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LOW INTEREST

RATE ENVIRONMENT:

Search for Yield,

Risk Management

and Transitions

18

19

MARCH

2019, Paris

12th FINANCIAL RISKS INTERNATIONAL FORUM

Paris, March 18 & 19, 2019
CHAMBRE DE COMMERCE ET D’INDUSTRIE DE RÉGION PARIS ILE-DE-FRANCE 27, avenue de Friedland, 75008 PARIS, France

The Institut Louis Bachelier, in cooperation with the Fondation du Risque, the Europlace Institute of Finance and the Louis Bachelier "Finance and Sustainable Growth" Laboratory, is pleased to invite you to the 12th Financial Risks International Forum.

In the current context, this year's forum will focus on “Low Interest Rate Environment: Search for Yield, Risk Management and Transitions”

The aim of this 12th Financial Risks International Forum is to highlight the methodological and regulatory challenges confronting financial players in a low interest rate environment and the transition to a ‘new normal’.

Interest rates in major developed countries have reached historically low levels. Risk premia of traditional asset classes reduced significantly. In this environment, banks, insurance companies and institutional investors face the challenge of generating sufficient returns to meet their commitments. They are tempted to turn to alternative asset classes or riskier investment strategies. The compression of yields leads to competitive pressure on costs and the development of new, less regulated players. This exceptional situation, by historical standards, raises important questions on interest rate modeling, monetary policy effectiveness, the construction of adapted stress tests, financial institutions’ risk-taking behavior, and the impact of low rates on price trajectories and financial stability.

2019 Guests Speakers are:

●John FELL, Deputy Director General for Macroprudential Policy & Financial Stability, European Central Bank

●Victoria IVASHINA, Professor of Finance, Harvard Business School

●Raimond MAURER, Professor of Finance, Goethe University, Frankfurt

2020 EDITION ORGANIZED WITH:

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IN PARTNERSHIP WITH:

ASSOCIATE PARTNER:

PRACTICAL INFORMATIONS

CHAMBRE DE COMMERCE ET D'INDUSTRIE DE REGION PARIS ILE-DE-FRANCE

27, avenue de Friedland, 75008 PARIS, FRANCE

12th FINANCIAL RISKS INTERNATIONAL FORUM PROGRAM

March 18, 2019
March 19, 2019

08:30 - 9:00

Registration and Welcome Coffee - Grande Salle à Manger

09:00 - 10:15

Plenary Session II – INVESTMENT - Salle des Lustres

Chairman : Jean BOISSINOT, Special Advisor to the Governors, Banque de France.
Guest speaker : Victoria IVASHINA, Professor of Finance, Harvard Business School.,
"Looking for Alternatives: Pension Investment around the World"

Panel Session 2 : Low Rates and Sustainable Finance

Jean BOISSINOT, Special Advisor to the Governors, Banque de France.
Caroline HILLAIRET, Professor of Finance and Insurance, ENSAE and CREST.
Peter TANKOV, Professor of Quantitative Finance, ENSAE.
Veronique VERRIER, ALM Analyst for EDF Pension and Nuclear Decommissioning Funds, EDF.
Stéphane VOISIN, Head Sustainable Finance Research Program, Institut Louis Bachelier (ILB).

10:15 - 10:30

Coffee Break - Grande Salle à Manger

10:30 - 12:30

Parallel Sessions

Parallel Session 7 - HEDGE FUNDS AND ILLIQUID ASSETS - Salle des Lustres

Chairman : Serge DAROLLES, PSL Paris-Dauphine University.

- "Do Hedge Funds Hedge? New Evidence from Volatility Risk Premia Embedded in VIX Options" Paper. Slides
Anmar AL WAKIL, Natixis IM and PSL Paris-Dauphine University and Serge DAROLLES, PSL Paris-Dauphine University.
- "Private Equity Performance and Asset Allocation: Impact of Low Rates and the J-Curve of Cash Flows" Paper. Slides
Edouard NOUVELLON and Hugues PIROTTE, Free University of Brussels.
Discussant : Sofia RAMOS, Essec Business School. Slides
- "Do You Need to Be a Quant to Be a Better Hedge Fund Manager" Paper. Slides
Afrae HASSOUNI and Hugues PIROTTE, Free University of Brussels.
- "Trends Everywhere? The Case of Hedge Fund Styles" Paper. Slides
Charles CHEVALIER and Serge DAROLLES, PSL Paris-Dauphine University.
Discussant : Guillaume MONARCHA, Orion Capital. Slides

Parallel Session 8 - FINANCIAL STABILITY - Salle des Séances

Chairman : Laurent CLERC, ACPR Banque de France.

- "Difficult to Digest: Takeovers of Distressed Banks", Paper. Slides
Giang PHUNG, Paris 1 University and Michael TROEGE, ESCP Europe.
Discussant : Guillaume VUILLEMEY, HEC Paris. Slides
- "Making the Eurozone Works: a Risk-Sharing Reform of the European Stability Mechanism" Paper. Slides
Roberto VIOLI, Banca d'Italia, Giovanni DOSI, Scuola Superiore Sant’Anna, Marcello MINENNA, Consob, and Andrea ROVENTINI, Scuola Superiore Sant’Anna.
- "Smart Systemic-Risk Scores" Paper. Slides
Sylvain BENOIT, PSL Paris-Dauphine University.
Discussant : Paul BEAUMONT, PSL Paris-Dauphine University Slides Slides

Parallel Session 9 - FACTOR AND RISK PREMIUM - Auditorium Haussmann

Chairman : Bertrand VILLENEUVE, PSL Paris-Dauphine University.

- "Active Factor Completion Strategies" Paper.
Carsten ROTHER, Invesco and University of Hamburg,.Harald LOHRE, Invesco and Lancaster University, Hubert DICHTL, Wolfgang DROBETZ.
- "Currency Anomalies" Paper. Slides
Anthony GARRATT, Söhnke M. BARTRAM and Leslie DJURANOVIK, University of Warwick.
Discussant : Guillaume SIMON, Capital Fund Management.Slides
- "A Structural Approach to the Estimation of the Implied Equity Risk Premium" Paper.
Nuno SILVA, Banco de Portugal.
- "Loan Commitments" Paper. Slides
Zvi WIENER, and Dan GALAI, Jerusalem Business School.
Discussant : Sofiane ABOURA, Paris 13 University.

12:30 - 13:00

EIF AWARDS CEREMONY - Prize EIF - Salle des Lustres

13:00 - 14:15

Buffet Lunch - Grande Salle à Manger

14:15 - 15:45

Plenary Session III - REAL ECONOMY - Salle des Lustres

Chairman : François-Xavier ALBOUY, Directeur de Recherche, Chaire TDTE.

Guest speaker : Raimond MAURER, Professor of Finance, Goethe University Frankfurt.,
"How Will Persistent Low Expected Returns Shape Household Economic Behavior"

Panel Session 3 - Low Rates and Household Behavior
Luc ARRONDEL/André MASSON, Research Directors, Paris School of Economics.Slides
Claire CASTANET, Retail Investor Relations Division, AMF. Slides
Grégoire NAACKE, Director, OEE.
Christian PFISTER, Advisor to the Governor, Banque de France.Slides

15:45 - 16:15

Coffee Break - Grande Salle à Manger

16:15 - 18:15

Parallel Sessions

Parallel Session 10 - OPTIMAL ALLOCATION - Salle des Lustres

Chairwoman : Monique JEANBLANC, Evry Val d’Essonne University.
- "Hedging of American Option of Barrier Type"
Monique PONTIER, Institut Mathématique de Toulouse and Rim AMAMI, University of Tunis.
Discussant : Stéphane VILLENEUVE, Toulouse School of Economics.
- "Optimal Asset Allocation and Consumption Under Market Liquidity Risk"
Hamza EL KHALLOUFI, Paris 1 University, and Constantin MELLIOS, Paris 1 University and Labex RéFi.
- "Portfolio Choice, Portfolio Liquidation, and Portfolio Transition Under Drift Uncertainty"
Alexis BISMUTH and Olivier GUEANT, Paris 1 University, and Jiang PU, Institut Europlace de Finance.
Discussant : Mohamed MRAD, Paris 13 University.

Parallel Session 11 - TRADING LIQUIDITY - Salle des Séances

Chairwoman : Tamara NEFEDOVA, PSL Paris-Dauphine University.

- "Dealer Funding and Market Liquidity"
John C. F. KUONG, Insead, and Max BRUCHE, Humboldt University of Berlin.
- "What do Almost 20 Years of Micro Data and Two Crises Say About the Relationship Between Central Bank and Interbank Market Liquidity? Evidence from Italy"
Massimiliano AFFINITO, Bank of Italy.
Discussant : Jean-Edouard COLLIARD, HEC.
- "Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies",
Amine RABOUN, Euronext and PSL Paris-Dauphine University, Marie BRIERE, PSL Paris-Dauphine University, Charles-Albert LEHALLE, Capital Fund Management, and Tamara NEFEDOVA, PSL Paris-Dauphine University.
Discussant : Gaelle LE FOL, PSL Paris-Dauphine University.
- “Trade Selection with Supervised Learning and OCA”
David SALTIEL, AI Square Connect and University of the Littoral and Éric BENHAMOU, AI Square Connect and PSL Paris-Dauphine University.
Discussant : Amine RABOUN, Euronext and PSL Paris-Dauphine University.

Parallel Session 12 - FAT TAIL - Auditorium Haussmann

Chairman : Jean-Michel ZAKOIAN, ENSAE.

- "Volatility Regressions with Fat Tails"
Nour MEDDAHI, and Jihyun KIM, Toulouse School of Economics.
- "Forecast Comparison Tests Under Fat Tails"
Mamiko YAMASHITA, Jihyun KIM and Nour MEDDAHI, Toulouse School of Economics.
Discussant : Christian FRANCQ, ENSAE.
- "Backtesting Expected Shortfall via Multi-Quantile Regression"
Jérémy LEYMARIE, University of Orléans and Ophélie COUPERIER, ENSAE
- "Do Corporate Insiders Trade on Future Stock Price Crash Risk?"
Guanming HE, Durham University.
Discussant : Mamiko YAMASHITA, Toulouse School of Economics.

18:15

End of the Risks Forum

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 LU, University of Paris 13 and Christian GOURIEROUX, University 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 CHOUEIFATY, Tobam.
- “Institutional Crowding and the Moments of Momentum” Paper. Slides
Paul KAREHNKE, ESCP Europe, Pedro BARROSO, University of New South Wales and Roger M. EDELEN, Virginia 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 KWON, University 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-FLORES, European 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 KAROUI, LPSM, Mohamed MRAD, Paris 13 University.
- “Branching Processes for Multi-Curve Interest Rate Modeling” Paper. Slides
Claudio FONTANA, University of Padova, Alessandro GNOATTO, University of Verona and Guillaume SZULDA, Paris 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-TILLEUL, Sycomore 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

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LOW INTEREST

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19

MARCH

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14:15 - 15:45

15:45 - 16:15

16:15 - 18:15

18:15

Registration

Welcome ADDRESS – Salle des Lustres

Plenary Session I – FINANCIAL RISKS – Salle des Lustres

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

Parallel Sessions

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

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

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

Coffee Break – Grande Salle à manger

Parallel Sessions

Parallel Session 4 - RATING MIGRATION RISK – Salle des Lustres

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

Parallel Session 6 - ENVIRONMENT – Auditorium Haussmann

End of the Day

LOW INTEREST

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19

MARCH

PRACTICAL INFORMATIONS

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Customization

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08:30 - 9:00

09:00 - 10:15

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10:30 - 12:30

12:30 - 13:00

13:00 - 14:15

14:15 - 15:45

15:45 - 16:15

16:15 - 18:15

18:15

Registration

Welcome ADDRESS – Salle des Lustres

Plenary Session I – FINANCIAL RISKS – Salle des Lustres

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

Parallel Sessions

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

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

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

Coffee Break – Grande Salle à manger

Parallel Sessions

Parallel Session 4 - RATING MIGRATION RISK – Salle des Lustres

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

Parallel Session 6 - ENVIRONMENT – Auditorium Haussmann

End of the Day

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