RISKS 2015 Program

This conference run through all 2 days from 30 - 31 March 2015
Day 1
Monday March 30, 2015
Day 2
Tuesday March 31, 2015
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Welcome Address

By Jean-Michel BEACCO Chairman, Institut Louis Bachelier (ILB) & Pierre-Antoine GAILLY, Chairman, Chambre de commerce et d’industrie de région Paris Ile-de-France
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Plenary Session I – NATIXIS

Chairman: Michel CROUHY, Head of Research & Development at NATIXIS.
Guest speaker: Jin-Chuan DUAN, National University of Singapore.
" Stress Testing with a Bottom-Up Corporate Default Prediction Model"
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Panel session 1: Stress Testing and Scenario Analysis

Jacques BEYSSADE, Chief Risk Officer, NATIXIS
" Stress Testing: Lessons from the ECB Comprehensive Assessment"
Alla GIL, Managing Director, Gil & Associates
" Unmasking Black Swans"
Alexander DENEV, Founder of Graphrisk and Senior Advisor to Risk Dynamics
" Graphical Models and their Use for Stress Testing and Scenario Analysis: A New Paradigm"

Parallel Sessions

Parallel session 1: Credit Risk

Chairman: Alain MONFORT, CREST and Banque de France.
The Relation Between Counter-Party Default and Interest Rate Volatility, and its Impact on the Credit Risk of Interest Rate Derivatives”, Tao L. WU, Illinois Institute of Technology, Geoffrey R. HARRIS, Federal Reserve Bank of Chicago and Jiarui YANG, FactSet.
Paper Slides
Dynamic Dependence in Prices, Liquidity, and Credit Risk. A Vine Copula Approach”, Gregor WEISS and Christopher BIERTH, TU Dortmund.
Paper Slides
Discussant: Jeroen ROMBOUTS, ESSEC.
Information Noise and Bankruptcy Forecasting”, Xin XU, Commonwealth Bank of Australia.
Paper Slides
Systemic Default Risk Vulnerability and Credit Default Risk”, Merlin KUATE KAMGA, Goethe University Frankfurt.
Discussant: Gregor WEISS, Dortmund University.
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Parallel session 2: Networks

Chairman: Bertrand VILLENEUVE, Université Paris-Dauphine.
Correlation and Contagion as Sources of Systemic Risk”, Juraj HLEDIK and Rüdiger FREY, Vienna University of Economics and Business.
Paper Slides
Discussant: Giovanni CALICE, University of Birmingham.
Liability Concentration and Losses in Financial Networks: Comparisons via Majorization”, Peng-Chu CHEN, School of Industrial Engineering, Agostino CAPPONI, Columbia University and David D. YAO, Columbia University.  
Paper Slides
Assessing Systemic Risk Using Interbank Exposures in the Global Banking System”, Masayasu KANNO, Kanagawa University.
Paper Slides
Discussant: Jean-Cyprien HEAM, Prudential Supervision Authority and Resolution (ACPR) and CREST.
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Parallel session 3: Systemic Risk Measures

Chairman: Christian GOURIEROUX, CREST and University of Toronto.
Institutional Investors and the Dependence Structure of Asset Returns”, Lakshithe WAGALATH, IESEG School of Management and De Vinci Finance Lab. and Rama CONT, Imperial College and University Pierre et Marie Curie Paris VI.
CDX and iTraxx and Their Relation to the Systemically Important Financial”, Giovanni CALICE, University of Birmingham.
Discussant: Mirco RUBIN, Universita della Svizzera Italiana and Swiss Finance Institute.
- “Multi-CoVaR and Shapley Value: A Systemic Risk Measure”, Zhili CAO, Axa Investment Managers.
Paper Slides
Discussant: Christophe PERIGNON, HEC Paris.
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POSTER SESSION 1 : Coffee Break

Chairman: Yang LU, SCOR and CREST.
" Do LTV and DSTI Caps Make Banks More Resilient?", Michel DIETSCH, University of Strasbourg, Prudential Supervision Authority and Resolution (ACPR) and Banque de France and Cécile WELTER-NICOL, Prudential Supervision Authority and Resolution (ACPR) and Banque de France.
" Reverse Stress Test in OTC Portfolios", Stefano IABICHINO, University of Tor Vergata.
" Aggregation Operators for the Measurement of Systemic Risk", Peter SARLIN, Goethe University Frankfurt, Hanken School of Economics and Abo Akademi University and Jozsef MEZEI, Abo Akademi University.
" Forecasting Trends with Asset Price", Ahmed BEL HADJ AYED, Ecole Centrale Paris and BNP Paribas, Grégoire LOEPER, BNP Paribas and Frédéric ABERGEL, Ecole Centrale Paris.
" A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium", Giovanni CALICE, University of Birmingham.
" Empirical Evidence of Market Inefficiency Predicting Single-Stock returns", Marouane ANANE, Ecole Centrale Paris.
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Parallel Sessions

Parallel session 4: Asset Pricing

Chairman: Patrice PONCET, ESSEC Business School.
" Network Connectivity and Systemic Risk”, Massimiliano CAPORIN, University of Padova.
Paper Slides
Discussant: Juraj HLEDIK, Vienna Graduate School of Finance.
Forecasting Realized Volatility with Changing Average Levels”, Giampiero GALLO, Universita di Firenze.
Paper Slides
Resilience to Financial Crisis in Customer-Supplier Networks”, Xiao YU and Ramazan GENÇAY, Simon Fraser University.
Paper Slides
Discussant: Eser ARISOY, Université Paris-Dauphine.
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Parallel session 5: Mixed Frequency Data

Chairman: Christian FRANCQ, University Lille 3 and CREST.
Mixed-frequency large-scale factor models”, Mirco RUBIN, Universita della Svizzera Italiana and Swiss Finance Institute, Elena ANDREOU, University of Cyprus, Patrick GAGLIARDINI, Universita della Svizzera Italiana and Eric GHYSELS, University of North Carolina.
Paper Slides
Discussant: Christophe HURLIN, University of Orleans
Variable Selection in Predictive MIDAS Models”, Clément MARSILLI, Banque de France.
Do We Need Ultra-High Frequency Data to Forecast Variances?”, Georgiana-Denisa BANULESCU, European University Institute, Maastricht University and University of Orleans, Bertrand CANDELON, IPAG Business School, Christophe HURLIN, University of Orleans and Sébastien LAURENT, IAE Aix-en-Provence.
Discussant: Marie BESSEC, Université Paris-Dauphine.
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Parallel session 6: Scenarios/Stress

Chairman: Gaëlle LE FOL, Université Paris-Dauphine and CREST.
Risk Horizon Predictors of Euro Area Financial Stress”, Thomas LEJEUNE, HEC Management School and University of Liege and Georges HÜBNER, National Bank of Belgium.
Paper Slides
Scenario Response Distributions”, Fulvio PEGORARO, Banque de France and CREST, Caroline JARDET, Banque de France and Alain MONFORT, Banque de France and CREST.
Discussant: Stefan STRAETMANS, Maastricht University.
Are Eurozone Banks Undercapitalized? A Stress Testing Approach to Financial Stability”, Dennis KAHLERT and Niklas WAGNER, University of Passau.
Paper Slides
Financial Crises, Crisis Spillovers and the Business Cycle”, Stefan STRAETMANS, Maastricht University.
Paper Slides
Discussant: Claire LABONNE, Prudential Supervision Authority and Resolution (ACPR).
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End of the day


Registration and Welcome Coffee


Plenary Session II – ALLIANZ

Chairman : Christian GOURIEROUX, CREST and University of Toronto.
" Revisiting Identification and Estimation in Structural VARMA Models"
Paper Slides


Panel session 2: Stress Tests: Top-Down Vs Bottom-up Approaches

Quentin ARQUIER, LCH Clearnet. Slides
Blaise BOURGEOIS, Allianz France. Slides
Henri FRAISSE, ACPR. Slides
Fulvio PEGORARO, Banque de France. Slides

Coffee Break


Parallel Sessions

Parallel session 7: Scenarios/Stress

Chairman: Laurent CLERC, Banque de France.
Pricing Effects of Time-Series Variation in Liquidity”, Patrick TUIJP, University of Amsterdam.
Discussant: Gulten MERO, THEMA and University of Cergy-Pontoise.
Is the Comprehensive Assessment Really Comprehensive?”, Roberto BAVIERA, Politecnico di Milano, Emilio BARUCCI, Politecnico di Milano and Carlo MILANI, Centro Europa Ricerche.
Discussant: Mathias LE
, ACPR Banque de France.
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Parallel session 8: Credit Risk

Chairman: Jean-Paul RENNE, Banque de France.
Short- and Long-term Default Risks Implied in the Term Structure of CDS Spreads”, Christian WILDE and Merlin KUATE KAMGA, Goethe University Frankfurt.
Credit Risk Characteristics of US Small Business Portfolios”, Magdalena PISA and Dennis BAMS, Maastricht University and Christian WOLFF, Luxembourg School of Finance.
Discussant: Hugues PIROTTE, Université Libre de Bruxelles. Slides
Credit Risk Calibration Based on CDS Spreads”, Hien PHAM-THU, Shih-Kang CHAO and Wolfgang Karl HÄRDLE, University Humboldt ZU Berlin.
Sovereign Bond Yield Spreads: An International Analysis”, Giuseppe CORVASCE, Rutgers University.
Discussant: Olivier TOUTAIN, Banque de France. Paper Slides
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Parallel session 9: Networks/Contagion

Chairman: Serge DAROLLES, University Dauphine and CREST.
Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks”, Zhang LI, Borja PELEATO-INARREA, and Ilya POLLAK, Purdue University.
Spatial Dependence and Data-driven Networks of International Banks”, Ben CRAIG, Deutsche Bundesbank and Cleveland Fed and Martin SALDIAS, International Monetary Fund.
Discussant: Massimiliano CAPORIN, University of Padova. Slides
The Propagation of Shocks Across International Equity Markets: A Microstructure Perspective”, Darya YUFEROVA, Dion BONGAERTS, Richard ROLL, California Institute of Technology, Dominik RÖSCH and Mathijs VAN DIJK, Rotterdam School of Management Erasmus University.
Discussant: Charles-Albert LEHALLE, Capital Fund Management. Slides
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EIF Awards Ceremony by Groupama AM

Natixis Louis Bachelier Prize by Michel CROUHY , Head of Research & Development, NATIXIS Corporate and Investment Bank
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13:00 - 14:15



Plenary Session III – AMUNDI

Guest speaker: Jeffrey PONTIFF, Boston College.
" Does Academic Research Destroy Stock Return Predictability?"


Panel session 3: Climate Risk

Christian GOLLIER, Toulouse School of Economics. Slides
Frédéric SAMAMA, Amundi. Slides
Stéphane VOISIN, Kepler Cheuvreux.

POSTER SESSION 2 : Coffee Break

Chairman: Yim ZOU, Université Paris-Dauphine and CREST.
" Banking Market Competition and Systemic Liquidity: International Evidence”, My NGUYEN, Michael SKULLY and Shrimal PERERA, Monash University.
" Using Market Consistent Financial Simulations in the Solvency 2 Framework: Issues and Solutions", Estelle ADAM, BNP Paribas Cardif.
" Factor Exposure of Alternative Beta Strategies Across Market Regimes", Bruno MONNIER, Ksenya RULIK and Carmine DE FRANCO, Ossiam in Paris.
" CVaR Hedging on Energy Markets Using Quantization Based Stochastic Approximation Algorithms", Gilles PAGES, Université Pierre et Marie Curie, Olivier BARDOU, GDFSuez and Noufel FRIKHA, Université Paris Diderot.
" Systemic Risk Assessment: Stress Testing the French Banking System", Lyes KOLIAI, Université Paris-Dauphine.
" Revisiting the Transitional Dynamics of Business-Cycle phases with Mixed Frequency Data", Marie BESSEC, Université Paris-Dauphine.
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Parallel Sessions

Parallel session 10: Forecasts Early Warning

Chairman: Marie BRIERE, Amundi, Université Paris-Dauphine, Université Libre de Bruxelles.
Toward Robust Early-Warning Models: A Horse Race, its Aggregation and Model Uncertainty”, Peter SARLIN, Goethe University Frankfurt, Hanken School of Economics and Arcada University and Markus HOLOPAINEN, Arcada University.
"Predicting International Financial Crises with Option-Implied Information”, Martin PUHL, Oesterreichische Nationalbank and Vienna University of Technology.
Papers Slides
Discussant: Andras FULOP, ESSEC. Papers
Fundamentals and Exchange Rate Forecastability with Machine Learning Methods”, Christophe AMAT, Ecole des Ponts ParisTech, Tomasz MICHALSKI and Gilles STOLTZ, GREGHEC, HEC Paris and CNRS.
Discussant: Martin PUHL, Vienna University of Technology.
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Parallel session 11: Extreme Risks

Chairman: Christian ROBERT, ISFA.
Extreme Downside Risk and Financial Crisis”, Linh H. NGUYEN, University of Exeter, Richard D. F. HARRIS, University of Exeter and Evarist STOJA, University of Bristol.
Simulating Rare Scenarios – A New Approach via Shaking”, Emmanuel GOBET, Ecole Polytechnique and Gang LIU, Ecole Polytechnique and CNRS.
Papers Slides
Discussant: Frédéric ABERGEL, Ecole Centrale Paris.
Tail Asymptotics of Log-normal Mixture Portfolios”, Adrien GENIN, Opus Finance Research and Paris Diderot University, and Peter TANKOV, Paris Diderot University.
High Frequency Trading and Extreme Price Movements”, Jonathan BROGAARD, University of Washington, Ryan RIORDAN, Queen’s University, Andriy SHKILKO and Konstantin SOKOLOV, Wilfrid Laurier University.
Discussant: Emmanuel GOBET, Ecole Polytechnique.
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Parallel session 12: Macro Risk

Chairman: Stéphane AURAY, ENSAE.
Systemic and Disaster Risks”, Christophe M. BOUCHER, Catherine C. LUBOCHINSKY and Bertrand B. MAILLET.
Discussant: Virginie COUDERT, Banque de France.
Cyclicality in Losses on Bank Loans”, Bart DIRIS, Bart KEIJSERS and Erik KOLE, Econometric Institute, Erasmus University, Rotterdam.
Interconnectedness of the Banking Sector as a Vulnerability to Crises”, Peter SARLIN, Goethe University, Tuomas A. PELTONEN, European Central Bank and Michela RANCAN, European Commission.
Discussant: Olivier LOISEL, CREST. Slides
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End of the Risks Forum