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CREDIT 2023

PROGRAMME 2024

  1. Day 1
  2. Day 2

 

Thursday

08.30

 

REGISTRATION

09.00

 

WELCOME AND OPENING REMARKS
Monica Billio, Ca' Foscari University of Venice
Marcin Kacperczyk, Imperial College London & CEPR, Programme Chair

09.15

 

SESSION I: CARBON TRANSITION RISK
Chair: Lucia Alessi, Joint Research Center, European Commission

https://profiles.imperial.ac.uk/m.kacperczyk

Invited Talk: The CO2 Question: Technical Progress and the Climate Crisis
Marcin Kacperczyk, Imperial College London & CEPR, Programme Chair

Carbon-Transition Risk and Net-Zero Portfolios
Gino Cenedese, Fulcrum Asset Management, London (joint with Shangqi Han and Marcin Kacperczyk)
Discussant: Nicola Borri, LUISS Guido Carli University, Rome

Technological Greenness and Long-run Performance
Irene Monasterolo, Utrecht University, Vienna University of Economics and Business & CEPR (joint with Stefano Battiston and Maurizio Montone)
Discussant: Adelina Barbalau, University of Alberta, Edmonton

11.00

 

COFFEE BREAK

11.30

 

SESSION II: GREEN BONDS AND LOANS
Chair: Stephen Schaefer, London Business School

Green Bonds: New Label, Same Projects
Pauline Lam, New York University (joint with Jeffrey Wurgler)
Discussant: Loriana Pelizzon, Leibniz Institute for Financial Research SAFE, Frankfurt am Main, Ca’ Foscari University of Venice & CEPR

Do Voluntary Pledges Make Loans Greener?
Robin Döttling, Erasmus University (joint with Tobias Berg, Xander Hut and Wolf Wagner)
Discussant: Caterina Rho, Joint Research Center, European Commission, Ispra

Greenness Demand for US Corporate Bonds
Alexander Pasler, Vienna University of Economics and Business (joint with Rainer Jankowitsch, Patrick Weiss and Josef Zechner)
Discussant: Stephen Schaefer, London Business School

13.00

 

LUNCH

14.15

 

SESSION III: CLIMATE AND PHYSICAL RISK
Chair: Caterina Rho, Joint Research Center, European Commission, Ispra

Weather Variance Risk Premia
Stephen Szaura, BI Norwegian Business School, Oslo (joint with Joon Woo Bae, Yoontae Jeon and Virgilio Zurita)
Discussant: Massimilano Caporin, University of Padova

The Value of ESG Data Granularity for Disclosure Purposes – Focus on Physical Risk
Valeria Nale, CRIF Trasformation Services, Milan (joint with Mario Martina)
Discussant: Monica Billio, Ca' Foscari University of Venice

Climate Risk, Soft Information, and Credit Supply
Sergio Mayordomo, Bank of Spain, Madrid (joint with Laura Álvarez-Román, Carles Vergara-Alert and Xavier Vives)
Discussant: Marti Subrahmanyam, New York University

15.45

 

COFFEE BREAK and POSTER SESSION

Poster Session I

16.45

 

SESSION IV: INVESTING UNDER CLIMATE RISK
Chair: Steven Ongena, University of Zurich, Swiss Finance Institute, KU Leuven & CEPR

ESG Favoritism in Mutual Fund Families
Anna Zsofia Csiky, Vienna University of Economics and Business (joint with Rainer Jankowitsch, Alexander Pasler and Marti G. Subrahmanyam)
Discussant: Carmelo Latino, Leibniz Institute for Financial Research SAFE, Frankfurt am Main

Sustainable Short Selling
Mila Getmansky Sherman, University of Massachusetts, Amherst (joint with Bing Liang, Loriana Pelizzon and Tianyi Qu)
Discussant: Massimiliano Croce, Bocconi University, Milan

Responsible Investing under Climate Change Uncertainty
Francesco Rocciolo, Nazarbayev University (joint with Monica Billio and Massimo Guidolin)
Discussant: Marcin Kacperczyk, Imperial College London & CEPR

19.30

 

SOCIAL DINNER
read more

October 4th

 

Friday

09.00

 

SESSION V: AI – NEW OPPORTUNITIES OR NEW RISKS?
Chair: Loriana Pelizzon, Leibniz Institute for Financial Research SAFE, Frankfurt am Main, Ca’ Foscari University of Venice & CEPR

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

Invited Talk: The EPOCH of AI
Roberto Rigobon, MIT Sloan School of Management, Cambridge

How Ethical Should AI Be? How AI Alignment Shapes the Risk Preferences of LLMs
Shumiao Ouyang, University of Oxford (joint with Hayong Yun and Xingjian Zheng)
Discussant: Jan Pieter Krahnen, Leibniz Institute for Financial Research SAFE, Frankfurt am Main

Producing AI Innovation and Its Value Implications
Ambrus Kecskés, York University, Toronto (joint with Ali Ahmadi, Roni Michaely and Phuong-Anh Nguyen)
Discussant: Hayong Yun, Michigan State University, East Lansing

10.45

 

COFFEE BREAK

11.15

 

PANEL SESSION 1: NEW RISKS AND CHALLENGES: AI AND THE DIGITAL TRANSITION
Moderator: Jan Pieter Krahnen, Founding Director Emeritus of the Leibniz Institute for Financial Research SAFE, Frankfurt am Main

Marie Brière, Head of Investor Intelligence & Academic Partnerships, Amundi Investment Institute, Paris
Alessandro De Angelis, Scientific Attaché at the Permanent Delegation of Italy to the International Organisations in Paris
Helmut Kraemer-Eis, Head of Research & Market Analysis, European Investment Fund, Luxembourg
Giulio Mignola, Executive Director Enterprise Risk Management, Intesa Sanpaolo, Turin
Roberto Rigobon, Sloan School of Management, MIT, Cambridge, Massachusetts

13.00

 

LUNCH

14.15

 

SESSION VI: AI – NEW OPPORTUNITIES AND NEW RISKS
Chair: Jan Pieter Krahnen, Leibniz Institute for Financial Research SAFE, Frankfurt am Main

https://mariebriere.fr/

Invited Talk: Artificial Intelligence for Sustainable Finance
Marie Brière, Amundi Investment Institute, Paris & Université Libre de Bruxelles

Data Risk, Firm Growth, and Innovation
Kumar Rishabh, University of Lausanne & University of Basel (joint with Orlando Gomes and Roxana Mihet)
Discussant: Steven Ongena, University of Zurich, Swiss Finance Institute, KU Leuven & CEPR

On the Origins of Cyber Risk: The Role of Software Vulnerabilities
Antonino Emanuele Rizzo, University of Notre Dame & NOVA School of Business and Economics, Carcavelos (joint with Giorgio Ottonello)
Discussant: Silvio Vismara, University of Bergamo

16.00

 

COFFEE BREAK and POSTER SESSION

Poster Session II

16.45

 

PANEL SESSION 2: NEW RISKS AND CHALLENGES: AI AND THE SUSTAINABILITY TRANSITION
Moderator: Monica Billio, Professor of Econometrics, Ca' Foscari University of Venice

Stefano Bonetti, Professor of Condensed Matter Physics, Ca' Foscari University of Venice and Founder, RARA Factory srl
Mila Getmansky Sherman, Professor of Finance, Isenberg School of Management, UMass Amherst
Marco Marelli, Cofounder Prospiciunt and Editorial Director Focus ESG
Valentino Pediroda, Professor of Numerical Methods, University of Trieste and CEO & Cofounder Modefinance 
Luigi Ruggerone, Senior Director Innovation Center, Intesa Sanpaolo

18.00

 

CLOSING REMARKS and END OF THE CONFERENCE

THE FRONTIERS OF NEW RISKS: AI, DIGITAL AND SUSTAINABILITY TRANSITIONS

GRETA Associati (Venice, Italy), CRIF (Bologna, Italy), European Datawarehouse (Frankfurt am Main, Germany), European Investment Fund (Luxembourg), Intesa Sanpaolo (Milan, Italy) and Modefinance (Trieste, Italy) are partners in organasing a Conference to be held in Venice on October 3-4, 2024.

The C.r.e.d.i.t. 2024 conference will bring together academics, practitioners and PhD students working in various areas of financial and socio-economic risk with the aim of creating a unique opportunity for participants to discuss research progress and policy as well as industry-relevant insights and directions for future research.

The conference, organised under the auspices of the Department of Economics and VERA - Venice centre in Economic and Risk Analytics for public policies (Ca’ Foscari University of Venice), ABI - Italian Banking Association, AIAF - Associazione Italiana per l'Analisi Finanziaria and AIFIRM - Associazione Italiana Financial Industry Risk Managers, is the twenty-third of a series dedicated to various aspects of credit risk.

 

ACKNOWLEDGEMENT OF EUROPEAN FUNDING
The organization of the conference has benefitted from financial support by:

 

  • ESG UPTAKE — TSI-2023-ESGRM-IBA - ESG risk management framework for the financial sector.  Funded by the European Commission - Grant Agreement N° 101145727.

 

 

Sustainability necessarily involves the adaptation of today’s business model to the dynamic nature of the current digitalised environments. Corporations need to make sure that resources, especially technology, are being used responsibly and efficiently to improve the lives of the present generations and future generations as well as strengthen their relationships with the environment as to solve sustainability-related problems such as poverty, environmental degradation, pollution and inequality.
Artificial Intelligence (AI) has the potential to address these societal problems including sustainability. The climate crisis and the degradation of the physical environment are complex problems that require the most innovative and advanced solutions. The real value of AI hence lies in its ability to facilitate and foster environmental and social governance, rather just as a tool to reduce pollution, poverty and resource depletion.
In the age of AI, societies depend on big data, social media, knowledge management and data science to survive and achieve these sustainability goals. AI has the potential to reshape not only finance and industry but also the whole society. There is need to understand opportunities and challenges as to properly manage all relevant risks.

  

 

The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include Marie Briere (Amundi Investment Institute, Paris),  Marcin Kacperczyk (Imperial College London), and Roberto Rigobon (MIT Sloan School of Management, Cambridge). The Conference will also include panel discussions on the major issues at stake with the views of researchers', practitioners' and policy makers.

CALL FOR PAPERS

The organisers encourage submissions on any topic within the overall theme of the conference, with attention to the use of AI to assess the sustainability impact of finance (i.e. exploiting AI techniques or Big Data to bridge primary information gaps and proxy the sustainability impact) and on how climate and digital risks may interact (i.e. climate denial, social media and social media strategies including deepfakes).

 

Those wishing to present a paper at the Conference should submit by June 10, 2024 to the address given below (preferably in electronic format).

Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by July 10, 2024.

The final version of accepted papers must be received by August 31, 2024.

Please send papers to: Questo indirizzo email è protetto dagli spambots. È necessario abilitare JavaScript per vederlo.

When

3 – 4 October 2024

Where

PALAZZO FRANCHETTI
San Marco 2842
30124 Venezia - Italy

Contact us

GRETA
E-mail: Questo indirizzo email è protetto dagli spambots. È necessario abilitare JavaScript per vederlo.
Phone: +39 349 060 3656

 

For registration, travel & lodging

NEXA sas - Conference Secretariat
Phone: +39 041 5210255
Fax: +39 041 5285041
E-mail: Questo indirizzo email è protetto dagli spambots. È necessario abilitare JavaScript per vederlo.

***Privacy

IMPORTANT DATES

  • June 10, 2024 Papers submission deadline
  • July 10, 2024 Paper acceptance notification
  • August 31, 2024 Deadline for sending final version of accepted papers
  • August 31, 2024 Deadline for early registration

SPONSORS

AUSPICES

RELATED PROJECTS

GRINS - Growing Resilient, INclusive and Sustainable
code: PE0000018, CUP: H73C22000930001
National Recovery and Resilience Plan (PNRR)
Next Generation EU, Mission 4 Component 2
Spoke 4 GRINS
Sustainable finance

ESG UPTAKE — TSI-2023-ESGRM-IBA - ESG risk management framework for the financial sector. 
Funded by the European Commission - Grant Agreement N° 101145727. 

INVITED SPEAKERS

Marie Brière
Marie Brière
Amundi Investment Institute, Paris
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Marcin Kacperczyk
Marcin Kacperczyk
Imperial College London
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Lorem Ipsum

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Roberto Rigobon
Roberto Rigobon
MIT Sloan School of Management, Cambridge
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Lorem Ipsum

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SCIENTIFIC COMMITTEE

VENUE

Palazzo Franchetti
San Marco 2842 - 30124 Venezia
Tel.: +39 041 2407755
email: Questo indirizzo email è protetto dagli spambots. È necessario abilitare JavaScript per vederlo.
website: www.palazzofranchetti.it

Palazzo Franchetti

The conference will be held at Palazzo Franchetti, an imposing Venetian neo-Gothic building in the heart of Venice overlooking the Grand Canal. Along the centuries, the Palace was the residence of celebrated Venetian families who undertook major modernization work that gave the building the modern features that are one of its peculiarities.

Sala del Portego – conference hall

In 1878 Baron Raimondo Franchetti bought the building, which was to remain property of the family until September 1922 when it was sold to Istituto Federale di Credito per il Risorgimento delle Venezie by the Baron's widow, Sarah Luisa de Rothschild. The period is associated with the name of architect Camillo Boito, who altered the building significantly, designing the monumental staircase. Characterized by large 5-light mullioned window with interlacing arches and tracery, the palace has been one of the venues of the prestigious Istituto Veneto di Scienze, Lettere e Arti since 1999.

The monumental staircase

Located at the foot of the Accademia Bridge in Campo S. Stefano, the venue can easily be reached from Piazzale Roma or from the Railway Station by public transport (lines 1 or 2 - about 20/30 min) or by private water taxi (about 10 minutes). Palazzo Franchetti is also within walking distance from the main access points to the city (about 30 minutes).

REGISTRATION


The conference this year will be only in person(*)

 

Registration Fees

 

Early registration

(within August 31st)

Late registration

(from September 1st on)
Academics Euro 300,00 (VAT included)  Euro 350,00 (VAT included)
Academics Poster presenter(**)  Euro 200,00 (VAT included)  Euro 250,00 (VAT included)
Practitioners Euro 800,00 (VAT included) Euro 1.000,00 (VAT included)
Practitioners Poster Presenters(**) Euro 500,00 (VAT included)
PhD Student(***) Euro 150,00 (VAT included)
PhD Student Poster Presenters(**)(***) Euro 75,00 (VAT included)
Speaker(**) and/or InvitedExempt

 

VAT is currently 22%

 

The registration fees do not fully cover the conference dinner on October 3rd, 2024, for which there is an extra charge of Euro 90.00 per person (participants as well as accompanying persons).

 

(*) Based on the current health conditions there are no capacity constraints. Variations could occur in case of an unfavourable pandemic evolution.

(**) Only one author for each paper can register as Speaker or Poster Presenter.

(***) PhD Students have to provide valid proof of their status sending a certificate of their PhD Student position to Questo indirizzo email è protetto dagli spambots. È necessario abilitare JavaScript per vederlo..
 

ACCOMMODATION

We propose an hotel list including all within easy reach of the conference venue.

For any possible information or assistance you may need, do not hesitate to contact the Conference Secretariat: Nexa will be pleased to help you.

 

NEXA sas - Conference Secretariat
San Marco 4571/C,
30124 Venezia, ITALY
Phone: +39 041 5210255
Fax: +39 041 5285041
E-mail: Questo indirizzo email è protetto dagli spambots. È necessario abilitare JavaScript per vederlo.

 

SOCIAL PROGAMME

Palazzo Pisani Moretta
Address: Sestiere San Polo, 2766, 30125 Venezia  

The Networking dinner will be held at Palazzo Pisani Moretta on Thursday, October 3rd.

Built in the second half of the XV century by will of the Pisani family, Palazzo Pisani Moretta is one of the most fascinating examples of flamboyant Gothic style in the city. Overlooking the Grand Canal between the Rialto Bridge and Ca' Foscari, it is one of the most famous and magnificently decorated Palazzo, and among its famous visitors it includes Tsar Paul of Russia, Josephine Bonaparte and Joseph II of Austria.

Today, Palazzo Pisani Moretta is a refined alternative and the preferred choice for private events thanks to its authentic atmosphere.

Online Poster Session

Read More

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See the poster presentation

PROGRAMME 2023

  1. Day 1
  2. Day 2

September 21st

 

Thursday

08.30

 

REGISTRATION

09.00

 

WELCOME AND OPENING REMARKS
Monica Billio, Ca’ Foscari University of Venice & GRETA, Venice
Mario Nava, DG Reform, European Commission

09.15

 

SESSION I: GLOBAL FINANCE AND GEOPOLITICS
Chairman: Domenico Sartore, Ca’ Foscari University of Venice & GRETA, Venice

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

Invited Talk: Finance and Geoeconomics
Moritz Schularick, Kiel Institute for the World Economy & Sciences Po Paris

Political Ties and the Global Financial Cycle
Xiang Li, Halle Institute for Economic Research (joint with Gene Ambrocio and Iftekhar Hasan)
Discussant: Loriana Pelizzon, Ca’ Foscari University of Venice, Leibniz Institute for Financial Research SAFE & Goethe University, Frankfurt am Main

Global Bank Lending During Political Conflicts: Evidence from the Agricultural Industry
Yitao Zheng, University of Bristol (joint with Piotr Danisewicz, Min Park and Klaus Schaeck)
Discussant: Claudio Rizzi, University of Navarra

11.00

 

COFFEE BREAK

11.30

 

SESSION II: MACROECONOMICS AND GEOPOLITICAL RISK
Chairman: Steven Ongena, University of Zurich, Swiss Finance Institute, KU Leuven, NTNU Business School & CEPR

The Macroeconomic Effects of Global Supply Chain Disruptions
Peter Tillmann, University of Giessen (joint with David Finck)
Discussant: Yanru Lee, University of North Carolina at Chapel Hill

Bank Lending and Firm Internal Capital Markets Following a Deglobalization Shock
Björn Imbierowicz, Deutsche Bundesbank, Frankfurt am Main (joint with Arne Nagengast, Esteban Prieto and Ursula Vogel)
Discussant: Jan-Pieter Krahnen, Leibniz Institute for Financial Research SAFE & Goethe University, Frankfurt am Main

Multifactor Risk Attribution Applied to Systemic, Climate and Geopolitical Tail Risks for the Eurozone Banking Sector
Gian Marco Mensi and Maria Cristina Recchioni, Marche Polytechnic University, Ancona (joint with Giulia Bettin)
Discussant: Steven Ongena, University of Zurich, Swiss Finance Institute, KU Leuven, NTNU Business School & CEPR

13.00

 

LUNCH

14.15

 

SESSION III: SUSTAINABILITY, MONETARY POLICY, AND SOVEREIGN RISK
Chairman: Lucia Alessi, European Commission, Joint Research Centre, Ispra

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

Invited Talk: Global Footprints of Monetary Policies
Helene Rey, London Business School

Greenness of Public Investment Programs and Sovereign Yields
Irene Monasterolo, Utrecht University (joint with Lucia Alessi and Virmantas Kvedaras)
Discussant: Santiago Forte, University Ramon Llull, ESADE, Barcelona

Credit Worthy: Do Climate Change Risks Matter for Sovereign Credit Ratings?
Angela Maddaloni, European Central Bank¸ Frankfurt am Main (joint with Lorenzo Cappiello, Gianluigi Ferrucci and Veronica Veggente)
Discussant: Caterina Rho, European Commission, Joint Research Centre, Ispra

16.00

 

COFFEE BREAK and POSTER SESSION

Poster Session I

16.45

 

SESSION IV: ESG DISCLOSURE
Chairman: Roberto Rigobon, MIT Sloan School of Management, Cambridge

ESG Profile of Italian Companies: Focus on SMEs
Valeria Nale, CRIF, Bologna
Discussant: Monica Billio, Ca’ Foscari University of Venice & GRETA, Venice

ESG Considerations in Acquisitions and Divestitures: Corporate Responses to Mandatory ESG Disclosure
Qilin Peng, University of Toronto (joint with Tong Li and Luping Yu)
Discussant: Andrea Giacomelli, Knowshape, Ca’ Foscari University of Venice & GRETA, Venice

The Effect of Environmental Preferences on Investor Responses to ESG Disclosure
François Koulischer, University of Luxembourg (joint with Marina Emiris and Joanna Harris)
Discussant: Michele Costola, Ca' Foscari University of Venice

Climate Adaptation Disclosure: Does it Bring Home the Green?
Alessio Venturini, University of Reading (joint with Alfonso Dufour, Len Shaffrey and Simone Varotto)
Discussant: Stefano Battiston, Ca’ Foscari University of Venice & University of Zurich

20.00

 

SOCIAL DINNER

September 22nd

 

Friday

09.00

 

SESSION V: FINANCE AND THE SOCIAL DIMENSION
Chairman: Marti Subrahmanyam, New York University

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

Invited Talk: Finance and Human Rights
Elisa Giuliani, University of Pisa

Gender of Firm Decision-makers and Within-firm Wage Disparity
Panagiotis N. Politsidis, Audencia Business School, Nantes (joint with Manthos D. Delis, Iftekhar Hasan, Maria Iosifidi and Anthony Saunders)
Discussant: Stefano Colonnello, Ca’ Foscari University of Venice

Corporate Taxes and Economic Inequality: A Credit Channel
Steven Ongena, University of Zurich, Swiss Finance Institute, KU Leuven, NTNU Business School & CEPR (joint with Manthos D. Delis, Emilios Galariotis and Maria Iosifidi)
Discussant: Marti Subrahmanyam, New York University

10.45

 

COFFEE BREAK

11.15

 

PANEL SESSION: SOVEREIGN AND GEOPOLITICAL RISKS
Dedicated to Mauro Carlo Maccarinelli

Moderator: Isabella Bufacchi, European Central Bank watcher and Germany correspondent at Il Sole 24 Ore, Frankfurt am Main

Davide Alfonsi, Group Chief Risk Officer of Intesa Sanpaolo, Turin
Carlo Carraro, Bureau of the Nobel Laureate Intergovernmental Panel on Climate Change (IPCC), United Nations, New York
Helmut Kraemer-Eis, Head of Research & Market Analysis , European Investment Fund, Luxembourg
Jan Pieter Krahnen, Founding Director emeritus of the Leibniz Institute for Financial Research SAFE, Frankfurt am Main
Luca Paolazzi, Chief scientific Officer at Fondazione Nord Est and Investment advisor at Ceresio Investors, Milan
Richard Portes, London Business School & Academic Director, AQR Asset Management Institute, London
Ludovic Thebault, Head of Reseach, DatawareHouse, Frankfurt am Main

13.00

 

LUNCH

14.15

 

SESSION VI: GOVERNMENT BONDS AND SOVEREIGN RISK
Chairman: Stephen Schaefer, London Business School

A Two-Factor Model of Sovereign Bond Volatilities
Susana Campos-Martins, University of Oxford & Católica Lisbon School of Business & Economics, Palma de Cima (joint with Robert F. Engle)
Discussant: Roberto Rigobon, MIT Sloan School of Management, Cambridge

International Portfolio Frictions
Alessandro Fontana, European Insurance and Occupational Pensions Authority, Frankfurt am Main (joint with Wenxin Du, Petr Jakubik, Ralph S.J. Koijen and Hyun-Song Shin)
Discussant: Andrea Berardi, Ca' Foscari University of Venice

An Anatomy of the 2022 Gilt Market Crisis
Gabor Pinter, Bank of England, London
Discussant: Stephen Schaefer, London Business School

15.45

 

COFFEE BREAK and POSTER SESSION

Poster Session II

16.30

 

SESSION VII: ESG RATING METHODOLOGIES
Chairman: Loriana Pelizzon, Ca’ Foscari University of Venice, Leibniz Institute for Financial Research SAFE & Goethe University, Frankfurt am Main

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

Invited Talk: Estimating ESG Preferences
Roberto Rigobon, MIT Sloan School of Management, Cambridge

Unpacking the ESG Ratings: Does One Size Fit All?
Aoife Claire Fitzpatrick, Leibniz Institute for Financial Research SAFE & Goethe University, Frankfurt am Main (joint with Monica Billio, Carmelo Latino and Loriana Pelizzon)

17.45

 

CLOSING REMARKS and END OF THE CONFERENCE

  1. Day 1
  2. Day 2

September 22nd

 

Thursday

08.30

 

REGISTRATION

09.00

 

WELCOME AND OPENING REMARKS
Welcome: Monica Billio, Ca’ Foscari University of Venice & GRETA
Opening Remarks: Stefano Giglio, Yale School of Management, New Haven, Programme Chair

09.15

 

SESSION I: CLIMATE RISK PRICING AND HEDGING
Chairman: Domenico Sartore, Ca’ Foscari University of Venice & GRETA

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

Invited Talk: Long Run Risk and Climate Hedge Portfolios

Robert F. Engle, New York University

A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios
Stefano Giglio, Yale School of Management, New Haven, Programme Chair
Discussant: Francesco Rocciolo, Ca' Foscari University of Venice

Pricing Climate Linkers 
Jean-Paul Renne, University of Lausanne (joint with Pauline Chikhani)
Discussant: Umberto Cherubini, University of Bologna

11.00

 

COFFEE BREAK

11.30

 

SESSION II: CLIMATE CHANGE AND FINANCIAL STABILITY
Chairman: Jan Pieter Krahnen, Leibniz Institute for Financial Research SAFE & Goethe University, Frankfurt

The Shifts and the Shocks: Bank Risk, Leverage, and the Macroeconomy
Dmitry Kuvshinov, Pompeu Fabra University, Barcelona (joint with Björn Richter and Kaspar Zimmermann)
Discussant: Andrea Giacomelli, Knowshape & GRETA, Venice

Asset-level Climate Physical Risk Assessment and Cascading Financial Losses
Giacomo Bressan, Vienna University of Economics and Business (joint with Anja Duranovic, Irene Monasterolo and Stefano Battiston)
Discussant: Animesh Gain, Ca’ Foscari University of Venice

Accounting for Climate Transition Risk in Banks’ Capital Requirements 
Lucia Alessi, European Commission - Joint Research Centre, Ispra (joint with Erica Francesca Di Girolamo, Andrea Pagano and Marco Petracco Giudici)
Discussant: Irene Monasterolo, EDHEC and EDHEC-Risk Climate Impact Institute (ERCII), Nice

 

13.00

 

LUNCH

14.15

 

SESSION III: DISCLOSURE AND ESG INFORMATION
Chairman: Davide Grignani, AIAF, Milan

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

Invited Talk: Global Standards for Climate Related Corporate Reporting: the Challenges
Lucrezia Reichlin, London Business School

A Green Blockchain for a Greener Economy
Massimo Morini, Algorand Foundation, Singapore
Discussant: Marco Corazza, Ca' Foscari University of Venice

Dynamic ESG Equilibrium
Andrea Tarelli, Catholic University, Milan (joint with Doron Avramov, Abraham Lioui, Yang Liu)
Discussant: Valeria Nale, CRIF, Bologna

16.00

 

COFFEE BREAK and POSTER SESSION

Poster Session I

16.45

 

SESSION IV: GREEN SECURITIES
Chairman: Steven Ongena, University of Zurich, Swiss Finance Institute, KU Leuven & CEPR

The Optimal Design of Green Securities
Adelina Barbalau, University of Alberta, Edmonton (joint with Federica Zeni)
Discussant: Claudio Tebaldi, Bocconi University, Milan

Borrower ESG Risks and ESG Disclosure and Cost of Loan
Yaorong Liu, University of Edinburgh Business School (joint with Yi Cao and Yizhe Dong)
Discussant: Michele Costola, Ca' Foscari University of Venice

When Green Meets Green
Roman Goncharenko, KU Leuven, Brussels (joint with Hans Degryse, Carola Theunisz and Tamas Vadasz)
Discussant: Jan-Pieter Krahnen, Leibniz Institute for Financial Research SAFE & Goethe University, Frankfurt

20.00

 

September 23rd

 

Friday

09.00

 

SESSION V: LONG RUN RISK IN A MACRO PERSPECTIVE
Chairman: Helmut Kraemer-Eis, European Investment Fund, Luxembourg

A Preferred-Habitat Model of Repo Specialness
Marti G. Subrahmanyam, New York University (joint with Ruggero Jappelli and Loriana Pelizzon)
Discussant: Elisa Luciano, University of Torino

Macro Trends and Factor Timing 
Alessandro Melone, The Ohio State University, Columbus (joint with Carlo A. Favero and Andrea Tamoni)
Discussant: Stefano Giglio, Yale School of Management, New Haven, Programme Chair

10.45

 

COFFEE BREAK

11.15

 

PANEL SESSION I: LONG RUN RISKS AND THEIR IMPLICATIONS FOR THE BANKING, INSURANCE AND FINANCIAL SECTORS
Moderator: Isabella Bufacchi, European Central Bank watcher and Germany correspondent at Il Sole 24 Ore, Frankfurt

Robert F. Engle, Nobel Laureate in Economics and New York University
Helmuth Kraemer-Eis, Head of Research & Market Analysis, European Investment Fund, Luxembourg
Mauro Maccarinelli, Head of Financial and Market Risk, Intesa Sanpaolo, Milan
Marco Macellari, Director Process & Risk Advisory, CRIF, Bologna
Mario Quagliariello, Director Supervisory Strategy & Risk, European Central Bank, Frankfurt
Ludovic Thebault, Head of Research, European DataWarehouse, Frankfurt

 

13.00

 

LUNCH

14.15

 

SESSION VI: LONG RUN PORTFOLIO CHOICE
Chairman: Stefano Giglio, Yale School of Management, New Haven, Programme Chair

Environmental Regulatory Risks, Firm Pollution, and Mutual Funds’ Portfolio Choices 
Simon Xu, University of California at Berkeley
Discussant: Stefano Battiston, Ca’ Foscari University of Venice & University of Zurich

Climate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics 
Mathijs Cosemans, Erasmus University, Rotterdam (joint with Xander Hut and Mathijs van Dijk)
Discussant: Steven Ongena, University of Zurich, Swiss Finance Institute, KU Leuven & CEPR

Long Horizon Multifactor Investing with Reinforcement Learning 
Ruslan Goyenko, McGill University & Financial Innovations and Risk Management Labs, Montréal (joint with Chengyu Zhang)
Discussant: Andrea Berardi, Ca' Foscari University of Venice

15.45

 

COFFEE BREAK and POSTER SESSION

Poster Session II

16.30

 

PANEL SESSION II: SAVE ENERGY FOR A SAFE FUTURE (in Italian)
Moderator: Marco Marelli, Journalist expert in mobility, sustainability and economics

Monica Billio, Ca’ Foscari University of Venice and President Italian Econometric Society
Paolo Costa, former Minister of Transport, European Deputy and Mayor of Venice
Stefano Del Punta, Chief Financial Officer, Intesa Sanpaolo, Milan
Maurizio Reggiani, Vicepresident, Motorsport Automobili Lamborghini, Bologna
Alessio Torelli, Chief Mobility Officer, Snam, Rome

Altri articoli...

  1. CREDIT 2022
  2. CREDIT 2023
  3. CREDIT 2021
  4. CREDIT Agenda 2021
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