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18th FINANCIAL RISKS INTERNATIONAL FORUM
"Shaping Financial Research: Data, AI and New Challenges"

Monday, 17
17:00 - 17:30: COFFEE BREAK & POSTER SESSION - GRANDE SALLE A MANGER
- “Collaborative and Parametric Insurance on the Ethereum Blockchain”, Pierre-Olivier GOFFARD, Université de Strasbourg.

- “Copula Central Asymmetry of Equity Portfolios”, Lorenzo FRATTAROLO, University of Verona.

- “ESG-ETFs and the Constituent Firms’ Default Risk Mitigation”, Masayasu KANNO, Nihon University.

- “Comparative Evaluation of Anomaly Detection Methods for Fraud Detection in Online Credit Card Payments”, Fabrice DANIEL, Lusis.

- “Dissecting Overparametrized Models for Equity Premium Prediction”, Martial LAGUERRE, EMlyon Business School, Université Claude Bernard Lyon 1.


Tuesday, 18
15:30 - 16:00: COFFEE BREAK & POSTER SESSION - GRANDE SALLE A MANGER
- “Online Probabilistic Estimation of Carbon Beta and Carbon Shapley Values for Financial and Climate Risk”, Thierry MOUDIKI, Techtonique, LLC.

- “Kendall Correlation Coefficients for Portfolio Optimization”, Tomas ESPANA, CentraleSupélec.

- “How Climate Physical Risks Affect Banking Stability? The Latin American Experience with Strong ENSO Events”, Julien THAVARD, University of Lorraine.

- “Betting Against Sustainability: Evidence from US Equity Short Selling Activity”, John COADOU, University Paris Dauphine - PSL, Amundi Asset Management, and Serge DAROLLES, University Paris-Dauphine – PSL.

18th FINANCIAL RISKS INTERNATIONAL FORUM
"Shaping Financial Research: Data, AI and New Challenges"

13:00 - 13:30
REGISTRATION

13:30 - 13:45

Welcome Address - SALLE DES LUSTRES

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

13:45 - 15:00
Plenary Session I - SALLE DES LUSTRES
Chairman: Michel CROUHY, Natixis.

Guest speaker: Lin William CONG, The Rudd Family Professor of Management & Professor of Finance, Cornell University SC Johnson College of Business (Johnson)
“Writing Quality and Soft Information in the GenAI Age: Evidence from Online Credit Markets”

ROUNDTABLE I – AI: the Sustainable Dilemma -  SALLE DES LUSTRES
Chairman: Michel CROUHY, Senior Advisor at Natixis.
Louis BOULANGER, Director of ILB Labs, Institut Louis Bachelier.
Gabrielle FERHAT, Impact and ESG Analyst, Mirova.
Laeticia FOURNIER, Head of Data and Innovation, Natixis CIB.
Loïc LANNELONGUE, Senior Research Associate, University of Cambridge.
Olivier PIRONNEAU, Emeritus professor at Sorbonne University in Applied Mathematics. Member of the French Academie  des Sciences. Member of the Comité Energie.

15:00 - 17:00
PARALLEL SESSIONS

Parallel Session 1 - CLIMATE RISKS - SALLE DES LUSTRES

Chairman : Olivier David ZERBIB, CREST.
- “Blended Finance”
Thomas GIROUX, CREST, Caroline FLAMMER, Columbia University, NBER, and ECGI, and Geoffrey M. HEAL, Columbia University.
- “Can US Equity Funds Time ESG Score Updates?”
Anouck FAVERJON, Serge DAROLLES, University Paris-Dauphine – PSL, and Marie LAMBERT, HEC Liège.
Discussant: Gunther CAPELLE-BLANCARD, Université Paris 1 Panthéon-Sorbonne.
- “Market Valuation of Climate Patents: What are the Most Valuable Innovations?”
Murad NURIYEV, Amundi Asset Management , Toulouse School of Management, University of Toulouse Capitole, Marie BRIERE, Amundi Asset Management, Paris-Dauphine University, PSL Research University, Université Libre de Bruxelles, and Sebastien POUGET, Toulouse School of Economics and Toulouse School of Management, University of Toulouse Capitole.
- “Pricing of Green Regulatory and Technological Risks”
Hélène MATHURIN, ESSEC Business School.
Discussant: Mathieu JOUBREL, ValueCo.

Parallel Session 2 - FINANCIAL ECONOMETRICS & MACHINE LEARNING – SALLE DES SEANCES

Chairman : Christian FRANCQ, CREST.
- “A Framework for Real-Time Modeling and Forecasting of Large Unbalanced Option Implied Volatility Surfaces?”
Jeroen ROMBOUTS, ESSEC Business School, Arnaud DUFAYS, EDHEC Business School, and Kris JACOBS, University of Houston.
- “Predicting Financial Fragmentation Using Machine Learning”
Roland BOUILLOT, Maastricht University, Bertrand CANDELON, Université catholique de Louvain, and Clemens KOOL, Maastricht University.
Discussant: Arthur THOMAS, University Paris Dauphine - PSL.
- “SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks”
Giacomo TOSCANO, University of Florence, and Alessio BRINI, Duke University Pratt School of Engineering.
- “Struggling with Heston? A New Perspective for Efficient Simulation”
Eduardo ABI JABER, Ecole Polytechnique.
Discussion with the audience 

17:00 - 17:30 
COFFEE BREAK & POSTER SESSION - GRANDE SALLE A MANGER

17:30 - 19:00
PARALLEL SESSIONS

Parallel Session 3 - INSURANCE/CYBER RISK - SALLE DES LUSTRES

Chairwoman: Caroline HILLAIRET, CREST. 
-  “Parametric Insurance Under Demand and Solvency Constraints”
Olivier LOPEZ, CREST.
- “Optimal Cyber-Security Investment in a Dynamic Version of the Gordon-Loeb Model”
Beatrice ONGARATO, University of Padova, Giorgia CALLEGARO, University of Padova, Claudio FONTANA , University of Padova, and Caroline HILLAIRET, CREST.
Discussant: Sébastien FARKAS, Allianz.
- “Eco-Anxiety and Insurance: Behavioral Experiments with Large Language Models”
Eric VANSTEENBERGHE, Banque de France.
Discussant: Adrien NGUYEN, Montpellier University.

Parallel Session 4 - HEDGING/PRICING – SALLE DES SEANCES

Chairman: Jean-Paul LAURENT,Université Paris 1 Panthéon-Sorbonne.
- “Functional Estimation of Option Pricing Models”
Yannick DILLSCHNEIDER, University of Amsterdam, and Evgenii VLADIMIROV, Erasmus University Rotterdam.
- “Heath–Jarrow–Morton Meet Lifted Heston in Energy Markets for Joint Historical and Implied Calibrations”
Nathan DE CARVALHO, Université Paris Cité, LPSM, Engie Global Markets, Eduardo ABI JABER, Ecole Polytechnique, Soukaïna BRUNEAU, Ecole Polytechnique, Dimitri SOTNIKOV, Ecole Polytechnique, Engie Global Markets, and Laurent TUR, Engie Global Markets.
Discussant: Milena VULETIC, University of Oxford.
- “Data-Driven Hedging with Generative Models"
Milena VULETIC, and Rama CONT,University of Oxford.
Discussant: Nathan DE CARVALHO, Université Paris Cité, LPSM, Engie Global Markets.

19:00
END OF THE DAY