13th Financial Risks INTERNATIONAL FORUM


  • March 16, 2020
  • March 17, 2020

08:30 - 9:00

Registration and Welcome Coffee - Grande Salle à Manger

09:00 - 10:15

Plenary Session II - Salle des Lustres

Chairman : Christian GOURIEROUX, CREST, Toulouse School of Economics and Toronto University.
Guest speaker : Dacheng XIU, Professor of Econometrics and Statistics, University of Chicago.
"Predicting Returns with Text Data"


Primavera DE FILIPPI, Permanent Researcher, CNRS, Associate Researcher Berkman Klein Center for Internet & Society, Harvard.
Pierre NORO, SciencesPo.
Jacques-André FINES-SCHLUMBERGER, Coreum.
Nathalie RIEZ, Impak.
Stéphane VOISIN, Head of Project, Green and Sustainable Finance Program.

10:15 - 10:30

Coffee Break - Grande Salle à Manger

10:30 - 12:30

Parallel Sessions

Parallel Session 7 - (FAIR) - Salle des Lustres

Chairman : Theodoros EVGENIOU, INSEAD.

- "Algorithmic Credit Scoring and the Regulation of Consumer Credit Markets"
Nikita AGGARWAL, University of Oxford, Faculty of Law and Oxford Internet Institute.
- "Enacting a Rational Actor: Robo Advisors and the Algorithmic Performance of Ideal Types"
Adam HAYES, University of Wisconsin-Madison. 
Discussant : Marc LENGLET, Neoma Business School.
- "Parametric Insurance and Technology adoption in Developing Countries"
Enrico BIFFIS, Eric CHAVEZ, Imperial College Business School, Alexis LOUAAS and Pierre PICARD, CREST and Ecole Polytechnique. 
- "Bank-Platform Competition in the Credit Market"

Marianne VERDIER, Paris II University Pantheon-Assas and Ecole Nationale Supérieure des Mines de Paris and Sara BIANCINI, Cergy-Pontoise University and CREM CNRS. 
Discussant : Jean BOISSINOT, Banque de France.

Parallel Session 8 - REGULATION - Salle des Séances

Chairman : Laurent CLERC, ACPR Banque de France.

- "Central Bank Digital Currency: One, Two or None?",
Christian PFISTER, Banque de France.
- "Legal Challenges of Cryptocurrencies: Isn’t It Time to Regulate the Intermediaries?",
Anastasia SOTIROPOULOU, University of Orléans and Stéphanie LIGOT, University Paris 1 Panthéon-Sorbonne, PRISM Sorbonne and Labex-Refi.
Discussant : Sébastien LOTZ, Lemma.

- "Systemic Risk and Severe Real Economy Downturns: A Sparse Meta-Analysis"
Jean-Charles GARIBAL, University of Orléans, Variances, Massimiliano CAPORIN, University of Padova, Michele COSTOLA, Goethe University Frankfurt, Bertrand MAILLET, EM Lyon Business School.
- "The Impact of Derivative Disclosures on Managerial Opportunism: Evidence from SFAS 161"

Guanming HE, Durham University.
Discussant : Eric VANSTEENBERGHE, ACPR, Paris School of Economics.

Parallel Session 9 - CRYPTO-CURRENCIES 2 - Auditorium Haussmann

Chairman : Bertrand VILLENEUVE, PSL Paris-Dauphine University.

- "Incentives on the Lightning Network: A Blockchain-Based Payment Network"
Louis BERTUCCI, Institut Louis Bachelier.
- "Equilibrium Bitcoin Pricing"

Bruno BIAIS, HEC Paris, Mathieu BOUVARD, McGill University, Christophe BISIERE, Catherine CASAMATTA, Toulouse of Economics, and Albert J. MENKVELD, Vrije Universiteit Amsterdam.
Discussant : Engin IYIDOGAN, Skema Business School.

- "Trading Volume in Cryptocurrency Markets".
Daniele BIANCHI, Queen Mary University of London and Alexander DICKERSON, University of Warwick.
- "(In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks"

Andreea MINCA, and Ariah KLAGUES-MUNDT, Cornell University.
Discussant : Jean BARTHELEMY, Banque de France.

12:30 - 13:00

EIF AWARDS CEREMONY - Prize EIF - SCOR Foundation for Science: Best Young Researcher in Finance and Insurance

13:00 - 14:15

Buffet Lunch - Grande Salle à Manger

14:15 - 16:00

Plenary Session III - Salle des Lustres

Chairman : Nicole EL KAROUI, Sorbonne University, Laboratoire de Probabilité, Statistique et Modélisation

Guest speaker : Denis BEAU, Deputy Governor, Banque de France

Charles-Albert LEHALLE, Senior Researcher Advisor, Capital Fund Management, Visiting Researcher, Imperial College London, Scientific Director, Finance and Insurance Reloaded Program (FaIR).
Nikita AGGARWAL, University of Oxford, Faculty of Law and Oxford Internet Institute.
Olivier FLICHE*, Banque de France
Marie OBIDZINSKI*, Paris II University Pantheon-Assas, Ecole Nationale Supérieure des Mines de Paris.

Marianne VERDIER, Paris II University Pantheon-Assas.

16:00 - 16:30

Coffee Break - Grande Salle à Manger

16:30 - 18:30

Parallel Sessions
Parallel Session 10 - PLATFORMS & LENDING - Salle des Lustres

Chairman : Jean-David FERMANIAN, CREST.
- "Important Factors Determining Fintech Loan Default: Evidence from a Lending Club Consumer Platform"
Milos VULANOVIC, Christophe CROUX, Tarunsai KORIVI, EDHEC Business School, Julapa JAGTIANI, Federal Resrve Bank of Philadelphia.
- "The Value of Privacy: Evidence from Online Borrowers"
Huan TANG, HEC Paris. 

Discussant : Christian ROBERT, ENSAE.
- "Vertically Disintegrated Platforms"
Tarik ROUKNY,  KU Leuven, Christoph AYMANNS, University of St. Gallen, Mathias DEWATRIPONT, Université Libre de Bruxelles.

- "Innovating Banks and Local Lending"
Denefa BOSTANDZIC, Heinrich-Heine University Duesseldorf and Gregor WEISS, Leipzig University.

Discussant : Marianne VERDIER, Paris II University Pantheon-Assas and Ecole Nationale Supérieure des Mines de Paris.

Parallel Session 11 - MICROSTRUCTURE - Salle des Séances

Chairman : Frédéric ABERGEL, BNP Paribas AM and Centrale Supélec.

- "Violations of Price‐Time Priority and Implications for Market Quality"
Seoyoung KIM and Daniel TREPANIER, Santa Clara University.
- "Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance"
Amine RABOUN, Euronext and PSL Paris-Dauphine University, Marie BRIERE, Amundi, PSL Paris-Dauphine University and Université Libre de Bruxelles, Charles-Albert LEHALLE, Capital Fund Management, and Tamara NEFEDOVA, PSL Paris-Dauphine University.
Discussant : Damien CHALLET, CentraleSupélec.
- "Modelling Interacting Agents with High-Dimensional Hawkes Processes",
Frédéric ABERGEL, BNP Paribas AM and CentraleSupélec and Xiaofei LU, Paris-Saclay University.
- "Managing Derivatives on a Blockchain. A Financial Market Professional Implementation,
Massimo MORINI, Banca IMI.
Discussant : Ioane MUNI TOKE, CentraleSupélec.

Parallel Session 12 - VOLATILITY AND REGIME SHIFTS - Auditorium Haussmann

Chairman : Jean-Michel ZAKOIAN, CREST.

- "The Alpha-Heston Stochastic Volatility Model"
Simone SCOTTI, Paris-Diderot University, Ying JIAO, Lyon 1 University, Chunhua MA, Nankai University, School of Mathematical Sciences and LPMC, Chao ZHOU, National University of Singapore..

- "Conditional Asymmetry in Persistent Volatility Models"

Discussant : Francesco VIOLANTE, CREST.
- "Diversifying Trends"
Charles CHEVALIER and Serge DAROLLES, PSL Paris-Dauphine University.

Discussant : Julien ROYER, CREST.


End of the Risks Forum