PROGRAM

13th Financial Risks INTERNATIONAL FORUM

Work in Progress

  • March 16, 2020
  • March 17, 2020

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), Marie BRIERE, Chairwoman of the Scientific Committee, & Didier KLING, Chairman, Chambre de Commerce et d’Industrie de Région Paris Ile-de-France.

13:45 - 15:00

Plenary Session I Salle des Lustres

Chairman : Michel CROUHY, Head of Research and Development, Natixis.
Guest speaker : Roni MICHAELY, Professor of Finance, University of Geneva.
"Fintechs and the Market for Financial Analysis"

Panel Session I – New Development in Global Payments

Pierre-Antoine VACHERON, CEO Natixis Payments, Natixis.
Olivier DENECKER, Expert Partner Global Payments, McKinsey.

15:00 - 16:30

Parallel Sessions

Parallel Session 1 - ROBO ADVISORS & PERSONAL FINANCE MANAGEMENT Salle des Lustres

Chairwoman : Marie BRIEREAmundi, PSL Paris-Dauphine University and Université Libre de Bruxelles.

- “Robo Advising, Attention and Long-Term Investment”
Milo BIANCHI, Toulouse School of Economics, and Marie BRIERE, Amundi, PSL Paris-Dauphine University and Université Libre de Bruxelles.
- “Using AI and Behavioral Finance to Cope with Limited Attention and Reduce Overdraft Fees”
Daniel BEN-DAVID, The Hebrew University of Jerusalem and Intuit, Orly SADE, The Hebrew University of Jerusalem and Stern School of Business, Ido MINTZ, Intuit.
Discussant : Laurent BACH, Essec.

- “Deep prediction of Investor Interest: a Supervised Clustering Approach”
Baptiste BARREAUChair of Quantitative Finance, MICS Laboratory, Paris-Saclay University and BNP Parisbas Corporate, Laurent CARLIER, BNP Paribas Corporate, and Damien CHALLET, Chair of Quantitative Finance, MICS Laboratory, Paris-Saclay University.
Discussant : Sylvain BENOIT, PSL Paris-Dauphine University.


Parallel Session 2 - (FaIR) BETTER RISK INTERMEDIATION - Salle des Séances

Chairman : Charles-Albert LEHALLE, CFM Paris and Imperial College, London.
- “Data Anonymisation, Outlier Detection and Fighting Overfitting with Restricted Boltsmann Machines"
Blanka HORVATH, Turing Institute and ETH Zürich, Alexei Kondratyev and Christian Schwarz.
- “Machine Learning with Kernels for Portfolio Valuation and Risk Management"
Damir FILIPOVIC, EPLF and Swiss Finance Instute, and Lotfi BOUDABSA, EPFL.
Discussant : MATHIEU ROSENBAUM, Ecole Polytechnique.
- “Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications"

Huyên PHAM, Côme HURE, Paris-Diderot University, and Nicolas LANGRENE, RiskLab Australia.
Discussant : Olivier GUEANT, Paris 1 Panthéon-Sorbonne University.

Parallel Session 3 - MACHINE LEARNING, ARTIFICIAL INTELLIGENCE AND ASSET MANAGEMENT – Auditorium Haussmann

Chairman : Serge DAROLLES, PSL Paris-Dauphine University.
- “Artificial Intelligence in Asset Management" 
Mehrshad MOTAHARI, Cambridge Centre for Finance, Söhnke M. BARTRAM and Jürgen BRANKE, University of Warwick.
Discussant : Raoul LEOTE DE CARVALHO, BNP Paribas AM.
- “Machine Learning versus Traditional Regression in Asset Pricing: An Analysis on the CAT Bond Market"

Eileen WITOWSKI, Tobias GOTZE, and Marc GURTLER, Braunschweig Institute of Technology.
Discussant : Clemence ALASSEUR, EDF.


16:30 - 17:00

Coffee Break / Poster session – Grande Salle à manger

17:00 - 18:30

Parallel Sessions

Parallel Session 4 - CRYPTO-CURRENCIES 1 – Salle des Lustres

Chairman : Jeroen ROMBOUTS, ESSEC.

- “Contagious Volatility”
Bastien BUCHWALTER, ESSEC Business School.
- “Forecast Performance and Bubble Analysis in Noncausal MAR(1,1) Processes”
Christian GOURIEROUX, University of Toronto, Toulouse School of Economics and CREST, Andrew HENCIC, and Joann JASIAK, York University.
Discussant : Benoît BELLONE, BNP Paribas AM.
- “Attention to Bitcoin”
Amirhossein SADOGHI, ESC Rennes School of Business.
Discussant : Milo BIANCHI, Toulouse School of Economics
.


Parallel Session 5 - PLATFORMS – Salle des Séances

Chairman : Peter TANKOV, ENSAE.

- “A Practical Guide to Robust Portfolio Optimization"
Chenyang YIN, Romain PERCHET and François SOUPE, BNP Paribas
.

- “Platform Models: Boosting Innovation to Address Regulatory Challenges - The Example of Portfolio Optimization Under Solvency II”
Christophe DURVILLE, Sophie ECHENIM, Raise Partner and Jean-Baptiste GAUDEMET, Christophe MATHERN, Finastra.
Discussant : Dan GALAI, The Jerusalem School of Business Administration.
- “Card-Sales Response to Merchant Contactless Payment Acceptance: Causal Evidence”

Youssouf CAMARA, and David Bounie, Institut Polytechnique of Paris.
Discussant : Christophe PERIGNON, HEC Paris.


Parallel Session 6 - ARTIFICIAL INTELLIGENCE - Auditorium Haussmann

Chairwoman : Caroline HILLARET, ENSAE and CREST.

- “Improving Reinforcement Learning Algorithms:Towards Optimal Learning Rate Policies”
Othmane MOUNJID, Ecole Polytechnique CMAP and Charles-Albert LEHALLE, Capital Fund Management and Imperial College.
Discussant : Charles BERTUCCI, PSL Paris-Dauphine University.
- “XVA Analysis From the Balance Sheet”

Stéphane CREPEY, Paris-Saclay University, Claudio ALBANESE, Global Valuation, Rodney HOSKINSON, ANZ Banking Group, and Bouazza SAADEDDINE, Paris-Saclay University and Crédit Agricole CIB.
Discussant : Dorinel BASTIDE, BNP Paribas.
- “Mean Field Game Approach to Bitcoin Mining”
Louis BERTUCCI, Collège de France, Charles BERTUCCI, CNRS Polytechnique, Jean-Michel LASRY, PSL Paris-Dauphine University and Pierre-Louis LIONS, Collège de France.
Discussant : Marcos LEUTSCHER, CREST.


18:30

End of the Day