PROGRAMME 2022
September 22nd
Thursday
08.30
REGISTRATION
09.00
WELCOME AND OPENING REMARKS
09.15
SESSION I: CLIMATE RISK PRICING AND HEDGING
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
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)
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
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)
16.30
PANEL SESSION II: SAVE ENERGY FOR A SAFE FUTURE
