PROGRAMME

15th FINANCIAL RISKS INTERNATIONAL FORUM

While waiting for the announcement of the programme, learn more about our call for papers below:

Academics, professionals and regulators are welcome to submit research papers for this event until January 3rd, 2022,
on the following and other relevant topics:

● Climate risk assessment and management
● Carbon trading, carbon tax, internal cost of carbon
● Regulation, climate-aligned central bank tools, climate stress tests, long
run predictions, scenario analysis, complex systems, cascading climate risk
● Adaptation, stranded assets, transition to zero carbon economies, just
transition
● Climate data, ESG ratings, taxonomy, disclosure, reporting standards
● ESG preferences and beliefs
● Agency, governance and incentive problems, investors’ engagement
● Investment strategies, climate risk factors, funds’ exposure to climate risk
● Extreme weather risk, real estate and commodities exposure to climate
● Green techs, new data, financial innovations
● Other environmental risks: biodiversity, air pollution, water etc.

  • March 25, 2021
  • March 26, 2021
  • Poster session
  • March 26, 2021 - Side Event

"Fintechs" & "Covid-19, Learning from a Pandemic Crisis ?"

13:45 - 14:00

Welcome Address

by Jean-Michel BEACCO, Chairman, Institut Louis Bachelier (ILB)
and Marie BRIERE
, Chairwoman of the Risk Forum Scientific Committee.

14:00 - 14:50

Guest speech session

Chairman : Pierre PICARD, CREST-Ecole Polytechnique.
Guest speech : Christian GOLLIER, Toulouse School of Economics.
“Some Insights in COVID Economics and Policy Perspectives”   REPLAY     SLIDES

15:00 - 16:15

Parallel Sessions

Parallel Session 1 - COVID: INSURANCE and CONTRACTS

Chairman : Christian GOURIEROUX, University of Toronto, Toulouse School of Economics and CREST.

- “On a Class of Explicit Contracts in the Face of Shutdown
Stéphane VILLENEUVE, Toulouse 1 Capitole, and Jessica MARTIN, INSA Toulouse.
- “A Pandemic Business Interruption Insurance

Pierre PICARD and Alexis LOUAAS, CREST-Ecole Polytechnique.
- “Optimal Incentives to Mitigate Epidemics: a Stackelberg Mean Field Game Approach”

Gokce DAYANIKLI, Alexander AURELL, René CARMONA, and Mathieu LAURIERE, Princeton University.  
REPLAY


Parallel Session 2 - FINTECHS: BITCOIN and BLOCKCHAIN

Chairman : Charles-Albert LEHALLE, Capital Fund Management.

- “Global Order Routing on Exchange Networks
Vincent DANOS, Hamza EL KHALLOUFI, ENS Ulm, Inria, Paris 1 Panthéon-Sorbonne University, and Julien PRAT, CNRS, CREST, Ecole Polytechnique.
- “Fundamental Pricing of Utility Tokens
Julien PRAT, CNRS, Ecole Polytechnique, Vincent DANOS, CNRS, ENS-Ulm, Stefania MARCASSA, Paris-Cergy University, and Mathis OLIVA,CREST Veltys.
- “Central Bank Digital Currency and Balance Sheet Policy
Martina FRASCHINI and Luciano SOMOZ, University of Lausanne, Swiss Finance Institute, and Tammaro TERRACCIANO, Swiss Finance Institute, University of Geneva.

REPLAY

Parallel Session 3 - TAIL RISK MODELING

Chairman : Jean-Michel ZAKOIAN, CREST.

- “Elicitability of Market-Based Systemic Risk Measures
Ophélie COUPERIER, Ensae, CREST and University of Orléans, Jérémy LEYMARIE,EDHEC Business School, Sylvain BENOIT, Paris-Dauphine, PSL University, and Olivier SCAILLET, University of Geneva and Swiss Finance Institute.
- “A Penalized Two-Pass Regression to Predict Stock Returns with Time-Varying Risk Premia
Gaetan BAKALLI, Stéphane GUERRIER, and Olivier SCAILLET, University of Geneva, University of Geneva and Swiss Finance Institute.
- “Extremile Regression
Gilles STUPFLER, ENSAI, CREST, Abdelaati DAOUIA, Toulouse School of Economics, and Irène GIJBELS, KU Leven.

REPLAY

16:15 - 16:30 : Coffee BREAK - Poster Session (See page in the program)

16:30 - 18:30

Parallel Sessions

Parallel Session 4 - COVID: FINANCIAL IMPLICATIONS

Chairman : Michael ROCKINGER, University of Lausanne.    

- "COVID-19 Spreading in Financial Networks: A Semiparametric Matrix Regression Model
Michele COSTOLA, Monica BILLIO, Roberto CASARIN, Ca' Foscari University of Venice, and Matteo IACOPINI, Vrije Universiteit Amsterdam.

- "When Paid Work Gives in to Unpaid Care Work: Evidence from the Hedge Fund Industry under COVID-19"
Sara AIN TOMMAR, Neoma Business School, Olga KOLOKOLOVA and Roberto MURA
, University of Manchester.
- “Liquidity Provision and Market-Making in Different Uncertainty Regimes: Evidence from the Covid-19 Market Crash
Amine RABOUN, Paris-Dauphine, PSL University, Euronext Paris, Marie BRIERE, Paris-Dauphine, PSL University, Amundi, Université Libre de Bruxelles, and Charles-Albert LEHALLE, Imperial College London, Capital Fund Management.
- “The Effect of Mortgage Forbearance on Refinancing: Evidence from the COVID-19 Period
Ruizhe JIA, Agostino CAPPONI, and David Aaron RIOS, Columbia University.

REPLAY

Parallel Session 5 - FINTECHS and INVESTMENTS

Chairman : Jean-Paul LAURENT, University Paris 1 Panthéon-Sorbonne.

- “Geographical-Proximity Bias in P2B Crowdlending Strategies
Hugo MARIN and Carole GRESSE, Paris-Dauphine, PSL University.

- “Bridging the Gap Between Markowitz Planning and Deep Reinforcement Learning"  
Sandrine UNGARI, Société Générale, Eric BENHAMOU, AI for Alpha, David SALTIEL, LISIC ULCO, Beatrice GUEZ and Abhishek MUKHOPADHYAY, Société Générale.
-"The Joint Cross Section of Option and Stock Returns Predictability with Big Data and Machine Learning"
Chengyu ZHANG and Ruslan GOYENKO, McGill University.

REPLAY

18:30

End of the Day