19th FINANCIAL RISKS INTERNATIONAL FORUM
"Hidden Financial Risks"

13:00 - 13:30
REGISTRATION

13:30 - 13:45

Welcome Address - SALON D'HONNEUR

Welcome Address by Marie BRIERE , Chairwoman, Institut Louis Bachelier (ILB), and , Christian GOURIEROUX, Chairman of the Scientific Committee.

13:45 - 15:00
Plenary Session I - SALON D'HONNEUR
Chairman: TBD

Guest speaker: Matteo IACOVIELLO, Division of International Finance, Federal Reserve Board.
“Measuring Geopolitical Risk”

ROUNDTABLE I - SALON D'HONNEUR

15:00 - 17:00
PARALLEL SESSIONS

Parallel Session 1 -SYSTEMIC RISK, GEOPOLITICAL RISK AND STRESS TEST  - SALON D'HONNEUR

Chairman : Christophe HURLIN, Université d’Orléans.
- “Complex Organizations, Leverage and Interest Rates” 
Giovanna NICODANO, University of Turin, Collegio Carlo Alberto, CEPR, and Luca REGIS, UniTo, ESOMAS Department, Collegio Carlo Alberto.
- “Joint Backtesting Procedure for Systemic Risk Measures”
Yujian CHEN, Ecole Polytechnique and ENSAE, IP Paris, Sylvain BENOIT, Université Paris Dauphine-PSL, and Jérémy LEYMARIE, Clermont School of Business.
Discussant: Elena DUMITRESCU, University Paris-Panthéon-Assas.
- “Vulnerability and Contagion in the US Equity Mutual Funds”
Huyen NGUYEN, Le Mans University.
- “Stress Testing Credit Portfolios under Geopolitical Risk”
Yoann PULL, Université d'Orléans, Guillaume FLAMENT, Square Research Center, Christophe HURLIN, Université d’Orléans, and Quentin LAJAUNIE, Square Research Center.
Discussant: Sofia RAMOS, ESSEC.

Parallel Session 2 - CLIMATE RISK – LE LOUNGE

Chairman: Bertrand VILLENEUVE, Université Paris-Dauphine PSL.
- TBD
- “Beyond Green Claims: The Market Value of Credibility in Sustainability-Linked Bonds”
Suwan (Cheng) LONG, IESEG School of Management, Kamiar MOHADDESB, University of Cambridge, and Imtiaz UL HAQC, The World Bank Group.
Discussant: Carlos DI BONIFACIO, CREST.
-  “Sovereign Green Bonds: a Catalyst for Sustainable Debt Market Development?”
Gong CHENG, European Stability Mechanism, Torsten EHLERS, Frank PACKER, Bank for International Settlements and Yanzhe XIAO, International Monetary Fund.
- “Quantifying Climate Risk Premia”
Lionel MELIN, and Fangyuan ZHANG,EDHEC Climate Institute.
Discussant: TBD

Parallel Session 3 - LIQUIDITY RISK AND ORDER EXECUTION- AMPHITEATHRE DES ENGRENAGES 
Chairman : Mathieu ROSENBAUM, Université Paris Dauphine- PSL.
- “Optimal Execution under Liquidity Uncertainty”
Yadh HAFSI, École Polytechnique, Etienne CHEVALIER, Vathana LY VATH, Université Paris-Saclay, and Sergio PULIDO, École Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise.
- “Trading with Market Resistance and Concave Price Impact”
Nathan DE CARVALHO, Université Paris Cité, Youssef O. CHAHDI, CentraleSupélec, and Grégoire SZYMANSKI, Université du Luxembourg.
Discussant: Damien CHALLET,CentraleSupélec.  
- “A Unified Theory for Volume, Impact, and Volatility”
Youssef OUAZZANI CHAHDI, CentraleSupélec, Johannes MUHLE-KARBE, Imperial College London, Mathieu ROSENBAUM, Université Paris Dauphine- PSL and Grégoire SZYMANSKI, Université du Luxembourg.
- “Optimal Execution on Uniswap v2/v3 Under Transient Price Impact”
Bastien BAUDE, Damien CHALLET, and Ioane MUNI TOKE, CentraleSupélec.
Discussant : TBD

17:00 - 17:30 
COFFEE BREAK & POSTER SESSION - LA CORBEILLE

17:30 - 19:00
PARALLEL SESSIONS

Parallel Session 4 - BUBBLES AND SYSTEMIC RISKS - SALON D'HONNEUR

Chairman: Jean-Michel ZAKOIAN,CREST.
- “Prediction of Bubbles in Presence of Stable Aggregates Moving Averages”
Arthur THOMAS, Université Paris Dauphine -PSL, Gilles DE TRUCHIS, Université d’Orléans, and Sébastien FRIES, Amsterdam University.
- “Tail-Aware Density Forecasting of Locally Explosive Time Series: A Neural Network Approach”
Elena DUMITRESCU, University Paris-Panthéon-Assas, Julien PEIGNON, and Arthur THOMAS, Université Paris Dauphine -PSL.
Discussant: Antonio OCELLO, CREST.
- “Systemic Robustness: a Mean-Field Particle System Approach”
Gaoyue GUO, CentraleSupélec, Erhan BAYRAKTAR, University of Michigan, Wenpin TAN, Columbia University, and Yuming Paul ZHANG, Auburn University.
Discussant : Charles-Albert LEHALLE, Ecole polytechnique.

Parallel Session 5 -DEFI/FINTECH–  LE LOUNGE

Chairman: TBD
- “Leveraged Positions on Decentralised Lending Platforms”
Vincent DANOS, CNRS, Ecole Normale Supérieure, Bastien BAUDE, CentraleSupélec, and Hamza EL KHALLOUFI, Université Paris 1 Panthéon-Sorbonne.
- “Delegated Control, Agency Conflicts and Endogenous Governance Cycles in Token-Based Platforms”
Michel FABI, Telecom Paris, CREST, IP Paris, Valerie LATURNUS, Durham University, Business School, and Romain ROSSELLO, HEC Paris.
Discussant: Louis BERTUCCI,Institut Louis Bachelier.
- “Cross-Exchange Liquidity Dynamics: Decentralized and Centralized Crypto Platforms During the US Banking Crisis”
Daniel FINNAN, Elisa DARRIET, and Iryna VERYZHENKO, LIRSA, CNAM.
Discussant : TBD

Parallel Session 6 - CYBER RISK AND FRAUD –  AMPHITEATHRE DES ENGRENAGES
Chairman: Olivier FLICHE, ACPR.
- “A Stochastic SIR Model for Cyber Contagion: Application to Granular Growth of Firms and to Insurance Portfolio”
Lionel SOPGOUI, ENSAE Paris - Institut Louis Bachelier, Caroline HILLAIRET and Olivier LOPEZ, CREST.
- “Forecast Relative Error Decomposition with an Application to Cyber Risk”
Quinlan LEE, University of Toronto, and Christian GOURIEROUX, University of Toronto, Toulouse School of Economics, CREST.
Discussant: Jean-David FERMANIAN, CREST.
- “Leveraging Self-Supervised Learning for Fraud Detection in Tabular Data”
José Lucas DE MELO COSTA, Fabrice POPINEAU, Arpad RIMMEL, Universite Paris-Saclay, CNRS, CentraleSupélec, Fabrice DANIEL, LUSIS, and Bich-Liên DOAN, Universite Paris-Saclay, CNRS, CentraleSupélec.
Discussant: Caroline HILLAIRET, CREST.

19:00
END OF THE DAY