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14th FINANCIAL RISKS INTERNATIONAL FORUM
Online event, March 25 & 26, 2021
(Registrations will be closed on March 23)
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 14th Financial Risks International Forum.
This upcoming 14th edition of the conference will enjoy a special format !
In these circumstances marked by the Covid-19 crisis, the Financial Risks International Forum will exceptionally be held in a virtual format. In the current context, this year's forum will focus on two themes :
"Fintechs" & "Covid-19, Learning from a Pandemic Crisis ?"
Digitalization is reshaping economic and financial activities. Start-ups and technology firms are disrupting conventional banks and insurance companies by introducing new forms of payment (mobile, peer-to-peer), money (crypto and digital currencies), lending (peer-to-peer, crowdfunding) and advice (digital and robo). 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 can 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.
Covid-19, Learning from a Pandemic Crisis ?:
Hundreds of papers on the analysis of pandemic risk and its effects on the economy or the finance and insurance sector, have been published in 2020 in paper series such as COVIDECON, or in special issues of economic, financial and statistical journals. What can we learn from this literature to improve the standard behavioral, predictive, and pricing models used in finance, default analysis, or for the design of insurance contracts?
2021 Guests Speakers are:
Christian GOLLIER, Toulouse School of Economics
Dacheng XIU, University of Chicago
CHAMBRE DE COMMERCE ET D'INDUSTRIE DE REGION PARIS ILE-DE-FRANCE
27, avenue de Friedland, 75008 PARIS, FRANCE
14th FINANCIAL RISKS INTERNATIONAL FORUM PROGRAM
"Fintechs" & "Covid-19, Learning from a Pandemic Crisis ?"
13:45 - 14:00
by Jean-Michel BEACCO, Chairman, Institut Louis Bachelier (ILB)
and Marie BRIERE, Chairwoman of the Risk Forum Scientific Committee.
14:00 - 14:50
Guest speech session
15:00 - 16:15
Parallel Session 1 - COVID: INSURANCE and CONTRACTS
Chairman : Christian GOURIEROUX, University of Toronto, Toulouse School of Economics and CREST.
- “On a Class of Explicit Contracts in the Face of Shutdown”
Stéphane VILLENEUVE, Toulouse 1 Capitole, and Jessica MARTIN, INSA Toulouse.
- “A Pandemic Business Interruption Insurance”
Pierre PICARD and Alexis LOUAAS, CREST-Ecole Polytechnique.
- “Optimal Incentives to Mitigate Epidemics: a Stackelberg Mean Field Game Approach”
Gokce DAYANIKLI, Alexander AURELL, René CARMONA, and Mathieu LAURIERE, Princeton University.
Parallel Session 2 - FINTECHS: BITCOIN and BLOCKCHAIN
Chairman : Charles-Albert LEHALLE, Capital Fund Management.
- “Global Order Routing on Exchange Networks”
Vincent DANOS, Hamza EL KHALLOUFI, ENS Ulm, Inria, Paris 1 Panthéon-Sorbonne University, and Julien PRAT, CNRS, CREST, Ecole Polytechnique.
- “Fundamental Pricing of Utility Tokens”
Julien PRAT, CNRS, Ecole Polytechnique, Vincent DANOS, CNRS, ENS-Ulm, Stefania MARCASSA, Paris-Cergy University, and Mathis OLIVA,CREST Veltys.
- “Central Bank Digital Currency and Balance Sheet Policy”
Martina FRASCHINI and Luciano SOMOZ, University of Lausanne, Swiss Finance Institute, and Tammaro TERRACCIANO, Swiss Finance Institute, University of Geneva.
Parallel Session 3 - TAIL RISK MODELING
Chairman : Jean-Michel ZAKOIAN, CREST.
- “Elicitability of Market-Based Systemic Risk Measures”
Ophélie COUPERIER, Ensae, CREST and University of Orléans, Jérémy LEYMARIE,EDHEC Business School, Sylvain BENOIT, Paris-Dauphine, PSL University, and Olivier SCAILLET, University of Geneva and Swiss Finance Institute.
- “A Penalized Two-Pass Regression to Predict Stock Returns with Time-Varying Risk Premia”
Gaetan BAKALLI, Stéphane GUERRIER, and Olivier SCAILLET, University of Geneva, University of Geneva and Swiss Finance Institute.
- “Extremile Regression”
Gilles STUPFLER, ENSAI, CREST, Abdelaati DAOUIA, Toulouse School of Economics, and Irène GIJBELS, KU Leven.
16:15 - 16:30 : Coffee BREAK - Poster Session (See page in the program)
16:30 - 18:30
Parallel Session 4 - COVID: FINANCIAL IMPLICATIONS
Chairman : Michael ROCKINGER, University of Lausanne.
- "COVID-19 Spreading in Financial Networks: A Semiparametric Matrix Regression Model ”
Michele COSTOLA, Monica BILLIO, Roberto CASARIN, Ca' Foscari University of Venice, and Matteo IACOPINI, Vrije Universiteit Amsterdam.
- "When Paid Work Gives in to Unpaid Care Work: Evidence from the Hedge Fund Industry under COVID-19"
Sara AIN TOMMAR, Neoma Business School, Olga KOLOKOLOVA and Roberto MURA, University of Manchester.
- “Liquidity Provision and Market-Making in Different Uncertainty Regimes: Evidence from the Covid-19 Market Crash”
Amine RABOUN, Paris-Dauphine, PSL University, Euronext Paris, Marie BRIERE, Paris-Dauphine, PSL University, Amundi, Université Libre de Bruxelles, and Charles-Albert LEHALLE, Imperial College London, Capital Fund Management.
- “The Effect of Mortgage Forbearance on Refinancing: Evidence from the COVID-19 Period”
Ruizhe JIA, Agostino CAPPONI, and David Aaron RIOS, Columbia University.
Parallel Session 5 - FINTECHS and INVESTMENTS
Chairman : Jean-Paul LAURENT, University Paris 1 Panthéon-Sorbonne.
- “Geographical-Proximity Bias in P2B Crowdlending Strategies”
Hugo MARIN and Carole GRESSE, Paris-Dauphine, PSL University.
- “Bridging the Gap Between Markowitz Planning and Deep Reinforcement Learning"
Sandrine UNGARI, Société Générale, Eric BENHAMOU, AI for Alpha, David SALTIEL, LISIC ULCO, Beatrice GUEZ and Abhishek MUKHOPADHYAY, Société Générale.
-"The Joint Cross Section of Option and Stock Returns Predictability with Big Data and Machine Learning"
Chengyu ZHANG and Ruslan GOYENKO, McGill University.
End of the Day
OUR SPONSORS & PARTNERS 2021 / Financial Risks INTERNATIONAL FORUM
CAISSE DES DEPOTS
CFA Society France
DIRECTION GENERALE DU TRESOR
FEDERATION BANCAIRE FRANCAISE
FINANCE FOR TOMORROW BY PARIS EUROPLACE
FORUM POUR L'INVESTISSEMEMENT RESPONSABLE
FONDATION DU RISQUE
HOUSE OF FINANCE
INSTITUT EUROPLACE DE FINANCE
SCOR CORPORATE FOUNDATION FOR SCIENCE
UNIVERSITE PARIS DAUPHINE
UNIVERSITE PARIS EST