Climate Risk
& Green Transition

15th FINANCIAL RISKS INTERNATIONAL FORUM

Paris, March 21 & 22, 2022 

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 15th Financial Risks International Forum.

This year’s forum will focus on the theme:

“Climate Risk and Green Transition”

Climate change is one of the key challenges of our time. Addressing climate change and transitioning the world’s economy to a low-carbon path will require support from the financial sector through energy and infrastructure investments, the creation of new financial products and insurance solutions. It will also require the development of new models to assess the interactions between climate and the economy, the measurement of climate physical / transition risk and its incorporation into asset prices, the assessment of investors’ attitudes and beliefs towards these risks. Finally, financial institutions are interconnected, and climate change is posing a serious threat to financial stability. Central banks and regulators are requesting financial institutions to disclose their climate risk exposure and have started to design scenarios for climate stress tests.

This upcoming 15th Financial Risks International Forum aims to highlight the methodological and regulatory challenges raised by the ongoing developments in financial technologies.

Our academic Guest Speakers for the 2022 edition are:
     Stefano GIGLIO, Professor of Finance at Yale School of Management 
     Irene MONASTEROLO, Professor of Climate Finance at EDHEC Business School and EDHEC-Risk Institute        
   •  Lucian TAYLOR, Professor of Finance, Wharton School, University of Pennsylvania

ORGANISED BY:

MEDIA PARTNERS:

SPONSORS:

PRACTICAL INFORMATION

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

27, avenue de Friedland, 75008 PARIS, FRANCE

  • March 21, 2022
  • March 22, 2022
  • Poster session

"Climate Risk & Green Transition"

13:00 - 13:30: Registration

13:30 - 13:45

Welcome Address - SALLE DES LUSTRES

by Jean-Michel BEACCO, CEO, Institut Louis Bachelier (ILB),
and 
Marie BRIÈRE, Chairwoman of the Scientific Committee, Financial Risks International Forum. See the interview

13:45 - 14:15

Guest speech session SALLE DES LUSTRES

Chairman: Christian GOURIEROUX, Toronto University, Toulouse School of Economics, CREST.
Guest speech: Stefano GIGLIO, Professor of Finance, Yale School of Management.
A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios” Paper Slides See the interview

14:15 - 15:00

Roundtable I: DATA GAPS AND NEEDS FOR SUSTAINABLE FINANCE RESEARCH SALLE DES LUSTRES

Chairman: Peter TANKOV, CREST, ENSAE, IP Paris, and Green and Sustainable Finance (GSF) Programme, Institut Louis BachelierSee the interview
Thibaud BARREAU, Data Scientist, ILB DataLab / PLADIFES project, Slides
Stéphane VOISIN, Head of the Green and Sustainable Finance (GSF) Programme, ILB,
Stefano GIGLIO, Professor of Finance, Yale School of Management, 
Slides
Léa GRISEY, Green Finance Expert, Banque de France / NGFS,
Jocelyn MARTEL, Professor of Finance, ESSEC. 
Slides

REPLAY - Welcome Address, Guest Speech Session & Roundtable I

15:00 - 16:30

Parallel Sessions A

Parallel Session A1 - ESG AND MUTUAL FUNDS SALLE DES LUSTRES

Chairman: Serge DAROLLESUniversité Paris-Dauphine, PSL Research University.

- “Quality and Product Differentiation: Theory and Evidence from the Mutual Fund IndustryPaper
Tianhao YAO, HEC Paris and Maxime BONELLI, HEC Paris.

Discussant: Tamara NEFEDOVA, Université Paris-Dauphine, PSL Research University.

- “Fund Portfolio Networks: a Climate Risk Perspective” Paper
Adrien AMZALLAG, European Securities and Markets Authority.
Discussant: Arthur STALLA-BOURDILLON, Banque de France.
- “
How Different are ESG Mutual Funds? Evidence and Implications” Paper
Camille BAILY, CeReFiM, University of Namur and Jean-Yves GNABO, CeReFiM, naxYs, University of Namur.
Discussant: Marie LAMBERT, HEC Liège.

Parallel Session A2 - DISCLOSURE  SALLE DES SEANCES

Chairman: Patricia CRIFO, Ecole Polytechnique and CREST.

- “Showing off Cleaner Hands: Mandatory Climate-Related Disclosure by Financial Institutions and the Financing of Fossil Energy” Paper
Jean-Stéphane MÉSONNIER, Banque de France, Sciences Po, and Benoît NGUYEN, Banque de France.
- “Board Ancestral Diversity and Voluntary Greenhouse Gas Emission Disclosure” Paper
Johannes A.  BARG, University of Hamburg, Wolfgang DROBETZ, University of Hamburg, Sadok EL GHOUL, University of Alberta, Omrane GUEDHAMI, University of South Carolina, and Henning SCHRÖDER, University of Hamburg. 
Discussant: Fabiola SCHNEIDER, UCD Michael Smurfit Graduate Business School.
- “
ESG Features Explain One Bit of Idiosyncratic Price Returns” Paper Slides
Damien CHALLET, FiQuant Group, CentraleSupélec, Paris-Saclay University, Jérémi ASSAEL, FiQuant Group, CentraleSupélec, Paris-Saclay University, BNP Paribas, and Laurent CARLIER, Head of the AI Lab, BNP Paribas.
Discussant: Caterina SANTI, HEC Liège. Slides
VIDEO PRESENTATION:Does Media Coverage of Firms’ Environment, Social, and Governance (ESG) Incidents Affect Analyst Coverage and Forecasts?
April Zhichao LI and Dr. Guanming He, Durham University. Paper

Parallel Session A3 - CLIMATE STRESS TESTS  AUDITORIUM HAUSSMANN

Chairman: Jean-Paul LAURENT, University Paris 1 Panthéon-Sorbonne.

- “Cascading Effects of Carbon Price through the Value Chain: Impact on Firm's Valuation” Paper Slides
Théo LE GUENEDAL, Amundi Asset Management, CREST, Theophile ADENOT, Marie BRIÈRE, Pierre COUNATHE, Mathieu JOUANNEAU and Tegwen LE BERTHE, Amundi Asset Management.
- “
The Climate Extended Risk Model (CERM)” Paper Slides
Josselin GARNIER, Ecole Polytechnique, Lusenn, Jean-Baptiste GAUDEMET, Green RWA, and Anne GRUZ, IGGAAK.
Discussant: Maria FLORA, CREST.
- “
The Impact of Climate on Economic and Financial Cycles: A Markov-Switching Panel Approach” Paper
Ayokunle OSUNTUYI, Monica BILLIO, Roberto CASARIN, University Ca’ Foscari of Venice, Enrica DE CIAN and Malcolm MISTRY, Centro Euro-Mediterraneo sui Cambiamenti Climatici (CMCC).
Discussant: Fulvio PEGORARO, ACPR.

16:30 - 17:00: Coffee break - Poster Session - GRANDE SALLE A MANGER

17:00 - 18:30

Parallel Sessions B

Parallel Session B4 - FUNDING OF ENERGY TRANSITION SALLE DES LUSTRES

Chairman: Eric BOUYÉ, World Bank.

- “Optimal Ecological Transition Path of a Credit Portfolio Distribution, Based on Multidate Monge-Kantorovich Formulation” Paper
Clara LAGE and Emmanuel GOBET, École Polytechnique.
- “Green Investment and Asset Stranding Under Transition Scenario Uncertainty” Paper Slides
Maria FLORA, CREST, CNRS, Institut Polytechnique de Paris, and Peter TANKOV, CREST.
Discussant: Fanny CARTELLIER, CREST. Slides
- “Climate Consequences of Rebalancing Official Climate Finance: Analyzing Multilateral Development Banks’ Allocation Practices” Paper Slides
Lina XIE and Swarnodeep HOMROY, University of Groningen, Bert SCHOLTENS, University of Groningen, University of St Andrews.
Discussant: Anna CRETI, Université Paris-Dauphine.


Parallel Session B5 - BOND RISK  SALLE DES SEANCES

Chairman: Jean Michel ZAKOIAN, CREST.

- "Pricing Climate Change Risk Corporate BondsPaper
Elsa ALLMAN, Banque de France, Autorité de Contrôle Prudentiel et de Résolution (ACPR).
- "ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies?Paper
Raphaël SEMET, Thierry RONCALLI and Lauren STAGNOL, Amundi Asset Management.
Discussant: Thomas GIROUX, CREST
Slides
-
Do Investors Reward Countries for Participating in Climate Agreements?
Mandeep SINGH, Centre for Climate Finance and Investment (CCFI), Imperial College Business School, and Konark SAXENA, University of New South Wales.
Discussant: Vincent BOUCHET, École Polytechnique.


Parallel Session B6 - AUCTIONS AND CONTRACTS  AUDITORIUM HAUSSMANN

Chairman: Jocelyn MARTEL, ESSEC.

- “Auctions for New and Undiversifiable Risks” Paper
Catherine BOBTCHEFF, Paris School of Economics, CNRS, David ALARY, Toulouse School of Economics, and Carole HARITCHABALET, Université de Pau et des Pays de l’Adour, Toulouse School of Economics.
- “Pitfalls of Insuring Production Risk: A Case Study on Some Wind Power Auctions in France” Paper Slides
Laurent LAMY and 
Clément LEBLANC, Ecole des Ponts, ParisTech.

Discussant: Stephane LOISEL, ISFA.
- “Climate Linkers: Rationale and Pricing” Paper
Jean-Paul RENNE and Pauline Chikhani, University of Lausanne.
Discussant: Julien ROYER, CREST.


18:30

End of the Day
All hours are indicated in Paris local time.
The video paper presentations are pre-recorded and made available before the sessions.

OUR SPONSORS & PARTNERS 2022  / Financial Risks INTERNATIONAL FORUM