PROGRAMME 2022

  1. Day 1
  2. Day 2

September 22nd

 

Thursday

08.30

 

REGISTRATION

09.00

 

WELCOME AND OPENING REMARKS

09.15

 

SESSION I: CLIMATE RISK PRICING AND HEDGING

https://www.stern.nyu.edu/faculty/bio/robert-engle

Invited Talk: The Performance of Climate Risk Factors
Robert F. Engle, New York University

A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios
Stefano Giglio, Yale School of Management, New Haven

Climate Linkers: Rationale and Pricing
Jean-Paul Renne, University of Lausanne (join with Pauline Chikhani)

11.00

 

COFFEE BREAK

11.30

 

SESSION II: CLIMATE CHANGE AND FINANCIAL STABILITY

The Shifts and the Shocks: Bank Risk, Leverage, and the Macroeconomy
Dmitry Kuvshinov, Pompeu Fabra University, Barcelona (join with Björn Richter and Kaspar Zimmermann)

Asset-level Climate Physical Risk Assessment and Cascading Financial Losses
Giacomo Bressan, Vienna University of Economics and Business (join with Anja Duranovic, Irene Monasterolo and Stefano Battiston)

Accounting for Climate Transition Risk in Banks’ Capital Requirements 
Lucia Alessi, European Commission - Joint Research Centre, Ispra (join with Erica Francesca Di Girolamo, Andrea Pagano and Marco Petracco Giudici)

13.00

 

LUNCH

14.15

 

SESSION III: DISCLOSURE AND ESG INFORMATION

https://www.london.edu/faculty-and-research/faculty-profiles/r/reichlin-l

Invited Talk: TBA
Lucrezia Reichlin (London Business School)

A Green Blockchain for a Greener Economy
Massimo Morini, Algorand Foundation, Singapore

Dynamic ESG Equilibrium
Andrea Tarelli, Catholic University, Milan (join with Doron Avramov, Abraham Lioui, Yang Liu)

16.30

 

COFFEE BREAK and POSTER SESSION

Poster Session I

17.15

 

SESSION IV: GREEN SECURITIES

The Optimal Design of Green Securities
Adelina Barbalau, University of Alberta, Edmonton (join with Federica Zeni)

Borrower ESG Risks and ESG Disclosure and COST of Loan
Yaorong Liu, University of Edinburgh Business School (join with Yi Cao and Yizhe Dong)

When Green Meets Green
Roman Goncharenko, KU Leuven, Brussels (join with Hans Degryse, Carola Theunisz and Tamas Vadasz)

20.00

 

SOCIAL DINNER

September 23rd

 

Friday

09.00

 

SESSION V: LONG RUN RISK IN A MACRO PERSPECTIVE

https://www.imperial.ac.uk/people/m.kacperczyk.edu/faculty/bio/robert-engle

Invited Talk: The CO2 Question: Technical Progress and the Climate Crisis
Marcin Kacperczyk (Imperial College London)

A Preferred-Habitat Model of Repo Specialness
Marti G. Subrahmanyam, New York University (join with Ruggero Jappelli and Loriana Pelizzon)

Macro Trends and Factor Timing 
Alessandro Melone, The Ohio State University, Columbus (join with Carlo A. Favero and Andrea Tamoni)

10.45

 

COFFEE BREAK

11.15

 

PANEL SESSION I: LONG RUN RISKS AND THEIR IMPLICATIONS FOR THE BANKING, INSURANCE AND FINANCIAL SECTORS

 

13.00

 

LUNCH

14.15

 

SESSION VI: LONG RUN PORTFOLIO CHOICE

Environmental Regulatory Risks, Firm Pollution, and Mutual Funds’ Portfolio Choices 
Simon Xu, University of California at Berkeley

Climate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics 
Mathijs Cosemans, Erasmus University, Rotterdam (join with Xander Hut and Mathijs van Dijk)

Long Horizon Multifactor Investing with Reinforcement Learning 
Ruslan Goyenko, McGill University & Financial Innovations and Risk Management Labs, Montréal (join with Chengyu Zhang)

15.45

 

COFFEE BREAK and POSTER SESSION

Poster Session II

16.30

 

PANEL SESSION II: SAVE ENERGY FOR A SAFE FUTURE