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
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 (join 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 (join 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 (join 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 (join 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
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 (join with Doron Avramov, Abraham Lioui, Yang Liu)
Discussant: Valeria Nale, CRIF, Bologna
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 (join 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 (join with Yi Cao and Yizhe Dong)
Discussant: Michele Costola, Ca' Foscari University of Venice
When Green Meets Green
Roman Goncharenko, KU Leuven, Brussels (join with Hans Degryse, Carola Theunisz and Tamas Vadasz)
Discussant: Jan-Pieter Krahnen, Leibniz Institute for Financial Research SAFE & Goethe University, Frankfurt
September 23rd
Friday
09.00
SESSION V: LONG RUN RISK IN A MACRO PERSPECTIVE
Chairman: Helmut Kraemer-Eis, European Investment Fund, Luxembourg
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)
Discussant: Elisa Luciano, University of Torino
Macro Trends and Factor Timing
Alessandro Melone, The Ohio State University, Columbus (join 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 (join 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 (join with Chengyu Zhang)
Discussant: Andrea Berardi, Ca' Foscari University of Venice
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
