The Rise of Fintechs:

Can Networks and Platforms Disrupt Traditional Financial Intermediation?

16

17

MARCH

2020, Paris

13th FINANCIAL RISKS INTERNATIONAL FORUM

Paris, March 16 & 17, 2020
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 13th Financial Risks International Forum.

In the current context, this year's forum will focus on “The Rise of Fintechs: Can Networks and Platforms Disrupt traditional Financial Intermediation?”

This upcoming 13th Financial Risks International Forum aims to highlight the methodo¬logical and regulatory challenges raised by the on-going developments in financial technologies.

Digitalization is reshaping economic activity, especially in the financial sector. Start-ups and technology firms are disrupting conventional banks and insurance companies by introducing new products and technologies, such as new forms of payment (mobile, peer-to-peer), money (crypto and digital currencies), lending (peer-to-peer, crowdfunding) and advice (digital and robo), frequently offered on network platforms. Advances in computing have enabled the use of new datasets (such as online consumer transactions, social networks or satellite images) and forecasting techniques, with extensive use of machine/deep learning techniques. These technological changes have the potential to deliver significant benefits to financial services. Network platforms simplify business and clients’ interactions, but they also modify the competitive landscape, give rise to new risks for borrowers, consumers and investors, and potentially challenge financial stability.

2020 Guests Speakers are:

Denis BEAU, Deputy Governor, Banque de France
Roni MICHAELY, Professor of Finance, University of Geneva
Dacheng XIU, Professor of Econometrics and Statistics, University of Chicago

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

27, avenue de Friedland, 75008 PARIS, FRANCE

13th FINANCIAL RISKS INTERNATIONAL FORUM PROGRAM

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 BRIERE, Amundi, 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 BARREAU, Chair 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 : Raul 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”
Bouazza SAADEDDINE, Paris-Saclay University and Crédit Agricole CIB, Stéphane CREPEY, Paris-Saclay University, Claudio ALBANESE, Global Valuation, Rodney HOSKINSON, ANZ Banking Group,
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

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"

Panel Session 2 : BLOCKCHAIN AND SUSTAINABLE DEVELOPMENT

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,

Panel Session 3 - (FaIR) REGULATION AND ARTIFICIAL INTELLIGENCE
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
Theodoros EVGENIOU, INSEAD.
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"
Julien ROYER, CREST.
Discussant : Francesco VIOLANTE, CREST.
- "Diversifying Trends"
Charles CHEVALIER and Serge DAROLLES, PSL Paris-Dauphine University.
Discussant : Julien ROYER, CREST.

18:30

End of the Risks Forum

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16

17

MARCH

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Registration

Welcome ADDRESS – Salle des Lustres

Plenary Session I – Salle des Lustres

Panel Session I – New Development in Global Payments

Parallel Sessions

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

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

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

Coffee Break / Poster session – Grande Salle à manger

Parallel Sessions

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

Parallel Session 5 - PLATFORMS – Salle des Séances

Parallel Session 6 - ARTIFICIAL INTELLIGENCE - Auditorium Haussmann

End of the Day

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10:15 - 10:30

10:30 - 12:30

12:30 - 13:00

13:00 - 14:15

14:15 - 16:00

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16:30 - 18:30

18:30

16

17

MARCH

PRACTICAL INFORMATIONS

Services What We Can Do For You

Save Time

Friendly Support

Customization

Grow Your Business

Map Find Our Location

Registration

Welcome ADDRESS – Salle des Lustres

Plenary Session I – Salle des Lustres

Panel Session I – New Development in Global Payments

Parallel Sessions

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

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

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

Coffee Break / Poster session – Grande Salle à manger

Parallel Sessions

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

Parallel Session 5 - PLATFORMS – Salle des Séances

Parallel Session 6 - ARTIFICIAL INTELLIGENCE - Auditorium Haussmann

End of the Day

08:30 - 9:00

09:00 - 10:15

10:15 - 10:30

10:30 - 12:30

12:30 - 13:00

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18:30

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