RISKS 2018 Program

This conference run through all 2 days from 26 - 27 March 2018

Work in progress, please come back soon to check the program

Day 1
Monday March 26, 2018
Day 2
Tuesday March 27, 2018
Download PDF Program



Welcome Address

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
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Plenary Session I – LONGEVITy RISK

Chairman: Stéphane LOISEL, Professor of Applied Mathematics, Lyon 1 University.
Guest speaker: David BLAKE, Professor of Finance, Cass Business School. Slides
“Longevity: A New Asset Class” 
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Panel session 1:

Marine HABART, Head of Life Internal Model, Head of Retirement & PensionFunds, AXA Group.
Julien CHARTIER, Business Developer in Global Financial Solutions, Reinsure Group of America.

Parallel Sessions

Parallel session 1: Systemic Risk / Financial Stability

Chairman: Olivier DE BANDT, ACPR.
Global Liquidity, Market Sentiment and Financial Stability Indices”, Natalia OSINAAlliance Manchester Business School.  Slides  Paper
Disastrous Defaults”, Jean-Paul RENNEHEC Lausanne, Christian GOURIEROUX, University of Toronto and Toulouse School of Economics, Alain MONFORT, Crest and Banque de France, and Sarah MOUABBI, Banque de France.  Slides  Paper
Discussant: Jean-Cyprien HEAM, INSEE  Slides
Suppliers as Liquidity Providers: Concentration Risk in Trade Credit”, Joël PETEY, LARGE, Strasbourg University and EM Strasbourg, Michel DIETSCH, LARGE, Strasbourg University and ACPR, Anne-France DELANNAY.  Slides  Paper
Who Supplies Liquidity, and When?”,  Xin WANG , University of Illinois, Urbana-Champaign and Mao YE, University of Illinois, Urbana-Champaign and NBER.  Slides  Paper
Discussant: Sylvain BENOIT, Paris-Dauphine University.   Slides

Parallel session 2: Techniques for Finance

Chairwoman: Monique JEANBLANCUniversité d’Evry.
Implied Volatility Phenomena as Market's Aversion to Risk”, Sergei SIYANKOUniversity College London, and Monique PONTIER, Institut Mathématiques de Toulouse. Slides  Paper
Hamiltonian Flow Simulation of Rare Events”, Shohruh MIRYUSUPOV, Paris 1 University Panthéon Sorbonne, Labex RéFi, and Raphaël DOUADY, Stony Brook University, CNRS, Paris 1 University Panthéon Sorbonne.  Slides  Paper
Discussant Jocelyne BION-NADAL, Ecole Polytechnique.
A Multi-Curve Random Field LIBOR Market Model”,  Tao WU Illinois Institute of Technology.  Slides  Paper
Discussant: Claudio FONTANA, Paris Diderot University.   Slides
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Parallel session 3: Longevity and Generation Effect

Chairman: Jean-Paul LAURENT, Paris I University Panthéon Sorbonne.
Asset-Liability Management in Life Insurance: Evidence from France”, Victor LYONNET, HEC Paris and Ecole Polytechnique.  Slides  Paper
Valuing Life as an Asset, as a Statistic, and at Gunpoint”, Florian PELGRIN, EDHEC Business School and CIRANO, Julien HUGONNIER, Ecole Polytechnique Fédérale de Lausanne, Swiss Finance Institute and CEPR, and Pascal SAINT-AMOUR, University of Lausanne, Swiss Finance Institute and CIRANO.  Slides  Paper
Discussant: Caroline HILLAIRET, CREST.  Slides
Geographical Diversification in Annuity Portfolios”, Elisa LUCIANO, University of Torino, Luca REGIS, University of Sienna, and Clemente DE ROSA, Scuola Normale Superiore Pisa.  Slides  Paper
Discussant: Victor LYONNET, HEC Paris and Ecole Polytechnique.   Slides
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POSTER SESSION 1: Coffee Break

Chairman: Anmar AL WAKIL, Paris-Dauphine University.

Predictive Distribution of Anticipative Alpha-Stable Markov Processes"
Sébastien FRIES, CREST.
Market Risk and Volatility Weighted Historical Simulation After Basel III"
Jakob THOMAE,  Conservatoire National des Arts et Métiers 2o Investing Inititiative.  
"When Do Regulatory Hurdles Work?"
 Susan THOMAS, IGIDR Bombay.  

"Cybermapping Germany's Financial System"
Jan-Philipp BRAUCHLE, Deutsche Bundesbank. 
"Testing the Japanese Listed Equity Market Alignment with the Paris Agreement - Energy Technology Diversification Assessment Relative to the IEA 2oC Scenario"
Hugues CHENET, 2Degrees Investing Initiative.

Plenary Session II – Climate Risk

Chairman: Christian GOURIEROUX, Professor of Economics, University of Toronto and Toulouse School of Economics..
Guest speaker: Lars Peter HANSEN, University of Chicago, 2013 Nobel Prize in Economics.  Slides

End of the day


Registration and Welcome Coffee


Plenary Session III – Cyber Risk and cyber security

Chairman: Michel CROUHY, Head of Research and Development, Natixis.
Guest Speaker: Ross ANDERSON, Professor of Security Engineering, Cambridge University
“Measuring the Cost of Cybercrime”   Slides


Panel session 2:

Nicolas BOUROT, Chief Information Security Officer, Natixis.  Slides
Tom WILSON, Chief Risk Officer, Allianz Group.   Slides
Gérôme BILLOIS,  Partner in the Cybersecurity and Digital Trust practice, Wavestone.  Slides


Coffee BreaK


Parallel Sessions

Parallel session 4: Corporate Finance

Chairman: Jocelyn MARTEL, ESSEC.
Financial Contracting as Behavior Towards Risk: The Corporate Finance of Business Cycles”, Robert KRAINER, University of Wisconsin-Madison.   Slides
Entry in Banking Markets”, Guillaume VUILLEMEY, HEC Paris and CEPR, and Marina TRAVERSA, HEC Paris.  Slides  Paper
Discussant: Aurélien VIOLON, ACPR.  Slides
The Impact of External Market Conditions on R&D Valuation”, Marie LAMBERT, HEC Liège, University of Liège, Manuel MORENO, University of Castilla La Mancha, and Frederico PLATANIA, Pôle Universitaire Leonard de Vinci.  Slides  Paper
Can a Mimicking Synthetic Equity Structure Dominate the Risk Return Profile of Corporate Bonds?”, Edouard NOUVELLON and Hugues PIROTTE, Free University of Brussels.  Slides  Paper
Discussant: Diego RONCHETTI, Paris-Dauphine University.  Slides
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Parallel session 5: Socially Responsible Investment

Chairwoman: Marie BRIERE, Amundi, Paris-Dauphine University and Free University of Brussels.
BlackRock vs Norway Fund at Shareholder Meetings: Institutional Investors’ Votes on Corporate Externalities”, Sébastien POUGET, Toulouse School of Economics, Marie BRIERE, Amundi, Paris-Dauphine University and Free University of Brussels, and Loredana URECHE-RANGAU, CRIISEA and University of Picardie.  Slides  Paper
Corporate Governance as a Key Driver of Corporate Sustainability in France: The Role of Board Members and Investor Relations”, Patricia CRIFO, Paris-Nanterre University, Ecole Polytechnique and CIRANO, Nicolas Mottis, Ecole Polytechnique, and Elena ESCRIG OLMEDO, University JaumeI.    Paper
Discussant: Bert SCHOLTENS, University of Groningen.
Does Ceo Inside Debt Mitigate Corporate Social Irresponsibility?”, Guanming HE, University of Durham and University of Warwick, and Long CHEN, George Mason University. Slides  Paper
A CSR Asset Pricing Model", Souad LAJILI JARJIR, Paris-Est University, Aya NASREDDINE, EBS University, and Marc DESBAN, Paris-Est University.  Slides  Paper
Discussant: Gunther CAPELLE-BLANCARD, Paris I University Panthéon Sorbonne.
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Parallel session 6: Insuring Extreme Risks

Chairman: Christian ROBERT, ISFA.
Does Frugality Influence Firm Behavior? Evidence from Natural Disasters”, Matthew WYNTER, University of Chicago.  Slides  Paper
"The Influence of Sponsor Characteristics and (non-)Events on the Risk Premia of CAT Bonds", Tobias GÖTZE, and Marc GÜRTLER, Braunschweig Institute of Technology.  Slides  Paper
Discussant: Nicolas BARADEL, CREST.   Slides

"Reevaluation of the Capital Charge in Insurance After a Large Shock: Empirical and Theoretical Views", Fabrice BOREL-MATHURIN, ACPR Banque de France, Stéphane LOISEL, ISFA, and Johan SEGERS, Université Catholique de Louvain.  Slides  Paper
"Market Manipulation and Suspicious Stock Recommendations on Social Media",  Thomas RENAULT, IESEG School of Management.  Slides  Paper
Discussant: Olivier David ZERBIB, Tilburg University, ISFA Lyon and I Care.   Slides(1)  Slides (2)

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EIF Awards Ceremony

Prize EIF

13:00 - 14:15



Parallel Sessions

Parallel session 7 - Training Session: Satellite Data and Applications to Finance

Chairman: Charles-Albert LEHALLE, Capital Fund Management (CFM).   Slides
"Hands on Satellite Data to Monitor Biomass",  Olivier TOURNAIRE, Capital Fund Management (CFM).   Slides
"Using Satellite Imagery to Monitor Crude Oil Supply Chain and Anticipate Market Movements",  Antoine ROSTAND, Kayrros.  Slides
"Perspectives in High Resolution Satellite Image Processing and 3D Surface Modelling", Gabriele FACCIOLO, CMLA, ENS Paris Saclay.   Slides
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Parallel session 8 - Training Session: Textmining and Pattern Recognition for Asset Management

Chairman: Romuald ELIE, Université Paris Est.  Slides
"Textmining Using Social Media Data for Asset Pricing", Thomas RENAULT, IESEG & LabEx ReFi.  Slides
"Supervised and Online Learning on Extra-Financial Massive Data for Asset Management", Christophe GEISSLER, Advestis.  Slides
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Parallel session 9 - Training Session: Green DataLab : using innovative data tools to drive green finance

Chairmen: Peter TANKOV, ENSAE and Stéphane VOISIN, Institut Louis Bachelier.  Slides
"Using AI and Geo-Referencing to Drive Climate Change in France", Grégory LABROUSSE, CEO, nam.R.
"Net Environmental Contribution (NEC) Rating to Assess Energy and Ecological Transition of Company’s Activities",  Jean-Guillaume PELADAN, Head of Environmental Research and Management, Sycomore AM.  Slides
“Open Data and Sustainability Data Sets to Build ESG Integration Frameworks", Lise MORET, Head of ESG Quantitative Research, AXA IM.  Slides
Q&A Session with Louis BOULANGER, Head of ILB DataLab.


POSTER SESSION 2: Coffee Break

Chairman: Franscesco VIOLANTE, CREST.
Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries"
Mikhail STOLBOV, MGIMO-University.
Cross-Border M&As and Credit Risk: Evidence from the CDS Market" 
Burcin COL, Pace University.
Changing Colors: Adaptive Capacity of Companies in the Context of a Transition to a Low Carbon Economy" 
Laura RAMIREZ, 2° Investing Initiative. 
Political Influence on Bank Performance and Lending in African Countries" 
Imen KOUKI, Institut Supérieur de Gestion de Tunis
Financial Constraints and Future Stock Price Crash Risk" 
Guanming HE, University of Durham and University of Warwick.


Parallel Sessions

Parallel session 10: Climate Risk 

Chairman: Jean BOISSINOT, General Directorate of the Treasury
"Dead on Arrival? Implicit Stranded Assets in Leading IAM Scenarios", Alexander PFEIFFER, University of Oxford, Adrien VOGT-SCHILB, Inter-American Development Bank, Daniel J. TULLOCH and Cameron HEPBURN, University of Oxford.  Slides  Paper
"Scenarios for Wind-Solar Energy Mix in Italy from Regional Climate Simulations",  Anna CRETI, Ecole Polytechnique and Paris-Dauphine University, Silvia CONCETTINI, Université de Tours and Ecole Polytechnique, Marc STEFANON, Philippe DROBINSKI and Jordi BADOSA, Ecole Polytechnique and Paris-Saclay University, Claudia D'AMBROSIO, Ecole Polytechnique and Paris-Saclay University, Dimitri THOMOPULOS and Peter TANKOV, CREST and Ecole Polytechnique.  Slides  Paper
Discussant: René AÏD, Paris-Dauphine University  Slides

"Managing Risks and Opportunities of Weather Variability", Jean-Louis BERTRAND, ESSCA School of Management and Xavier BRUSSET, UCA, Skema Business School. Slides
Discussant: Stéphanie MONJON, Paris-Dauphine University. Slides 
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Parallel session 11: Equity Factors and Momentum

Chairwoman: Gaelle LE FOL, Paris-Dauphine University.
"Cross-Sectional Dispersion and Expected Returns", Thanos VEROUSIS, Newcastle University and Nikolaos VOUKELATOS, University of Kent.  Slides  Paper
"Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies", Paul JUSSELIN, Ecole Polytechnique, Thierry RONCALLI, Hassan MALONGO, Edmond LEZMI, Come MASSELIN, Amundi Asset Management, and Tung-Lam DAO, Independent Researcher Paris.  Slides  Paper
Discussant: Guillaume SIMON, Capital Fund Management (CFM).  Slides
"Partial Moment Momentum", Stephen SATCHELL, University of Sydney Business School and University of Cambridge, Yang GAO and Henry LEUNG, University of Sydney Business School.  Slides  Paper
"Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies",  Terri VAN DER ZWAN, Patrick TUIJP and Erik HENNINK, ORTEC Finance.  Slides  Paper
Discussant: Sofia RAMOS, Essec Business School.  Slides(1) 

Parallel session 12: Robustness of Risk Measures

Chairman: Jean-Michel ZAKOIAN, CREST.  
Is More Data Always Better? Optimal Data Usage in Non-Stationary Systems”, Jakob KRAUSE, Martin Luther University.  Slides  Paper
The Dispersion BiasAlexander SHKOLNIK, Lisa GOLDBERG and Alex PAPANICOLAOU, University of California.  Slides  Paper
Discussant: Jeroen ROMBOUTS, Essec Business School.   Slides

"Estimation Risk for the VaR of Portfolios Driven by Semi-Parametric Multivariate Models", Jean-Michel ZAKOIAN, and Christian FRANCQ, Lille University and CREST. Slides  Paper
Discussant: Serge DAROLLES, Paris-Dauphine University.  Slides


End of the Risks Forum