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
● 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.
"Fintechs" & "Covid-19, Learning from a Pandemic Crisis ?"
13:45 - 14:00
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
15:00 - 16:15
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.
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.
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 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.
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.