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
● 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.  


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.


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.


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

16:30 - 18:30

Parallel Sessions


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.


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.



End of the Day