RISKS 2016 Program

This conference run through all 2 days from 21 - 22 March 2016
Day 1
Monday March 21, 2016
Day 2
Tuesday March 22, 2016
Download PDF Program



Welcome Address

By Jean-Michel BEACCO Chairman, Institut Louis Bachelier (ILB), Marie BRIERE, Chairman of the Scientific Committee & Jean-Yves DURANCE, Vice-Chairman, Chambre de commerce et d’industrie de région Paris Ile-de-France

Introduction by Jean-Francois BOULIER, CEO, Aviva Investors France
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Plenary Session I – NATIXIS

Chairman: Michel CROUHY, Head of Research & Development, Natixis. Slides
Guest speaker: David LAWTON, Director of Markets Policy & International, UK Financial Conduct Authority. Slides
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Panel session 1: Systemic Risk Posed by Investment Funds and Financial Regulation

Philippe BERTHELOT, Head of Credit & Structured Credit, Natixis Asset Management.
Domitille DESSERTINE, Policy Advisor, Affairs and Policy Department, AMF.
Edward FISHWICK, Global Co-Head of Risk & Quantitative Analysis, Blackrock. Slides
Raoul SALOMON, Head of Markets for France, Barclays. Slides

Parallel Sessions

Parallel session 1: Systemic Risk

Chairman: Alain MONFORT, CREST.
Structural Dynamic Analysis of Systematic Risk”, Christian GOURIEROUX, CREST and University of Toronto, Laurent CALVET, HEC Paris and Veronika CZELLAR, EDHEC Business School. Paper Slides
The Systemic Effects of Benchmarking”, Gustavo SCHWENKLER, Diogo DUARTE and Kyounghwan LEE, Boston University. Paper Slides
Discussant: Christophe HURLIN, Orléans University. Discussion
International Asset Allocation in Presence of Systematic Cojumps”, Oussama M'SADDEK and Mohamamed AROURI, CRCGM University of Auvergne, Duc Khuong NGUYEN, IPAG Lab and Kuntara PUKTHUANTHONG, University of Missouri.
Paper Slides
Monitoring Systemic Risk in the Hedge Fund Sector”, Frank HESPELER and Giuseppe LOIACONO, ESMA. Paper Slides
Discussant: Mathias LE, ACPR. Discussion
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Parallel session 2: Networks and Contagion

Chairman: Laurent CLERC, Banque de France.
Network Banks Exposures and Variance Spillovers in the Euro Area”, Lorenzo FRATTAROLO, Loriana PELIZZON, SAFE and Goethe University Frankfurt, Monica BILLIO, University Ca’ Foscari Venezi, Massimiliano CAPORIN, University of Padova. Paper Slides
European Government Bond Dynamics and Stability Policies: Taming Contagion Risks”, Martin SCHUELE, Peter SCHWENDNER, Thomas OTT, Zurich University, and Martin HILLEBRAND, European Stability Mechnism. 
Paper Slides
Discussant Hugues PIROTTE , Université Libre de Bruxelles. Discussion
Pandemic Crises in Financial Systems: a Simulation-model to Complement Stress Testing Framework”, Thibaut PIQUARD, Ecole des Ponts Paristech and Banque de France and Julien IDIER, Banque de France. Paper Slides
 “What Drives Liquidity? Identifying Shocks to Market Makers’Supply of Liquidity and Their Role in Economic Fluctuations”, Jonathan GOLDBERG , Federal Reserve Board. Paper Slides
Discussant: Jean-Cyprien HEAM, INSEE and CREST. Discussion
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Parallel session 3: Pensions - Longevity

Chairman: Najat EL MEKKAOUI, Université Paris-Dauphine, Netspar and Smith School, Oxford University.
Impact of Volatility Clustering on Equity Indexed Annuities”, Donatien HAINAUT, ESC Rennes Business School and CREST. Paper Slides
Basis Risk in Static Versus Dynamic Longevity-Risk Hedging”, Elisa LUCIANO, University of Torino, Collegio Carlo Alberto and Netspar, Clemente DE ROSA and Luca REGIS, Collegio Carlo Alberto. Paper Slides
Discussant: Stéphane LOISEL, ISFA Lyon. Discussion
Regulation and Pension Fund Risk-Taking”, Ling-Ni BOON, Amundi and Marie BRIERE, Amundi, Université Paris-Dauphine and Université Libre de Bruxelles and Sandra RIGOT, Université Paris 13. Paper Slides
Life-Cycle Asset Allocation and Unemployment Risk”,  Carolina FUGAZZA Fabio C. BAGLIANO and Giovanna NICODANO, University of Turin. Paper Slides
Discussant: Jerome GLACHANT, Paris I University. Discussion
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POSTER SESSION 1: Coffee Break

Chairman: Nguyen HUU, CREST and Ecole Polytechnique.
" Mutual Fund Performance and Network Characteristics", Keyi ZHANG and Ramazan GENÇAY, Simon Fraser University.
" Valuing Exchangeable Bonds and Hybrid Products", Paul ZIMMERMANN, Boussard & Gavaudan Asset Management and Philippe RAIMBOURG, Université Paris 1 Panthéon-Sorbonne.
" The Impact of UCITS IV Directive on European Mutual Funds Performance", Hery RAZAFITOMBO and Veasna KHIM, University of Lorraine.
" Evaluation of Deposit Insurance Fund Adequancy Using Credit Risk Model – an Indian Experience", Steward DOSS, National Insurance Academy.
"The Role of Strategy Distinctiveness in Hedge Fund Performance" Ekaterini PANOPOULOU  and Nikolaos VOUKELATOS, University of Kent.
"Cross-listings and Liquidity Risk Diversication " ,Feng JIAO, McGill University.
"Insider Sales and Future Stock Price Crash Risk: Firm-Level Analysis" Guanming HE, Helen REN and Richard TAFFLER, University of Warwick.
"Event Conditional Correlation: or how non-Linear Dependence can be" Pierre-André MAUGIS, University College London.
Read More"Tail-Risk-Protection Trading Strategies ",  Fabian WOEBBEKING, Goethe University, Natalie PACKHAM, Frankfurt School of Finance & Management, Jochen PAPENBROCK, Firamis and PPI AG, and Peter SCHWENDNER, Zurich University.
"Internal Communication and Performance in Banking Organizations",  Sergio GASPAR , INSEAD.
"Replicating Inter-Generational Risk Sharing in Financial Market",  Enareta KURTBEGU , Université du Maine.
"Performance-based Fees and asset Allocation Under Loss Aversion",  Constantin MELLIOS , Université Paris 1, Panthéon-Sorbonne.

Parallel Sessions

Parallel session 4: Liquidity

Chairman: Gaelle LE FOL, Université Paris-Dauphine.
Wholesale Funding Runs”,  Guillaume VUILLEMEY and Christophe PERIGNON. HEC Paris, David THESMAR, HEC Paris and CEPR. Paper  Slides
Optimal Hedging of Funding Liquidity Risk ”, Jimmy SKOGLUND and Wei CHEN, SAS Institute. Paper  Slides
Discussant  Fabrice RIVA, Université Paris-Dauphine. Discussion
" Central Clearing Valuation Adjustment”, Stéphane CREPEY, and Yannick ARMENTI, Université d’Evry Val d’Essonne. Paper  Slides
CCP Resilience and Clearing Membership”,  Angela ARMAKOLA  and Jean-Paul LAURENT, PRISM and Université Paris 1 Panthéon-Sorbonne, 1. Paper  Slides
Discussant: Guillaume VUILLEMEY, HEC. Discussion
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Parallel session 5: Hedge funds and mutual Funds Performance

Chairman: Serge DAROLLES, Université Paris-Dauphine.
Style and Skill: Hedge Funds, Mutual Funds, and Momentum”, Lubomir PETRASEK, Board of Governors of the Federal Reserve System, Mark GRINBLATT, UCLA Anderson School of Management, Gergana JOSTOVA, George Washington University and Alexander PHILIPOV, George Mason University. Paper  Slides
Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows?”,  Honglin REN , Georgia State University, T. Clifton GREEN,  Emory University and Vikas AGARWAL, University of Cologne and Georgia State University. Paper  Slides
Discussant: Daniel GIAMOURIDIS, Athens University of Economics and Business and Cass Business School. Discussion
Funding Risk, Patient Capital, and the Dynamics of Hedge Fund Lockups”, Qiping HUANG, and Christopher P. Clifford, University of Kentucky, Adam L. AIKEN, Elon University and Jesse A. ELLIS, North Carolina State University. Paper  Slides
The Trading Performance of Active Mutual Funds”, Teodor DYAKOV, VU University Amsterdam, Hao JIANG, Michigan State University and Marno VERBEEK, Erasmus University and Netspar. Slides
Discussant: Honglin REN, Georgia State UniversityDiscussion
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Parallel session 6: Position Disclosure

Chairman: Frédéric ABERGEL, Ecole Centrale Paris.
Dissecting Short-Sale Performance: Evidence from Large Position Disclosures”, Stephan JANK, Frankfurt School of Finance and Esad SMAJLBEGOVIC, University of Mannheim. Paper  Slides
Manager Characteristics and Credit Derivative Use by U.S. Corporate Bond Funds”, Dominika Paula GAKIEWICZ , and Li MA, University of Applied Sciences Kufstein and Humboldt University Berlin. Paper  Slides
Discussant: Damien CHALLET, CentraleSupélec. Discussion
The Wisdom of the Institutional Crowds: Transaction Costs, Market Impact and Portfolio Structure”, Kevin PRIMICERIO, Damien CHALLET and Stanislao GUALD, CentraleSupélec. Paper  Slides
Discussant: Dominika Paula GAKIEWICZ , University of Applied Sciences Kufstein and Humboldt University BerlinDiscussion
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End of the day


Registration and Welcome Coffee


Plenary Session II – AMUNDI

Chairman: Marie BRIERE, Head of Investor Research Center, Amundi.
Guest Speaker: Pierre COLLIN-DUFRESNE, Swiss Finance Institute, Ecole Polytechnique Fédérale de Lausanne.
" Shareholder Activism, Informed Trading and Stock PricesSlides


Panel session 2: Active Ownership, Engagement and Voting

Loïc DESSAINT, Director-general, Proxinvest.
Josiane FANGUINOVENY, Engagement Director, Global Engagement Services.
Cédric LAVERIE, Head of Corporate Governance, Amundi.
Sébastien POUGET, Professor, Toulouse School of Economics

Coffee Break


Parallel Sessions

Parallel session 7: Investment

Chairman: Tom FEARNLEY, Norway Ministry of Finance.
Who are the Value and Growth Investors?”, Laurent E. CALVET, HEC Paris, Sébastien BETERMIER, McGill University and Paolo SODIN, Stockholm School of  Economics. Paper Slides
An Equilibrium Model with Buy and Hold Investors”,  Tao WU ,  Illinois Institute of TechnologyPaper Slides
Discussant: Frank DE JONG, Tilburg University. Discussion
Short Sales Constraints and the Diversification Puzzle”, Pedro A. C. SAFFI, University of Cambridge, Adam REED, University of North Carolina and Edward D. VAN WESEP, University of Colorado. Paper Slides
Portfolio Company Fees in Private Equity”,  Ludovic PHALIPPOU and Christian RAUCH, University of Oxford, and Marc UMBER, Frankfurt School of Finance & Management.
Mario MILONE, Université Paris-Dauphine. Discussion (SAFFI)  Discussion (PHALIPPOU)
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Parallel session 8: Prediction

Chairman: Christian GOURIEROUX, CREST and University of Toronto.
Do Stock Markets Price Expected Stock Skewness? New Evidence from Quantile Regression based Skewness Forecasts”, Kevin ARETZ, Manchester Business School and Eser ARISOY, Université Paris-DauphinePaper Slides
Economic Links and Return Volatility”, Keyi ZHANG, Xiao YU, Ramazan GENÇAY, Simon Fraser UniversityPaper Slides
Discussant: Julien PENASSE, Luxembourg School of FinanceDiscussion
Return Predictability: Learning from the Cross-Section”, Julien PENASSE, Luxembourg School of FinancePaper Slides
Fundamental Analysis Works”, Söhnke M. BARTRAM, Warwick University and Mark GRINBLATT, UCLA Anderson School of Management.
Discussant: Fulvio PEGORARO, Banque de France and CRESTDiscussion
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Parallel session 9: Asset Allocation

Chairman: Jean-Paul LAURENT, Paris 1 University.
Active Risk-Based Investing”, Emmanuel JURCZENKO, Ecole Hotelière de Lausanne, and Jérôme TEILETCHE, UnigestionPaper Slides
Discussant: Raul LEOTE DE CARVALHO, BNP Paribas Investment PartnersDiscussion
Asset Allocation Strategies Based on Penalized Quantile Regression”, Giovanni BONACCOLTO, Massimiliano CAPORIN and Sandra PATERLINI, University of PadovaPaper Slides
Stochastic Portfolio Theory and Mean Reversion: Explaining Theoretical Performances by Observed Market Dynamics ”, Charles-Albert LEHALLECapital Fund Management and Deepak KUMAR, Indian School of BusinessPaper Slides
Discussant: Jean-David FERMANIAN, ENSAEDiscussion
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Parallel session 10: Trading Strategies

Chairman: Monique JEANBLANC, Université d'Evry.
Optimal Investment in Markets with Over and Under-Reaction to Information”, Carlo SGARRA, Politecnico di Milano, Giorgia CALLEGARO, Universita di Padova, M'hamed GAÏGI, Université d’Evry Val d’Essonne and Simone SCOTTI, Université Paris-DiderotPaper Slides
Discussant: Sergio PULIDO, Université d'Evry Val d'Essonne. Discussion
Performance Analysis of the Optimal Strategy Under Partial Information”, Ahmed BEL HADJ AYED, CentraleSupélec and BNP Paribas, Grégoire LOEPER, BNP Paribas, Sofiene EL AOUD and Frédéric ABERGEL, CentraleSupélecPaper Slides
Discussant: Carlo SGARRA, Politecnico di Milano. Discussion

EIF Awards Ceremony


Prize EIF - Fédération Bancaire Française Best Paper in Finance
Prize EIF - Les Echos :
Best Paper on a Hot Topic
Prize EIF - Fondation Scor pour la Science
: Best Young Researcher in Finance

13:00 - 14:15



Plenary Session III – AXIOMA - EURONEXT

Chairman: Elyès JOUINI, Europlace Institute of Finance (EIF) and Université Paris-Dauphine.
Guest speaker: Richard ROLL, Professor of Finance, California Institute of Technology.
A Protocol for Factor Identification" Slides

Panel session 3: Smart Beta and Factor Investing

Anthony ATTIA, Chief Executive Officer, Euronext.
Charles-Albert LEHALLE, Senior Research Manager, Capital Fund Management (CFM).
Mark SINSHEIMER, Independant Consultant.
Ksenya RULIK, Head of quantitative research, Ossiam.
Ian WEBSTER, Managing Director, Axioma.

POSTER SESSION 2: Coffee Break

Chairman: Jean-Michel ZAKOIAN, CREST and Lille University.
" Filtering Problem for General Modeling of the Drift and Application to Portfolio Optimization Problems", Dalia IBRAHIM, Centrale Supélec.
" Dynamic Correlation Models Based on Vines", Benjamin POIGNARD, CREST.
" ETF-Factor Asset Pricing Models", Junqi LI, Anurag N. BANERJEE and Daniel HUNG, Durham University.
" Credit Spreads and the Correlation in Default Probabilities", Seoyoung KIM, Santa Clara University, Siamak JAVADI, Ohio University, Tim KREHBIEL and Ali NEJADMALYERI, Oklahoma State University.
" The Real Effects of Universal Banking on Firms’ Investment : Micro-Evidence from 2004-2009", Frédéric VINAS, Université Paris 1 Panthéon-Sorbonne.
"Buying Hoarders, Selling Spenders: Cash Effects in Average Returns" Mamdouh MEDHAT , CASS Business School.
"A Smart Alpha Overlay" Thierry MICHEL, Lombard Odier Asset Management.
"A Sovereign Bond Based Index for Financial Instability in the Euro Zone and the Role of Carry Trade" ,  Roberto BAVIERA, Politecnico di Milano and Davide LEBOVITZ, Banco Popolare.
"Assessing the Systemic Importance of Asset Managers and Investment Funds" Massimilano NERI, Moody’s Analytics and Gustave LAURENT, University of York.
"A Generalized VARMA-DCC/ADCC Framework and its Application in the Black-Litterman Model - Illustrated with a China Portfolio" Qi DENG, Liverpool University.
Read More"Moment-Free Sharpe Ratio Estimation from Total Drawdown Durations ", Damien CHALLET, CentraleSupélec Université Paris-Saclay.
"Insights into Robust Portfolio Optimization: Decomposing Robust Portofolios into Mean-Variance and Risk-Based Portfolios",  Romain PERCHET , Xiao LU, Raul LEOTE DE CARVALHO and Thomas HECKEL, BNP Paribas Investment Partners.
"Alternative to Beta Coefficients in the Context of Diffusions",  Guillaume BERNIS , Natixis Asset Management and Simone SCOTTI, Université Paris Diderot.
"Multivariate Shortfall Risk Allocation and Systemic Risk", Yannick ARMENTI and Stéphane CREPEY , Université d’Evry Val d’Essone, Samuel DRAPEAU, Shanghai Jiao Tong University and Antonis PAPAPANTOLEON, Technical University Berlin.

Parallel Sessions

Parallel session 11: Corporate Bonds

Chairman: Albert DESCLEE, Barclays.
Institutional Herding in the Corporate Bond Market”, Song HAN, Fang CAI, Dan LI and Yi LI, Federal Reserve BoardPaper Slides
"Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms”, Jean-David FERMANIAN, and Olivier GUEANT, ENSAE and CREST, and Arnaud RACHEZ, Institut Europlace de FinancePaper Slides
Discussant: Dan GALAI, The Hebrew University of Jerusalem. Discussion
Trading Book and Credit Risk: How Fundamental is the Basel Review?”, Stéphane THOMAS, PHAST, Michael SESTIER and Jean-Paul LAURENT, Université Paris 1, Panthéon-Sorbonne. Paper Slides
Loan Commitments”, Dan GALAI, and Zvi WIENER, The Hebrew University of JerusalemPaper Slides
Discussant: Olivier TOUTAIN, Banque de FranceDiscussion (THOMAS) Discussion (GALAI)
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Parallel session 12: Corporate Governance and Social Responsibility

Chairman: Patricia CRIFO, Ecole Polytechnique.
Market Reaction to the Disclosure of Active vs. Passive Blockholders: Does the Purpose of Transaction Matter?”, Simon GUEGUEN, and Olivier RAMOND, Université Paris-DauphinePaper Slides
When Cutting Dividends is Not Bad News: The Case of Optional Stock Dividends”, Edith GINGLINGER and Thomas DAVID, Université Paris-DauphinePaper
Discussant: Silvia ROSSETTOToulouse School of Economics.
Environmental, Social and Governance (ESG) Performance and Sovereign Spreads: an Empirical Analysis of OECD Economies”, Rim OUEGHLISSI, Oand Marc-Arthur DIAYE, Université d’Evry Val d’Essonne, Gunter CAPELLE-BLANCARD, Université Paris 1, Panthéon-Sorbonne, Patricia CRIFO, Ecole Polytechnique, and Bert SCHOLTENS, Faculty of Economics and Business, Economics, Econometrics & FinancePaper Slides
Discussant: Simon GUEGUEN, Université Paris-Dauphine.
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Parallel session 13: Factors

Chairman: Richard ROLL, California Institute of Technology.
Factor-Based v. Industry-Based Asset Allocation: The Contest”, Marie BRIERE, Amundi, Université Paris-Dauphine and Université Libre de Bruxelles, and Ariane SZAFARZ, Université Libre de BruxellesPaper Slides
Information Travels Quickly, Institutional Investors React Quickly, and Anomalies Decay Quickly”, Paul CALLUZZO, Fabio MONETA and Selim TOPALOGLU, Queen’s UniversityPaper Slides
Discussant: Sohnke BARTRAM, Warwick UniversityDiscussion
Deconstructing the Low-Vol Anomaly”, Stefano CILIBERTI, Yves LEMPÉRIÈRE, Alexio BEVERATOS, G. SIMON, Laurent LALOUX, Marc POTTERS and Jean-Paul BOUCHAUD, Capital Fund ManagementPaper Slides
Interest Rate Exposure of Volatility Portfolios”, Bruno MONNIER , Ksenya RULIK and Carmine DE FRANCO, OSSIAMPaper Slides
Discussant: Emmanuel JURCZENKO, Ecole Hôtelière de Lausanne. Discussion

Parallel session 14: Performance Methodologies

Chairman: Carlo SGARRA, Politecnico di Milano.
The Limits of Leverage”, Eberhard MAYERHOFER, Dublin City University and Paolo GUASONI, Boston UniversityPaper
Representation of Homothetic Forward Performance Processes via Ergodic and Infinite Horizon Quadratic BSDE in Stochastic Factor Models”, Gechun LIANG, King’s College and University of Oxford, and Thaleia ZARIPHOPOULOU, University of Texas and University of OxfordPaper
Discussant: Karl-Theodor EISELE, Université de StrasbourgDiscussion
Integrating Profit Sharing Into the Regulatory Accounting of Insurances”, Karl-Theodor EISELEPhilippe ARTZNER, and Edouard KNOBLOCH, Université de StrasbourgPaper Slides
Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error”, Imre KONDOR, Corvinus University, Fabio CACCIOLI, University College London and London School of Economics and Political Sciences, and Gabor PAPP, Eotvos Lorand UniversityPaper Slides
Discussant: Gechun LIANG, King’s College and University of OxfordPaper
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End of the Risks Forum