PROGRAM

12th Financial Risks INTERNATIONAL FORUM

  • March 18, 2019
  • March 19, 2019

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 – FINANCIAL RISKS Salle des Lustres

Chairman : Michel CROUHY, Head of Research and Development, Natixis.
Guest speaker : John FELL, Deputy Director General, European Central Bank.
"Financial Sector Risks in a Low Interest Rate Environment

Panel Session I – Investment Challenges and Opportunities in a Low Interest Rate Environment

Salwa BOUSSOUKAYA-NASR, Chief Investment Officer, French Reserve Fund. Slides
Christophe IZART, Deputy CIO, BPCE Vie and BPCE Prevoyance Slides
Nathalie PISTRE, Deputy Head of Fixed Income Head of the Quantitative Research and Analysis, Ostrum Asset Management.Slides
Philippe UZAN, Global CIO, Edmond de Rothschild Asset Management.Slides

15:00 - 16:30

Parallel Sessions

Parallel Session 1 - ZERO LOWER BOUND, NEGATIVE RATE I Salle des Lustres

Chairman : Christian GOURIEROUX,  University of Toronto and Toulouse School of Economics.

- “Affine Term Structure Models with Stochastic Lower Bound: An Application to Euro-Area OIS Rates” Paper. Slides
David SABES, Banque de France, Alain MONFORT, CREST, Fulvio PEGORARO, European Central Bank, and Jean-Paul RENNE, University of Lausanne.
- “Multiple Curve Levy Forward Price Model Allowing for Negative Interest Rates”
Paper. Slides
Ernst EBERLEIN, Christoph GERHART & Zorana GRBAC, University of Freiburg.
Discussant : Christophe HURLIN,  Université Orléans.
Slides
- “Staying at the Zero Lower Bound with Embedded Markov Chain” Paper. Slides
Yang LUUniversity of Paris 13 and Christian GOURIEROUXUniversity of Toronto and Toulouse School of Economics.
Discussant : Nour MEDDAHI, Toulouse School of Economics. 
Slides

Parallel Session 2 - ALTERNATIVE MANAGEMENT AND MOMENTUM – Salle des Séances

Chairwoman : Marie BRIERE, Amundi & PSL Paris-Dauphine University.

- “Portfolio Rho-presentativity” Paper. Slides
Tristan FROIDURE, Khalid JALALZAI and Yves CHOUEIFATYTobam.
- “Institutional Crowding and the Moments of Momentum” 
Paper. Slides
Paul KAREHNKE, ESCP Europe, Pedro BARROSOUniversity of New South Wales and Roger M. EDELENVirginia Tech.
Discussant : Stephen SATCHELL, University of Sydney Business School and University of Cambridge.
Slides. Slides
- “The Distribution of Cross Sectional Momentum Returns” Paper. Slides
Stephen SATCHELL, University of Sydney Business School and University of Cambridge and Oh Kang KWONUniversity of Sydney.
Discussant : Romeo TEDONGAP, ESSEC.
Slides

Parallel Session 3 - TRAINING SESSION / Cyber Insurance – Auditorium Haussmann

Chairwoman : Caroline HILLAIRET, ENSAE and CREST.
Olivier LOPEZ,
ENSAE and CREST.
Sébastien FARKAS,
PhD Student, Sorbonne University.
Slides

16:30 - 17:00

Coffee Break – Grande Salle à manger

17:00 - 18:30

Parallel Sessions

Parallel Session 4 - RATING MIGRATION RISK – Salle des Lustres

Chairman : Stephane CREPEY, Evry University.

- “Credit Rating Migration Risk and Interconnectedness in a Corporate Lending Network” Paper. Slides
Masayasu KANNO, Nihon University Tokyo.
- “Credit Rating Dynamics: Evidence from a Natural Experiment” Paper. Slides
Nordine ABIDI, Matteo FALAGIARDA and Ixart MIQUEL-FLORESEuropean Central Bank.
Discussant : Olivier TOUTAIN, Banque de France.
Slides  Slides


Parallel Session 5 - ZERO LOWER BOUND 2, NEGATIVE RATE 2 – Salle des Séances

Chairman : Alain MONFORT, CREST.

- “Construction of an Aggregate Consistent Utility, without Pareto Optimality. Application to Long-Term Yield Curve Modeling” Paper. Slides
Caroline HILLAIRET, ENSAE and CREST, Nicole EL KAROUILPSM, Mohamed MRADParis 13 University.
- “Branching Processes for Multi-Curve Interest Rate Modeling” Paper. Slides
Claudio FONTANA, University of Padova, Alessandro GNOATTOUniversity of Verona and Guillaume SZULDAParis Diderot University.
- “Negative Interest Rates, Bank Profitability and Risk-Taking” Paper. Slides
Whelsy BOUNGOU, University of Bordeaux.
Discussant : Yang LU, University Paris 13.Slides

Parallel Session 6 - ENVIRONMENT – Auditorium Haussmann

Chairwoman : Anna CRETI, PSL Paris-Dauphine University.

- “Is the Transition Risk Material?” Paper. Slides
Anne-Claire ABADIE, Jean-Guillaume PELADAN, Audrey MANH-TILLEULSycomore Asset Management, Pierrick ARNAULT and Anthony GRESSIN, BNP Paribas Securities Services, and Alain ROBERT-DAUTUN, Sycomore AM.
- “How Has ESG Investing Impacted the Asset Pricing in the Equity Market”
Paper. Slides
Thierry RONCALLI, Leila BENNANI, Theo LE GUENEDAL, Frédéric LEPETIT, Lai LY, Vincent MORTIER and Takaya SEKINE, Amundi Asset Management.
Discussant : Patricia CRIFO, Paris-Nanterre University.

18:30

End of the Day