESG AND CREDIT RISK - SALLE DES LUSTRES
Chairman: Jean-Paul LAURENT, Paris I University.
- “Sustainable Finance: a Journey Toward ESG and Climate Risk”
Iva HRISTOVA PEGORARO, Monica BILLIO, Michele COSTOLA, Ca’ Foscari University of Venice, Carmelo LATINO and Loriana PELIZZON, SAFE.
Discussant: Adrien AMZALLAG, European Securities and Markets Authority.
- “Carbon Default Swap – Disentangling the Exposure to Carbon Risk Through CDS”
Alexander BLASBERG, Rüdiger KIESEL, University of Duisburg-Essen, and Luca TASCHINI, London School of Economics, University of Edinburgh Business School.
Discussant: Arthur STALLA-BOURDILLON, Banque de France.
- “Global Risk and Ambiguity in the Determination of CDS Spreads”
Amirhossein SADOGHI, Rennes School of Business, Caterina SANTI, HEC Liège.
Discussant: Juan IMBET, Paris-Dauphine PSL University.
- “Green Bond Effects on the CDS Market”
Julien FOUQUAU, ESCP Business School, Sami ATTAOUI and Jung-Hyun AHN, NEOMA Business School,.
Discussant: Karine HUYNH, Amundi.
Parallel Session 8 - HUMAN CAPITAL AND INNOVATION - SALLE DES SEANCES
Chairman: Giovanna NICODANO, University of Torino, CEPR, CeRP (Collegio Carlo Alberto), Netspar.
- “Innovation Booms and Human Capital Accumulation”
Johan HOMBERT, HEC Paris, CEPR, and Adrien MATRAY, Princeton University, NBER, CEPR.
Discussant: Maurizio IACOPETTA, Skema Business School.
- “Hedging Permanent Income Shocks”
Giovanna NICODANO, University of Torino, CEPR, CeRP (Collegio Carlo Alberto), Netspar, Fabio C. BAGLIANO, Raffaele CORVINO, and Carolina FUGAZZA, University of Torino, CeRP.
Discussant: Laurent BACH, Essec.
- “The Impact of Corporate Climate Action on Financial Markets: Evidence from Climate-Related Patents”
Ulrich HEGE, Toulouse School of Economics, Université Toulouse Capitole, Sébastien POUGET, Toulouse School of Economics, Toulouse School of Management, Université Toulouse Capitole, and Yifei ZHANG, Peking University, HSBC Business School.
Discussant: Antoine DECHEZLEPRETRE, OECD.
Parallel Session 9 - STABLECOINS CBDC AND DEFI - AUDITORIUM HAUSSMANN
Chairman: Olivier FLICHE, Banque de France ACPR.
- “Reaching for Yield in Decentralized Financial Markets”
Donghwa SHIN, Roy CHEN-ZHANG, University of North Carolina, and Patrick AUGUSTIN, McGill University, Canadian Derivatives Institute.
- “Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions”
Olivier GUEANT, Université Paris 1 Panthéon-Sorbonne, Philippe BERGAULT, Université Paris Dauphine-PSL, Louis BERTUCCI, Institut Louis Bachelier, and David BOUBA, Swaap Labs.
Discussant: Mathieu ROSENBAUM, Ecole Polytechnique.
- “Competing Digital Monies”
Marianne VERDIER, Paris 2 Panthéon-Assas University, Jean-Charles ROCHET, Toulouse School of Economics, Hyun Song SHIN, Bank for International Settlements, and Jon FROST, Bank for International Settlements, Cambridge Centre for Alternative Finance.
Discussant: Matthieu BOUVARD, Toulouse School of Economics.
12:30 - 12:40 : ESG LAB & PLADIFES PRESENTATION - SALLE DES LUSTRES
Thibaud BARREAU, Data Scientist, ILB DataLab / PLADIFES project manager, Institut Louis Bachelier (ILB)
12:40 - 13:00 : IEF/SCOR Award Ceremony - SALLE DES LUSTRES
IEF/Foundation SCOR pour la Science Award: Best Young Researcher in Finance and Insurance
Award Hosts: Philippe TRAINAR, Chief Economist and Senior Global Advisor to the Chairman, Fondation SCOR pour la Science and Didier VALET, Chairman, Institute Europlace de Finance and Vice-President, Institut Louis Bachelier.
13:00 - 14:15: BUFFET LUNCH - GRANDE SALLE A MANGER
14:15 - 15:30
Plenary Session III - SALLE DES LUSTRES
Chairwoman: Marie BRIÈRE, Amundi Institute, Paris-Dauphine PSL University and Université Libre de Bruxelles, Scientific Director of FaIR, Financial and Insurance Reloaded Program of Institut Louis Bachelier
Guest Speaker: Tarun RAMADORAI, Professor of Financial Economics, Imperial College London.
”Predictably Unequal? The Effects of Machine Learning on Credit Markets”
“Algorithm Aversion: Theory and Evidence from Robo-Advice”
Roundtable III: AI APPLICATIONS IN FINANCE: OPPORTUNITIES AND RISKS - SALLE DES LUSTRES
Chairwoman: Catherine CASAMATTA, Professor of Finance, Toulouse School of Economics.
Christine BALAGUE, Professor of Management, Institut Mines-Télécom Business School, Founder of the Good in Tech Research Network.
Iris LUCAS, Head of Data Intelligence, AMF.
Iota NASSR, Senior Policy Analyst, OECD.
Tarun RAMADORAI, Professor of Financial Economics, Imperial College London.
14:15 - 15:30
Parallel Session Plenary P2 - VOLATILITY AND TAIL RISK - SALLE DES SEANCES
Chairman: Christian ROBERT, CREST.
- “Unbiasing and Robustifying Implied Volatility Calibration in a Cryptocurrency Market with Large Bid-Ask Spreads and Missing Quotes”
Anne-Claire MAURICE, Kaiko, Mnacho ECHENIM, CNRS, and Emmanuel GOBET, CNRS, Ecole Polytechnique, Institut Polytechnique de Paris.
- “Tail Risk Systemic Factors”
Thomas GIROUX, CREST, MIROVA, Erwan KOCH, Christian-Yann ROBERT, and Olivier-David ZERBIB, EDHEC Business School.
Discussant: Yannick MALAVERGNE, Paris 1 University.
15:30 - 16:00: COFFEE BREAK & POSTER SESSION - GRANDE SALLE A MANGER
16:00 - 18:00 PARALLEL SESSIONS
Parallel Session 10 - FINANCIAL ADVICE AND INVERSTORS DECISIONS – SALLE DES LUSTRES
Chairman: Luc ARRONDEL, Paris School of Economics.
- "Human-Robot Interactions in Investment Decisions"
Milo BIANCHI, Toulouse School of Economics, and Marie BRIERE, Amundi Institute, Paris-Dauphine PSL University, and Université Libre de Bruxelles.
- "Algorithmic vs Human Portfolio Choice"
Béatrice BOULU-RESHEF, Alexis DIRER, University of Orléans, and Nicole VON WILCZUR, Ayolab.
Discussant: Charline UHR, Aarhus University.
- "How Does Investor-Broker Personality Congruence Influence Stock Trading? A Dyad Study in Chinese Stock Market”
Muhammad Zubair TAUNI, EM Normandie Business School and Fayaz ALI, Shenzen University.
Discussant: Alexis DIRER, University of Orléans.
Parallel Session 11 - CLIMATE RISK OF PORTFOLIOS – SALLE DES SEANCES
Chairman: Emmanuel JURCZENKO, EDHEC Business School, EDHEC-Risk Climate Impact Institute.
- “Climate Focus of Public Financial Institutions”
Lina XIE, Bert SCHOLTENS and Swarnodeep HOMROY, University of Groningen.
- “Time-varying Environmental Alphas, Betas, and Latent Factors in Corporate Bonds”
Mirco RUBIN, Emanuele CHINI, EDHEC Business School, EDHEC-Risk Climate Impact Institute, Dario RUZZI and Salvatore CARDILLO, Bank of Italy.
Discussant: Thomas GIROUX, CREST.
- “Net Zero Investment Portfolios – Part 1. The Comprehensive Integrated Approach”
Thierry RONCALLI, Inès BARAHHOU, Mohamed BEN SLIMANE, and Noureddine OULID AZOUZ, Amundi Institute.
- “Allocating to thematic investments”
Raul LEOTE DE CARVALHO, Koye SOMEFUN, Romain PERCHET, and Chenyang YIN, Quant Research Group, BNP AM.
Discussant: Guillaume COQUERET, EMLyon Business School.
Parallel Session 12 - SUPERVISORY ISSUES – AUDITORIUM HAUSSMANN
Chairman: Christophe PERIGNON, HEC Paris.
- “Systemic Climate Risk”
Tristan JOURDE, Banque de France and Quentin MOREAU, University of Glasgow.
Discussant: Theo LE GUENEDAL, Amundi.
- “Shortfall in Tax Revenue: Evaluating the Social Security Contribution Fraud”
Sylvain BENOIT, Paris-Dauphine PSL University, Denisa BANULESCU and Christophe HURLIN, University of Orléans.
- "Explainable Performance"
Sébastien SAURIN, Christophe HURLIN, University of Orléans, Sullivan HUE, Aix-Marseille University, and Christophe PERIGNON, HEC Paris.
Discussant: David BOUNIE, Telecom Paris.
18:00: NETWORKING COCKTAIL - GRANDE SALLE A MANGER
19:00
All hours are indicated in Paris local time.